Portfolio Management III - DrWaleKesh

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TRADE STRATEGY AND EXECUTION 10 Topics

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a. discuss motivations to trade and how they relate to trading strategy

b. discuss inputs to the selection of a trading strategy

c. compare benchmarks for trade execution

d. recommend and justify a trading strategy (given relevant facts)

e. describe factors that typically determine the selection of a trading algorithm class

f. contrast key characteristics of the following markets in relation to trade implementation: equity, fixed income, options and futures, OTC derivatives, and spot currency

g. explain how trade costs are measured and determine the cost of trade

h. evaluate the execution of a trade

i. evaluate a firm’s trading procedures, including processes, disclosures and record keeping with respect to good governance

Curriculum Questions

PORTFOLIO PERFORMANCE EVALUATION 17 Topics

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a. explain the following components of portfolio evaluation and their interrelationships: performance measurement, performance attribution, and performance appraisal

b. describe attributes of an effective attribution process

c. contrast return attribution and risk attribution; contrast macro and micro attribution

d. describe returns-based, holdings-based, and transactions-based performance attribution, including advantages and disadvantages of each

e. interpret the sources of portfolio returns using a specified attribution approach

f. interpret the output from fixed-income attribution analyses

g. discuss considerations in selecting a risk attribution approach

h. identify and interpret investment results attributable to the asset owner versus those attributable to the investment manager

i. discuss uses of liability-based benchmarks

j. describe types of asset-based benchmarks

k. discuss tests of benchmark quality

l. describe problems that arise in benchmarking alternative investments

m. describe the impact of benchmark misspecification on attribution and appraisal analysis

n. calculate and interpret the Sortino ratio, appraisal ratio, upside/downside capture ratios, maximum drawdown and drawdown durations

o. describe limitations of appraisal measures and related metrics

p. evaluate the skill of an investment manager

Curriculum Questions

INVESTMENT MANAGER SELECTION 10 Topics

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a. describe the components of a manager selection process, including due diligence

b. contrast Type I and Type II errors in manager hiring and continuation decisions

c. describe uses of returns-based and holdings-based style analysis in investment manager selection

d. describe uses of the upside capture ratio, downside capture ratio, maximum drawdown, drawdown duration, and up/down capture in evaluating managers

e. evaluate a manager’s investment philosophy and investment decision-making process

f. evaluate the costs and benefits of pooled investment vehicles and separate accounts

g. compare types of investment manager contracts, including their major provisions and advantages and disadvantages

h. describe the three basic forms of performance-based fees.

i. analyze and interpret a sample performance-based fee schedule.

Curriculum Questions

Overview of Asset Allocation 11 Topics

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a. describe elements of effective investment governance and investment governance considerations in asset allocation

b. formulate an economic balance sheet for a client and interpret its implications for asset allocation

c. compare the investment objectives of asset-only, liability-relative, and goals-based asset allocation approaches

d. contrast concepts of risk relevant to asset-only, liability-relative, and goals-based asset allocation approaches

e. explain how asset classes are used to represent exposures to systematic risk and discuss criteria for asset class specification

f. explain the use of risk factors in asset allocation and their relation to traditional asset class–based approaches

g. recommend and justify an asset allocation based on an investor’s objectives and constraints

h. describe the use of the global market portfolio as a baseline portfolio in asset allocation

i. discuss strategic implementation choices in asset allocation, including passive/active choices and vehicles for implementing passive and active mandates

j. discuss strategic considerations in rebalancing asset allocations

Curriculum Questions

Principles of Asset Allocation 16 Topics

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a. describe and evaluate the use of mean–variance optimization in asset allocation

b. recommend and justify an asset allocation using mean–variance optimization

c. interpret and evaluate an asset allocation in relation to an investor’s economic balance sheet

d. discuss asset class liquidity considerations in asset allocation

e. explain absolute and relative risk budgets and their use in determining and implementing an asset allocation

f. describe how client needs and preferences regarding investment risks can be incorporated into asset allocation

g. discuss the use of Monte Carlo simulation and scenario analysis to evaluate the robustness of an asset allocation

h. describe the use of investment factors in constructing and analyzing an asset allocation

i. recommend and justify an asset allocation based on the global market portfolio

j. describe and evaluate characteristics of liabilities that are relevant to asset allocation

k. discuss approaches to liability-relative asset allocation

l. recommend and justify a liability-relative asset allocation

m. recommend and justify an asset allocation using a goals-based approach

n. describe and evaluate heuristic and other approaches to asset allocation

o. discuss factors affecting rebalancing policy.

Curriculum Questions

Overview of Global investment Performance Standards (GIPS) 12 Topics

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a. discuss the objectives and scope of the GIPS standards and their benefits to prospective clients and investors, as well as investment managers

b. explain the fundamentals of compliance with the GIPS standards, including the definition of the firm and the firm’s definition of discretion

c. discuss requirements of the GIPS standards with respect to return calculation methodologies, including the treatment of external cash flows, cash and cash equivalents, and expenses and fees

d. explain requirements of the GIPS standards with respect to composite return calculations, including methods for asset weighting portfolio returns

e. explain the meaning of “discretionary” in the context of composite construction and, given a description of the relevant facts, determine whether a portfolio is likely to be considered discretionary

f. explain the role of investment mandates, objectives, or strategies in the construction of composites

g. explain requirements of the GIPS standards with respect to composite construction, including switching portfolios among composites, the timing of the inclusion of new portfolios in composites, and the timing of the exclusion of terminated portfolios from composites

h. explain requirements of the GIPS standards with respect to presentation and reporting

i. explain the conditions under which the performance of a past firm or affiliation may be linked to or used to represent the historical performance of a new or acquiring firm

j. explain the recommended valuation hierarchy of the GIPS standards

k. discuss the purpose, scope, and process of verification

Curriculum Questions

Asset Manager Code of Professional Conduct 5 Topics

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a. explain the purpose of the Asset Manager Code and the benefits that may accrue to a firm that adopts the Code

b. explain the ethical and professional responsibilities required by the six General Principles of Conduct of the Asset Manager Code

c. determine whether an asset manager’s practices and procedures are consistent with the Asset Manager Code

d. recommend practices and procedures designed to prevent violations of the Asset Manager Code

Curriculum Questions

About Instructor

Olawale Keshinro

27 Courses

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Course Includes

7 Lessons
81 Topics

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