Asset Allocation III - DrWaleKesh

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Capital Market Expectations, Part 1: Framework and Macro Considerations 11 Topics

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a. discuss the role of, and a framework for, capital market expectations in the portfolio management process

b. discuss challenges in developing capital market forecasts

c. explain how exogenous shocks may affect economic growth trends

d. discuss the application of economic growth trend analysis to the formulation of capital market expectations

e. compare major approaches to economic forecasting

f. discuss how business cycles affect short- and long-term expectations

g. explain the relationship of inflation to the business cycle and the implications of inflation for cash, bonds, equity, and real estate returns

h. discuss the effects of monetary and fiscal policy on business cycles

i. interpret the shape of the yield curve as an economic predictor and discuss the relationship between the yield curve and fiscal and monetary policy

j. identify and interpret macroeconomic, interest rate, and exchange rate linkages between economies

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Capital Market Expectations, Part 2: Forecasting Asset Class Returns 9 Topics

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a. discuss approaches to setting expectations for fixed-income returns

b. discuss risks faced by investors in emerging market fixed-income securities and the country risk analysis techniques used to evaluate emerging market economies

c. discuss approaches to setting expectations for equity investment market returns

d. discuss risks faced by investors in emerging market equity securities

e. explain how economic and competitive factors can affect expectations for real estate investment markets and sector returns

f. discuss major approaches to forecasting exchange rates

g. discuss methods of forecasting volatility

h. recommend and justify changes in the component weights of a global investment portfolio based on trends and expected changes in macroeconomic factors

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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

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

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

f. discuss asset class liquidity considerations in asset allocation

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

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

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

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

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Asset Allocation with Real-World Constraints 6 Topics

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a. discuss asset size, liquidity needs, time horizon, and regulatory or other considerations as constraints on asset allocation

b. discuss tax considerations in asset allocation and rebalancing

c. recommend and justify revisions to an asset allocation given change(s) in investment objectives and/or constraints

d. discuss the use of short-term shifts in asset allocation

e. identify behavioral biases that arise in asset allocation and recommend methods to overcome them

Curriculum End of Chapter Questions

About Instructor

Olawale Keshinro

27 Courses

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