CFA Institute / EDHEC Alternative Asset Allocation Seminar - Course Contents
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Course Contents & Outline The Alternative Asset Allocation Seminar is an intensive three-day course that will impart advanced concepts and practical tools for optimal construction and risk management of multi-style multi-class portfolios. It will also enable participants to derive the full benefits of alternative investments for asset management and asset-liability management (ALM) while controlling for their specific risks. |
Day 1: Multi-Style Multi-Class Portfolio Construction:
Understanding the risks and return dynamics of the various alternative classes and strategies; measuring the linear and non-linear factor exposures of traditional and alternative investments; addressing data limitations, autocorrelation, and non-normality; managing asset class exposure; using tools for the operational management of liquidity, valuation, and counter-party risk; measuring extreme risk and accounting for it in portfolio optimisation.
Risk and return drivers of alternative investments
- Understanding alternative classes and alternative strategies
- Comprehensive factor model for alternative and traditional classes and sub-classes
Portfolio construction and risk management
- Dealing with data limitations, illiquid assets, and non-Gaussian returns
- Managing the asset class exposure
- Operational risk management
- Portfolio-wide risk management
Day 2: Financial Engineering and Alternative Investments:
Optimising the integration of alternative investments into asset management and ALM; measuring the inflation-hedging properties of traditional and alternative assets; reducing the cost of inflation protection and hedging extreme inflation risk with alternative investments; optimising the diversification potential of alternative investments; designing alternative diversifiers for equity and bond portfolios; implementing dynamic risk-controlled strategies to optimally displace traditional assets with alternative investments; designing multi-style multiclass open-ended investment solutions with liquidity, drawdown, and performance constraints.
Alternatives in ALM
- Integrating alternative investments in an ALM context
Alternatives in the liability-hedging portfolio
- Inflation-hedging properties of alternatives
- New forms of inflation-hedging portfolios with alternative investments
Alternatives in the performance-seeking portfolio
- Alternatives for optimal diversification
- Alternatives for optimal substitution
Day 3: New Frontiers in Alternative Asset Allocation:
Exploring volatility as an asset class and looking at best industry practices for liquidity and extreme risk management—volatility as a portfolio diversifier, volatility as a hedge against downside equity risk; understanding the characteristics, the pros and cons, and the pricing of first- to fourth-generation volatility products; reviewing systematic and tactical volatility strategies—understanding property derivatives markets and instruments; using derivatives for synthetic management of portfolios with illiquid assets and for arbitrage strategies; understanding the pitfalls of traditional risk-measurement tools and using pragmatic approaches for extreme risk management; assessing and implementing tail-risk hedging strategies.
Volatility as an emerging asset class
- The case for volatility as an asset class
- Volatility vehicles
- Volatility strategies
Synthetic liquidity and portfolio management—a property case study
- Understanding property derivatives markets and instruments
- Reviewing strategies based on property derivatives
Extreme risk management—a fund of hedge funds case study
- Extreme risks in hedge funds
- Identifying extreme risks in hedge fund returns
- Hedging tail risks in a hedge fund portfolio
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CFA Institute / EDHEC Alternative Asset Allocation Seminar:
