This intense, hands on two day training workshop on Advance Portfolio Management techniques is meant as a hands on refresher for both new and experienced portfolio managers. The course uses Excel Solver optimization as a canvas for exploring and answering a number of core portfolio management questions. By the end of this course you will be comfortable with:
- Using Excel solver to optimally allocate investment positions across a large range of securities under multiple asset classes (equities, currencies, commodities and fixed income bonds).
- Understand the rationale and intuition behind high Beta and high Alpha portfolios and their applications in real world markets.
- Using holding period returns across different timelines to refine your allocation models and back test performance of allocation strategies across time.
- Add and manage multiple real life constraints to your portfolio optimization model including limits for liquidity, concentration, risk, downside protection, duration, convexity and holding period return.
- Comfortably manage equities, fixed income, currencies and commodities positions in a single spread sheet model.
- Create index matching and constraint matching portfolios using historical returns and evaluate the fitness of allocation using forward looking data sets.
In the Banking and Private Wealth management world for relationship managers and account executives it has become increasingly important to be current on specific asset classes. More knowledgeable customers today more than ever also engage in the debate around chasing Beta, seeking Alpha and correlations that pull a disappearing act when we need them the most.
Combine this with a hands on framework for portfolio allocation, optimization and evaluation and we end up with a very potent mix for engaging client conversations.
Portfolio Management Training – Dates and registration
Dubai Dates have been confirmed for 7th and 8th March 2017. Bangkok dates will most likely be either end of February or late March. Bangkok dates will be confirmed by early Feb, after the Chinese New Year celebrations.
Seats are limited to 18-20 participants at each session. To avoid disappointment, please register early. Registration opens on 26th January for the Dubai workshop and is on a first come first served basis.
Portfolio Management Training – Session outline
2 consecutive days, 8:30 am – 4:15 pm
- Morning session I – 8:40 am – 10:40 am
- Tea Break – 10:40 am – 11:00 am
- Morning session II – 11:00 am – 1:00 pm
- Lunch and prayer break – 1: 00 pm – 2:15 pm
- Afternoon session III – 2:15 pm – 4:15 pm
Basic Tools of the trade
|Introducing the optimization framework, the data set and the securities universe. Calculating risk and return for a single security. Extending the model to a portfolio of securities|
|Risk, Returns, Beta and Alpha
Correlations and volatility
|Adding risk and return metrics. Calculating Beta and Alpha. Interpreting Beta and Alpha.
Tracing the path of correlation and volatility. Introducing trailing metrics and moving averages.
|Adding Fixed Income to the mix
The Index matching problem – A
|The Fixed Income portfolio metrics. Duration and convexity. Convexity and Alpha – similarities. Introducing the Index matching problem.|
|Playing with constraints.
The Index matching problem – B
|Adding liquidity, risk, ALM and other constraints. Using holding period return to evaluate portfolio performance. A second look at the Index matching problem.|
This course is meant for intermediate and advance users and focuses on problems and challenges that portfolio managers face after the sector and security selection phase of their work has been completed. For intermediate users the course offers intuitive explanation and understanding of core concepts. For advance users the course will examines core concepts in the areas of allocation, strategy and performance evaluation using Excel solver as the learning canvass.
The course assumes familiarity with basic portfolio management concepts, security allocation concepts, Beta and Alpha derivation and portfolio risk management.
Portfolio Management Training – About the course
Originally developed for banking and treasury customers, the Portfolio management course has evolved over the last decade to become an intuitive exploration of core portfolio management concepts. The course comes with a sample data set and a two hundred page electronic guide developed especially for course audiences across the world. While the course was first offered in 2004, over the last few years it has been updated to include a fresh, more market relevant data set, the seeking Alpha and chasing Beta debate, index matching, the runaway correlation problem and ALM topics.
In addition to treasury customers, the course is now a featured offering at Executive MBA programs in the Middle East and Pakistan in both short week long and semester long formats. To take a more detailed and indepth look at the course content please see the Portfolio Management Training resource page put together for EMBA students who have taken the shorter form of the course or see a selection of summarized lectures below.
The Portfolio Optimization and Investment Management Course Lecture series. Sample lecture summaries from both the SP Jain and IBA versions of the course.
- Lecture 1a – Portfolio Management – Introducing risk and return.
- Lecture 1b – Building the Excel Portfolio management worksheet.
- Also see Market Risk – Portfolio volatility and Market risk metrics – volatility trend analysis.
- Lecture 3a – Calculating Beta and Alpha for portfolio management in Excel.
- Lecture 3b – The difference between Alpha and Beta
- Lecture 3c – Alpha dominant strategy and evaluation.
- Background and context – The Capital Asset Pricing Model – CAPM
- Lecture 4 – Index Matching Portfolio Optimization problem set.
- Lecture 5 – Evaluating Portfolio performance using Holding period return – a case study.
- Lecture 5a – Holding period returns, aggregate returns and annual returns
- Lecture 6 a Optimizing the investment portfolio allocation challenge for a life insurance company.
- Lecture 6 b Optimizing the investment portfolio allocation for a life insurance company – solution
- Portfolio management – Sample exam. Portfolio Management and Optimization assessment exam.
Participants are expected to bring their own laptops with a version of Excel professional and the Solver add-in preinstalled.
Jawwad Ahmed Farid is a Fellow Society of Actuaries (Schaumburg, IL), a MBA from Columbia Business School (New York City) and a computer science graduate. During the last 25 years, he has worked as a consultant in North America, Pakistan, MENA, Far East and the United Kingdom with a number of blue chip clients including Goldman Sachs, Merrill Lynch, Met Life, Nationwide, Sumitomo Mitsui Bank, Mashreq Bank, Dubai Islamic Bank, Riyadh Bank, First Gulf Bank, May Bank, Wealth Management (WMSL), Adamjee Insurance, State Life Insurance, Asian Development Bank, SECP, PSX and others.
Jawwad’s core areas of expertise include Asset/Risk Management, Investments, Product Development and the Financial Services Back Office. He blends a rare combination of risk management frameworks, treasury products, business and product development skill set side by side with his actuarial expertise. He is the Chief Actuary at Alchemy Technologies, a risk consulting practice, Director ERM at Sunoida Solutions and a co-founder and editorial contributor at FinanceTrainingCourse.com.
As an investment advisor Jawwad has advised a 3 billion US$ dollar life insurance fund on allocation and bid patterns for 10, 20 and 30 year bonds, a 30 million dollar Middle East fund on Asset Liability (ALM) mismatch and fixed income strategy, a 10 million dollar employee benefits fund on asset allocation and equity market timing as well as issued multiple independent valuation opinions on option packages, credit revolvers, junior notes, cross currency and interest rate swaps required under IFRS and FASB guidelines. He is the author of three books, the most recent, Models at Work and Option Greeks Primer published by Palgrave Macmillan (an imprint of Macmillan publishers) in December 2013 and March 2015 respectively as part of a two book deal.
Jawwad has also worked with the local Central Bank and the securities regulator on assessing the state of the corporate bond market as well as broker contingent liabilities for Exchange Guarantee Funds in the region.
Jawwad is an adjunct Faculty member at the SP Jain Campus in Dubai and Singapore where he has taught Entrepreneurship, Risk Management, Derivative Products, Portfolio Management and Project Finance since 2007. As part of the Alchemy Training practice he has delivered over 200 courses in 13 years to treasury, risk, corporate and investment banking customers in Dubai, Abu Dhabi, Riyadh, Kula Lumpur, Bahrain, Singapore, Bangkok, Karachi, Lahore and Islamabad. He has been a featured speaker on campus at Columbia Business School, University of Virginia’s Darden Business School, LUMS, IBA and CBM.
He currently serves as member of the oversight board for the PASHA Social Innovation Fund, KITE Educational Foundation, the Academic Board at IBA and the Advisory board for The Nest.io.
Can’t take two days out of your schedule. Buy the text book and the data set to follow the material at your own pace.