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Active Portfolio Management

& Asset Allocation

Enhance your knowledge of asset allocation, portfolio construction,
style management strategies and performance measurement

HRDF Claimable (SBL: Scheme) 14 - 16 Aug 2017

Pullman Kuala Lumpur Bangsar, Malaysia


Compare and contrast the various quantitative New Techniques and Approaches
approaches to managing portfolios This course brings new techniques and approaches to the
Assess the various approaches to the asset allocation disciplines of active portfolio management and asset allocation.
decision Participants will learn how to apply these new approaches in
Measure and analyse the active risk being taken in a managing equity and bond portfolios. Top-down asset allocation
portfolio methodologies will be examined along with bottom-up stock and
Differentiate between the alpha, beta and smart beta bond analysis
approaches to managing active portfolios
Understand the wide variety of factors that can impact the Active Portfolio Management
performance of an active portfolio In this practical and hands-on training course, the various active
Apply optimization techniques in the asset allocation approaches to managing a portfolio will be covered. In addition,
decision making process significant attention will be paid to the management and analysis
Dynamically rebalance portfolios to optimize the risk- of active risk in a portfolio. Participants will tackle real world case
return trade-off studies to understand how the best institutions and managers
generate superior returns in a risk-controlled manner

Apply performance and risk attribution analysis in assessing
a mangers value-added


Formulate and implement an active portfolio management
The course will be of value to professionals in the following areas:
In-depth understanding of how the worlds best fund
managers generate excess returns
Fund and Portfolio Managers Investment Analysts Asset
Allocators Investment Strategists Risk Analysts and Managers Practical application of risk budgeting approaches to active
Performance and Attribution Analysts Client Relationship portfolio management
Managers Compliance Managers Clear articulation of your investment approach and
philosophy to managing portfolios

Bernard Duffy Expert Trainer

Consultant, Trainer, Author (UK)

Bernard Duffy is a dedicated training solutions provider to the Global Pension, Fund Management and Private Wealth
Management sectors. He has over 20 years of training experience and he specializes in the design and delivery of training
programmes across the full spectrum of products and asset classes, both traditional and alternative. He is highly
respected for his ability to explain and teach sophisticated investment and pension products and strategies in a very
engaging manner

Bernard began his investment management career with Abbey Life in Dublin in 1981 before moving to London in 1985
to work for Irish Life Assurance Plc. At Irish Life, he was responsible for investment product marketing and new fund
launches and was responsible for the company's successful entry into the single premium bond market.

Organised By
Program Timings
Registration will begin at 08.30am on Day One. Traxius Global Sdn Bhd
The program will commence at 9.00am each day and continue (1125473-D)
until 5.00pm.
Workshop Agenda

Day One: 14 August 2017 | Monday Thematic approaches

Risk and return performance of some popular smart

Session 1: The Old Theoretical Framework Case Study: Comparing Smart Beta Strategies in Different
Modern portfolio theory how modern is it ?
Why modern portfolio theory failed in recent years
Capital asset pricing theory and C.A.P.M.
Applications of C.A.P.M. Day Two: 15 August 2017 | Tuesday
Mean-variance analysis and Markowitz portfolio
Theory of diversification ASSET ALLOCATION
Correlation and covariance concepts
Applying correlation and diversification theory in Session 1 Strategic Portfolio Optimisation
constructing and managing a portfolio The optimal asset allocation of a pension fund
factors to consider
The fund managers relationship with the trustees
Session 2: Modern Quantitative Strategies and Portfolio optimisation with drawdown constraints
Approaches Strategic asset allocation in the presence of liabilities
Principles guiding quantitative portfolio management The target return and minimum acceptable return

Moving beyond Markowitz mean-variance The return orientation of the pension fund relative,
optimisation absolute, unconstrained
Insights from Black-Litterman and Bayesian Core/explore/satellite approaches
approaches The importance of alternative assets
Factor choice, factor exposure and factor forecasting The importance of cross-over assets
Quantitative portfolio construction and management The importance of inflation-hedging assets
in emerging markets challenges and pitfalls
The importance of liability-matching assets
Quantitative unconstrained portfolio management
when conviction is high Case Study: Asset-Liability Matching for a Pension Fund
Minimum-variance portfolios, construction and
Portable alpha in theory and practice Session 2 Tactical Portfolio Optimisation
130/30 strategies The move away from static benchmarks
ETFs the vehicle of choice? Dynamic optimisation approaches to asset allocation
Market timing and market cycle analysis
Case Study: Calculating the Risk/Return Characteristics Factors affecting asset prices in different phases
of an Unconstrained (high conviction) Equity Portfolio The equity cycle and how it interacts with the
interest rate and credit cycles
Sector and style allocation at each phase of the cycle
Session 3: Alpha Decomposition
Growth Vs Value over the course of the cycle
Ex ante Vs ex post alpha
Decomposing alpha skill, breadth and risk Case Study: Tactical Portfolio Optimisation
The fundamental law of active management
Devising better alpha forecasts
Alpha-based returns Vs beta-based returns Session 3 Dynamic Asset Mix Rebalancing
Fama-French factor models The rationale behind rebalancing
Return attribution and alpha decomposition The pros and cons of rebalancing
The different approaches to rebalancing
Case Study: Alpha Exercises Buy-and-hold strategies
Constant mix strategies
Constant proportion portfolio insurance
Session 4: Smart Beta and Factor Investing Options based portfolio insurance
What is smart beta and why it is important Designing and customising a rebalancing strategy to
The equity smart beta universe fit the clients risk profile and view of the market
Smart beta and ETFs
Systematic approaches- equal weighted, economically Case Study: Dynamic Asset Mix Rebalancing
weighted, risk weighted, factor tilts
Workshop Agenda

Session 4 - Performance and Risk Attribution

Day Three: 16 August 2017 | Wednesday
RISK MANAGEMENT DURATION AND Time-weighted and money-weighted returns
CREDIT ANALYSIS Modified-Dietz methodology
Risk-adjusted performance analysis and measurement
Session 1 - Overview of Portfolio Risk Management Interpretation and application of the following
Standard deviation and volatility risk measures Sharpe ratio, Sortino ratio, Treynor
Downside deviation and value-at-risk ratio, Information ratio, Jensen ratio
Tracking error risk and its interpretation The skill-luck matrix
Alpha and beta revisited Components of investment performance
Decomposing risk into its key components Performance attribution analysis Brinson model
portfolio market risk, specific risk and total risk Selection effects Vs allocation effects
Analysing and interpreting the risk of a portfolio

Case Study: Measuring and Analysing the Risk of a

Concentrated Equity Portfolio
Course Director Profile

Bernard Duffy
Session 2 - Asset Liability Management and Risk Consultant, Trainer, Author


Modelling in the presence of Liabilities Duration,
Immunisation and Dedication
Understanding the relationship between assets and Bernard Duffy is a dedicated training solutions provider to the
liabilities Global Pension, Fund Management and Private Wealth
The actuarial value of liabilities Management sectors. He has over 20 years of training
Impact of liabilities on investment strategy experience and he specializes in the design and delivery of
Liabilities and funding policy training programmes across the full spectrum of products and
asset classes, both traditional and alternative. He is highly
Theory of surplus returns and surplus asset
respected for his ability to explain and teach sophisticated
allocation investment and pension products and strategies in a very
Developing a strategic benchmark in an asset-liability engaging manner.
framework Bernard began his investment management career with Abbey
Asset-liability modelling and what it can achieve Life in Dublin in 1981 before moving to London in 1985 to
Current issues in asset-liability modelling work for Irish Life Assurance Plc. At Irish Life, he was
LMAP the liability matching asset portfolio responsible for investment product marketing and new fund
RAP the risky asset portfolio launches and was responsible for the company's successful entry
into the single premium bond market.
Duration analysis of assets and liabilities
Immunisation strategies He joined County Bank at the end of 1986 as Research and
Development executive in the unit trust division. In 1987 he
Dedication strategies transferred to the investment management division, assuming
responsibility for the management and performance of Canadian
Case Study: Pension Fund Asset/Liability Management equity investments. In 1991, he was seconded to the European
equity desk to manage a research project on European smaller
companies. At the end of 1992, he was promoted to head of
Session 3 - Credit Analysis and Credit Portfolio the North American equity desk, a position he held until
embarking on a training career in 1996.
Carrying out a detailed credit analysis on an issue He has undertaken numerous training assignments throughout
Europe, Asia, the Middle East and the U.S.A. for leading asset
Financial ratio analysis the main balance sheet, cash managers, pension funds and private banks.
flow and income statement ratios Bernard has a BA(Hons) in Economics and Politics and an MA in
Assigning a rating Development Economics from University College Dublin
Overview of credit portfolio management (UCD). He received his MBA in Finance from Cass Business
approaches School in London in 1988.
Bernard is the founder of PensionsIQ which provides training
Case Study: Credit Analysis and consulting services to pension funds and their advisors.
Registration Form:
14 - 16 Aug 2017
Active Portfolio Management Hotel Pullman, Kuala Lumpur Bangsar
& Asset Allocation
Siti Esah
Fax: +603-7773 0792 1 Name:
Job Title:

INVESTMENT Department:
Group Discounts: 2 delegates & above

Early Bird price RM 4,995 per delegate* Email:

Regular Price RM 5,395 per delegate

**Early Bird only VALID for registrations received 2 Name:

before and on 21st July 2017
Job Title:


By Cheque crossed & payable to: Email:
Traxius Global Sdn Bhd

By Direct Bank Transfer:
CIMB Bank Berhad 3 Name:
Bandar Sunway, Selangor Job Title:
Acc. No. (8007375369)
SWIFT Code: CIBBMYKL Department:

Hotel Pullman Kuala Lumpur Bangsar COMPANY INFORMATION:
Tower 3, No. 1, Jalan Pantai Jaya,
59200 Kuala Lumpur, Malaysia Company Name:
Tel: +603-2298 1888 | Fax: +603-2298 1999
Street Address:

City: Postcode:
State: Country:
TRAXIUS GLOBAL SDN BHD reserves the right to
make any changes or amendments to the programme Tel: Fax:
for reasons beyond its control.

Substitutions are welcomed. Please notify us at least Name:
two week before the event (31 July 2017).
Cancellations must be in writing either by fax or Job Title: Email:
email. A 10% service fee will apply. Department:
Regrettably, there will be no refund and a 100%
liability for the cancellations received after the Direct Line: Direct Fax:
aforementioned date. This will also apply to
delegates who are unable to attend on the day.
Name: Job Title:
Department: Email:
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Traxius Global Sdn Bhd. (1125473-D) Signature:

62B, Petaling Utama Avenue, Jalan PJS 1/46,
46150, Petaling Jaya, Selangor
Telephone : 03-7773 0892
Faks : 03-7773 0792
Email :
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