Investment Risk Measures & Analysis Online Training

Course Description

Asset managers tend to choose between active or passive management – the former involving active selection of new stocks or constant rearranging of portfolio weights through careful timing and the latter through buy-and- hold strategies. While passive management has been welcomed because of low fees and (in calm markets) low volatility, active management remains a viable alternative for skilled portfolio managers.

Both active and passive managers face certain restrictions and mandated requirements such as reaching and maintaining given portfolio betas, remaining within certain tracking error bounds, in-formation ratios, Sharpe ratios, weight constraints (such as long only, or only certain fractions of the portfolio in equities, for example, or in investment grade bonds). Assembling portfolios which match and obey these requirements is non-trivial.

This course examines such constraints and provides not only the theoretical background, but also offer practical Excel spreadsheets which observe the restrictions and output the requisite portfolio weights. These spreadsheets are scalable to embrace any sized portfolio.

Benefits of Attending

Through the analysis of the best current industry practice, delegates will learn how to set up, maintain and improve the measurement of various performance metrics used in the asset management industry. Delegates will learn about multiple-period metrics, (e.g. multiple-year Sharpe ratios) and why these cannot simply be “scaled up” from one- year estimates. The evolution of portfolio asset allocation techniques (including those with mandated constraints, such as tracking error limits or beta restrictions) using the latest industry trends (and the accompanying mathematics) will be demonstrated. Simple Excel examples will be used as much as possible and all aspects of the course will be reinforced using these Microsoft Excel-based models. Although delegates will be encouraged to participate in the assembly of their own spread sheets, pre-made, simple spreadsheets will also be provided to cover most aspects of the course.

Who Should Attend?

  • Business and performance valuation and attribution
  • Portfolio management
  • Investment management
  • Equity sales & research
  • Fund management
  • Pension funds, and
  • Fund quant analysts
For the past two years, Gary has worked as an independent consultant on projects for the European Central Bank’s TRIM (targeted review of internal models). His focus has been on quantitative credit risk assessment and management in financial institutions (principally the Basel regulatory accords).
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R5 200.00 (ZAR) or $320.00 (USD) all inclusive

Event Details
  • Start Date
    30th Nov 2020 09:00
  • End Date
    30th Nov 2020 17:00
  • Status
  • Category
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Great Course

Thanks for a great course. I thoroughly enjoyed myself and your staff were excellent.

Liberty Life


Great – I would definitely choose Masterclass Events as a Training Provider.

Impala Platinum


The organisers are very professional and really caring. Felt really valued as a delegate.