Portfolio Management and Hedging Training Course

Participants can prepare reliable return and holdings data for portfolio analysis.

• Time-weighted returns versus money-weighted returns for portfolio evaluation
• Holding-period returns incorporating income, capital gains and corporate actions
• Clean prices, dirty prices and accrued interest for bond valuations
• Currency translation methods for reporting multi-currency portfolio performance
• Data-quality checks for missing prices, stale quotes and corporate actions
• Portfolio holdings register capturing quantities, cost, market value and classifications

Participants can calculate and interpret core market-risk measures for a portfolio.

• Standard deviation, variance and covariance calculated from historical return series
• Correlation matrices identifying diversification benefits and hidden concentration risks
• Beta estimation against market indices using ordinary least squares regression
• Parametric Value at Risk using confidence levels, volatility and holding periods
• Historical simulation Value at Risk using observed market return scenarios
• Expected shortfall measuring average losses beyond the Value at Risk threshold

Participants can develop a strategic asset allocation from objectives, constraints and capital-market assumptions.

• Capital-market assumptions covering expected returns, volatility and asset correlations
• Mean-variance optimisation under return targets, risk limits and allocation constraints
• Efficient frontier interpretation for competing portfolio return and risk choices
• Risk budgeting by asset class, factor exposure and contribution to volatility
• Resampled optimisation addressing estimation error in expected return assumptions
• Strategic allocation rationale documented for investment-committee approval

Participants can assess tactical allocation decisions and identify their factor-risk effects.

• Top-down tactical allocation using macroeconomic indicators and valuation signals
• Factor exposures including value, momentum, quality, size and low volatility
• Active risk measured through tracking error against portfolio benchmarks
• Information ratio assessing active return relative to active risk
• Factor concentration revealed through holdings-based and returns-based analysis
• Tactical allocation ranges controlled through predefined triggers and approvals

Participants can evaluate equity portfolio construction choices, risks and performance drivers.

• Equity valuation using discounted cash flow, multiples and dividend models
• Fundamental screening with profitability, valuation, growth and balance-sheet indicators
• Sector and country allocation effects separated from stock selection effects
• Portfolio beta managed through index composition and futures overlays
• Position sizing using conviction, liquidity, volatility and downside-risk limits
• Equity concentration controls covering issuers, sectors, countries and factors

Participants can construct fixed-income portfolios using yield, duration, spread and liquidity measures.

• Yield-to-maturity, spot rates and forward rates from government bond curves
• Modified duration estimating bond-price sensitivity to yield movements
• Convexity adjustments improving estimates for larger interest-rate changes
• Key-rate duration locating exposure along different yield-curve maturities
• Credit spread analysis separating government-rate and issuer-risk components
• Bond laddering, barbells and bullets for maturity and liquidity management

Participants can assess alternative investments within portfolio return, liquidity and valuation constraints.

• Private equity cash-flow patterns, valuation lags and commitment management
• Real estate income yields, appraisal risk and property-market cycles
• Infrastructure investments assessed through contracted revenues and regulatory risk
• Commodity exposures using futures curves, roll yield and collateral returns
• Hedge fund strategies classified by directional, relative-value and event risk
• Illiquidity premiums weighed against redemption terms and funding requirements

Participants can evaluate portfolio performance against benchmarks and identify return sources.

• Benchmark-relative return calculated using consistent valuation dates and currencies
• Brinson attribution separating allocation, selection and interaction effects
• Fixed-income attribution using duration, curve, spread and security effects
• Sharpe ratio, Sortino ratio and Treynor ratio for risk-adjusted returns
• Manager evaluation distinguishing skill, style drift and unintended factor exposures
• Performance-report narratives linking results to approved investment decisions

Participants can explain derivative payoffs, pricing drivers and portfolio uses.

• Forward contracts priced from spot rates, carry costs and interest differentials
• Futures margining, daily settlement and basis risk mechanics
• Option payoffs for calls, puts, spreads, collars and straddles
• Black-Scholes-Merton inputs including spot, strike, volatility, rates and maturity
• Option Greeks measuring delta, gamma, vega, theta and rho exposures
• Over-the-counter derivatives compared with exchange-traded contract features

Participants can size and monitor futures hedges for equity and bond portfolio exposures.

• Hedge ratios calculated from portfolio beta, contract beta and notional value
• Equity index futures used to reduce market beta temporarily
• Bond futures hedges adjusted for duration, conversion factors and basis
• Rolling futures positions across contract expiries and changing liquidity
• Basis risk arising from imperfect correlation between exposure and contract
• Hedge effectiveness monitored through offsetting gains, losses and residual exposure

Participants can design option strategies that protect portfolios while managing premium cost.

• Protective puts establishing minimum portfolio values during market declines
• Covered calls generating premium income while capping upside participation
• Collars combining purchased puts and written calls within defined ranges
• Put spreads reducing protection cost against specified downside scenarios
• Delta hedging adjusted for gamma, volatility changes and rebalancing costs
• Implied volatility compared with realised volatility before option selection

Participants can use swaps and related instruments to manage interest-rate exposures.

• Plain-vanilla interest-rate swaps exchanging fixed and floating cash flows
• Pay-fixed swaps used to reduce floating-rate borrowing exposure
• Receive-fixed swaps used to reduce fixed-rate asset duration
• Swap duration calculated from discounted fixed-leg and floating-leg cash flows
• Forward rate agreements hedging defined short-term interest-rate periods
• Interest-rate caps, floors and swaptions protecting asymmetric rate exposures

Participants can select and size foreign-exchange hedges for portfolio and treasury exposures.

• Transaction, translation and economic exposures distinguished for currency risk
• Forward exchange contracts priced using covered interest parity
• Foreign-exchange swaps managing funding dates and short-term currency liquidity
• Currency options protecting adverse moves while retaining favourable participation
• Hedge ratios determined by exposure certainty, horizon and risk appetite
• Rolling hedge programmes balancing transaction costs, forecasts and policy ranges

Participants can assess non-market risks that affect portfolio value and hedge execution.

• Credit ratings, probabilities of default and recovery assumptions for issuers
• Credit default swaps interpreted as market indicators of default risk
• Liquidity risk measured through bid-ask spreads, volume and liquidation horizons
• Collateral calls projected under adverse market moves and margin agreements
• Counterparty limits based on exposure, collateral quality and credit standing
• ISDA documentation and Credit Support Annex terms affecting derivative risk

Participants can document a hedge strategy and evaluate whether it reduces the intended risk.

• Risk exposure statement defining hedged item, horizon and risk component
• Instrument selection comparing forwards, futures, swaps and options
• Hedge ratio estimation using regression, notional matching and duration matching
• Prospective effectiveness assessment before hedge execution and designation
• Retrospective effectiveness testing using dollar-offset and regression methods
• Basis risk register documenting mismatches in tenor, index, currency and timing

Participants can identify hedge-accounting documentation needs and control points for derivative activity.

• IFRS 9 hedge accounting objectives for qualifying risk-management relationships
• Cash-flow hedges compared with fair-value hedges and net-investment hedges
• Hedge designation documentation identifying risk, instrument and effectiveness method
• Fair-value measurement inputs classified under the IFRS 13 hierarchy
• Independent price verification for derivatives, bonds and structured instruments
• Segregation of duties across dealing, confirmation, settlement and valuation

Participants can convert approved portfolio decisions into controlled, cost-aware implementation plans.

• Pre-trade compliance checks against mandate limits and restricted lists
• Implementation shortfall measuring explicit costs, market impact and opportunity cost
• Market, limit and algorithmic orders selected by liquidity and urgency
• Trade allocation procedures ensuring fair treatment across managed accounts
• Best-execution evidence covering venue selection, pricing and transaction records
• Settlement controls addressing confirmations, failed trades and custodian reconciliation

Participants can operate a portfolio monitoring process with rebalancing and escalation triggers.

• Rebalancing bands triggered by allocation drift, cash flows and market movements
• Portfolio dashboards covering returns, exposures, limits, liquidity and collateral
• Historical stress scenarios based on rate shocks, equity falls and currency moves
• Hypothetical scenarios testing inflation, recession, credit spread and volatility shocks
• Reverse stress testing identifies conditions that breach risk tolerances
• Escalation reports specifying breaches, recommended actions and approval requirements

Participants can prepare clear decision papers for portfolio oversight and challenge.

• Investment-committee packs linking performance, risk, exposures and proposed actions
• Executive summaries distinguishing facts, assumptions, recommendations and decisions required
• Attribution commentary explaining allocation, selection and market effects
• Risk-limit exceptions documented with root causes, actions and deadlines
• Manager due diligence covering mandate adherence, process, fees and governance
• Annual policy reviews reflecting liabilities, market conditions and organisational changes

Participants can build, review and present a complete portfolio construction and hedging recommendation for an investment committee.

• Investment policy statement defining objectives, constraints, benchmark and governance
• Strategic allocation supported by capital-market assumptions and risk-budget analysis
• Portfolio holdings selected with documented return, risk and liquidity rationale
• Derivative hedge proposal addressing rate, currency, equity and basis exposures
• Stress-test results, collateral estimates and limit-monitoring requirements presented clearly
• Investment-committee presentation defending recommendations, trade-offs and implementation priorities