Portfolio Management and Asset Allocation Training Course

Participants can calculate and interpret core portfolio return and risk measures.

• Time-weighted returns versus money-weighted returns for manager evaluation
• Arithmetic, geometric and annualised returns calculated from periodic portfolio values
• Standard deviation, downside deviation and semi-variance for return dispersion
• Value at Risk limitations under non-normal returns and stressed markets
• Correlation and covariance matrices used in multi-asset portfolio construction
• Drawdown, recovery period and maximum loss assessed against mandate tolerance

Participants can create documented capital market assumptions for major asset classes.

• Economic growth, inflation and policy rates linked to expected asset returns
• Building expected-return assumptions from income, valuation and growth components
• Volatility estimates derived from history, implied markets and forward judgement
• Correlation assumptions tested against crisis periods and regime changes
• Scenario ranges for base, upside, downside and stagflation market conditions
• Assumption governance: sources, ownership, review dates and approval thresholds

Participants can design a strategic allocation aligned with portfolio objectives and constraints.

• Asset-class universe defined by return drivers, liquidity and implementation access
• Strategic allocation translated from long-term objectives and capital market assumptions
• Mean-variance efficient frontier constructed from expected returns, risks and correlations
• Minimum-variance and maximum-Sharpe portfolios compared against practical constraints
• Weight limits, illiquidity caps and concentration limits added to optimisation
• Resampled optimisation used to test sensitivity to input estimation error

Participants can integrate market equilibrium returns and investment views into allocations.

• Market-capitalisation weights interpreted as equilibrium portfolio starting points
• Implied equilibrium returns derived using the reverse-optimisation approach
• Absolute and relative views specified with confidence levels
• Black-Litterman posterior returns calculated from equilibrium and stated views
• Allocation changes assessed against view strength, confidence and risk budget
• Practical limits of Black-Litterman under unstable market capitalisations

Participants can frame tactical allocation decisions with explicit signals and controls.

• Strategic and tactical allocation distinguished by horizon, authority and turnover
• Valuation signals using earnings yield, real yields and credit spreads
• Momentum and trend signals assessed alongside valuation-based indicators
• Business-cycle regimes linked to equities, bonds, commodities and cash
• Tactical ranges set around strategic weights with escalation thresholds
• Signal conflicts resolved through documented decision rules and conviction scores

Participants can construct equity allocations using benchmark, factor and security-selection inputs.

• Market-capitalisation, equal-weighted and fundamental-weighted index construction compared
• Active share interpreted alongside tracking error and benchmark concentration
• Top-down sector allocation separated from bottom-up security selection
• Factor tilts measured across value, quality, momentum, size and low volatility
• Position sizing controlled through conviction, liquidity and downside-risk limits
• Corporate actions, index changes and trading costs reflected in portfolio maintenance

Participants can identify factor exposures and control unintended portfolio bets.

• Single-factor and multi-factor models explaining systematic return sources
• Fama-French factors applied to equity portfolio return decomposition
• Beta exposure separated from alpha claims in active manager assessment
• Factor-mimicking portfolios used to estimate style and systematic exposures
• Unintended factor concentrations identified through holdings-based risk analysis
• Factor limits aligned with mandate objectives and active-risk budget

Participants can position fixed-income portfolios for rate, curve and credit scenarios.

• Yield, yield-to-maturity and total return distinguished for bond portfolios
• Modified duration estimates price sensitivity to parallel yield changes
• Convexity incorporated when assessing larger interest-rate movements
• Key-rate duration identifies exposures along the yield curve
• Bullet, barbell and ladder structures compared under curve scenarios
• Credit-spread duration and rating migration risks assessed separately

Participants can align portfolio assets with liabilities, cash needs and spending requirements.

• Liability duration measured against asset duration and funded-status sensitivity
• Cash-flow matching schedules bond maturities against known liability payments
• Immunisation conditions applied to interest-rate-sensitive liability portfolios
• Spending rules translated into liquidity buckets and withdrawal forecasts
• Treasury investment ladders balance capital preservation, yield and availability
• Contingency liquidity reserves sized for collateral calls and stressed outflows

Participants can assess alternative investments within return, liquidity and governance limits.

• Private equity, real estate, infrastructure and hedge-fund return drivers compared
• J-curve cash flows considered when modelling private-market commitments
• Illiquidity premium assessed against lock-ups, capital calls and valuation uncertainty
• Vintage-year diversification reduces concentration in private-market deployment cycles
• Real-asset inflation sensitivity evaluated through contractual revenue characteristics
• Due diligence questions address valuation policy, fees, liquidity and key-person risk

Participants can measure currency exposure and select appropriate hedging approaches.

• Local-currency and base-currency returns reconciled through exchange-rate movements
• Strategic hedge ratios determined from volatility, correlation and liability currency
• Forward contracts used to hedge known foreign-currency portfolio exposures
• Currency carry, valuation and momentum considered in active currency decisions
• Hedge costs measured through forward points, transaction costs and collateral
• Hedging policy specifies permitted instruments, counterparties and monitoring limits

Participants can allocate active risk across portfolio decisions and managers.

• Tracking error calculated from active-return volatility versus benchmark
• Information ratio links active return to tracking error consumed
• Active-risk budget allocated across asset allocation, factors and security selection
• Marginal contribution to risk identifies dominant active portfolio positions
• Ex-ante and ex-post tracking error compared for risk-budget control
• Risk limits escalated when concentration or correlation changes invalidate assumptions

Participants can evaluate optimisation outputs and apply realistic implementation constraints.

• Optimiser inputs challenged for estimation error, stale prices and structural breaks
• Turnover constraints reduce excessive trading implied by unconstrained optimisation
• Transaction-cost models incorporate bid-ask spreads, commissions and market impact
• Cardinality limits restrict portfolios to manageable numbers of holdings
• Minimum trade sizes and lot constraints reflected in implementable allocations
• Sensitivity testing compares weights under alternative return and correlation assumptions

Participants can explain portfolio performance using recognised attribution methods.

• Brinson attribution separates allocation, selection and interaction return effects
• Arithmetic and geometric attribution compared for multi-period reporting
• Fixed-income attribution isolates duration, curve, spread and security-selection effects
• Currency attribution separates local asset return, currency and hedging effects
• Benchmark appropriateness tested against mandate, style and investable universe
• Manager evaluation combines performance, active risk, process and capacity evidence

Participants can establish rebalancing rules and implementation controls for portfolio changes.

• Calendar, threshold and cash-flow rebalancing approaches compared for different mandates
• Rebalancing bands calibrated against transaction costs and portfolio drift
• Pre-trade compliance checks test mandate limits, sanctions and restricted lists
• Trade execution choices compare market, limit, algorithmic and negotiated orders
• Implementation shortfall measures decision price, execution cost and market movement
• Post-trade review reconciles executed weights, costs and residual risk exposures

Participants can monitor portfolio risks and report actionable stress-test results.

• Risk dashboards combine market, liquidity, concentration and counterparty indicators
• Historical scenarios replay portfolio effects from prior market stress episodes
• Hypothetical shocks test rates, spreads, equities, currencies and correlations
• Reverse stress testing identifies scenarios that breach portfolio risk limits
• Liquidity stress tests incorporate redemption assumptions and market-depth estimates
• Risk reports distinguish current exposures, emerging warnings and required decisions

Participants can prepare clear portfolio reports and identify key governance issues.

• Investment committee reporting links decisions, performance, risks and required approvals
• GIPS principles considered when presenting composite performance to prospective clients
• Fee structures assessed for incentive alignment, transparency and net-return impact
• Conflicts of interest identified in manager selection, brokerage and valuation
• Stewardship responsibilities considered for voting, engagement and ownership oversight
• Governance review calendars schedule policy updates, manager reviews and risk reports

Participants can defend portfolio recommendations through structured investment committee communication.

• Investment thesis summarised through objective, evidence, risks and implementation actions
• Recommendation papers distinguish facts, assumptions, forecasts and judgement calls
• Decision alternatives presented with expected return, downside and liquidity implications
• Challenge questions anticipate benchmark, concentration, timing and governance concerns
• Portfolio changes communicated using concise charts, attribution and risk exhibits
• Approval records capture decisions, conditions, owners and review triggers

Participants can build, review and present a complete multi-asset portfolio proposal with allocation, risk controls and governance documentation.

• Mandate requirements converted into measurable return, risk, liquidity and governance criteria
• Capital market assumptions documented with sources, ranges and investment rationale
• Strategic allocation constructed using optimisation, constraints and stated portfolio objectives
• Active positions justified through market views, factor exposures and risk budget
• Stress tests, rebalancing rules and implementation costs incorporated into recommendations
• Investment committee presentation defends allocation, monitoring plan and approval requests