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EDHEC-Risk Executive Education

Alternative Asset Allocation Seminar - Overview

11-13 April, 2012 - New York

With this latest Alternative Asset Allocation seminar, EDHEC-Risk Institute continues to organise seminars that take stock of the latest industry trends and research advances and clarify the distinction between true innovation and mere marketing claims.

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 real assets for asset management and asset-liability management (ALM) while controlling for their specific risks.

Presented in a highly accessible manner by a team of instructors with established reputations for bringing together academic expertise and industry experience, the seminar combines exploration of innovative models, concepts, and themes, presentation of state-of-the-art practical tools, and examination of best industry practices.

Course Contents:

The first day of the seminar introduces the state-of-the-art in multi-style multi-class portfolio management. It analyses the risks and return drivers and the conditional performance of the various alternative asset classes and strategies. It shows how to deal with non-Gaussian returns, illiquid assets, and flawed data and to account for extreme risks in multi-style multi-class portfolio optimisation. It presents qualitative techniques to control asset-class exposures and manage liquidity, valuation, and counterparty risks, and surveys quantitative tools for portfolio-wide risk management.

The second day of the seminar focuses on asset allocation to real assets. It examines the short- and long-term inflation-hedging characteristics of real and financial assets. It then shows how to use real assets to optimise strategic asset allocation in both asset-only and asset-liability management (ALM) contexts, paying particular attention to the impact of inflation regimes. It concludes with a review of tactical asset allocation with real assets that emphasises macro-momentum approaches.

The final day of the seminar explores new frontiers in alternative investments. It looks at volatility products and strategies and assesses the potential of volatility as an emerging asset class, reviewing its diversification and downside- risk-hedging properties. It explores infrastructure investing, analyses the risk/return profile and unique characteristics of the various infrastructure sub-sectors, reviews alternative investment approaches and vehicles, discusses portfolio construction issues and infrastructure programme management, and concludes with an examination of direct and indirect infrastructure investing strategies and case studies.

Seminar Instructors:

  • François-Serge Lhabitant, Affiliated Professor of Finance at EDHEC Business School and a member of EDHEC-Risk Institute, and Chief Investment Officer at Kedge Capital Fund Management.

  • Lionel Martellini, Professor of Finance at EDHEC Business School, Scientific Director of EDHEC-Risk Institute, and Scientific Advisor at EDHEC-Risk Indices & Benchmarks.

  • Euan Sinclair, Risk Manager for Bluefin Trading, a privately owned financial services business focused on listed derivative market-making, proprietary trading, and institutional sales and trading.

  • Michael Underhill, Chief Investment Officer of Capital Innovations, an asset management firm he established in 2007.

Key Learning Benefits:

The seminar will enable participants to:

  • Understand the risks, return drivers, and conditional return characteristics of hedge funds, commodities, private equity, real estate, and emerging alternative assets.

  • Find out how to build resilient multi-style multi-class portfolios.

  • Learn to use real assets to improve the risk budgets in asset management and ALM programmes.

  • Explore the potential of volatility for portfolio diversification and hedging of downside equity risk.

  • Examine infrastructure investing as an asset class, understand the specificities of the various investment approaches and vehicles, study infrastructure programme management for different types of investors, and discover best practices for direct and indirect infrastructure investing.

Who Should Attend:

  • The programme is intended for investment management professionals who advise on or participate in the design and implementation of asset allocation and risk management policies, and for sell-side practitioners who develop new asset management and ALM solutions for investors.

  • It is especially relevant to those who need to optimise the construction and management of alternative and multi-style multi-class solutions or examine the means—as well as the benefits—of making alternative classes and strategies an integral part of portfolios.

CFA Institute Continuing Education Credits:

As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk has determined that this programme qualifies for 21 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary. Please see www.cfainstitute.org/ceprogram for more information.

Alternative Asset Allocation Seminar: