Asset Allocation

Program Experience

Highlights and Key Outcomes:

• Implement the CAPM formula and other multi-factor asset-pricing models
• Differentiate hedge, private equity, and venture capital funds from mutual fund strategies
• Employ models of allocation better to analyze investment correlation and volatility
• Assist investors in assessing risk tolerance
• Assess performance persistence and discuss whether past performance is indicative of future results

Online Learning Modules

Module 1: Asset Pricing Models
Explore the foundational concepts of individual versus professional investors, the capital asset pricing model (CAPM), multi-factor asset-pricing models, and the practical application of mean-variance optimization. This module sets the stage for understanding how different models are used to predict asset prices and assess investment risk.

Module 2: Investment Horizon and Asset-Liability Management
This session focuses on the varying investment horizons of different types of investors and the complexities of managing assets in relation to liabilities. It covers the implications of investment horizon on risk and return, the nuances of asset-liability management, and the strategic considerations in balancing long-term obligations with short-term market fluctuations.

Module 3: Strategic Asset Allocation
Dive into the methodologies behind strategic asset allocation, diversification strategies, the impact of time-varying volatility and economic policy uncertainty, and the role of risk aversion. This module also examines different models of allocation, such as the 60/40 portfolio, and their practical applications in varying market conditions.

Module 4: Performance-Attribution Analysis
This module offers a deep dive into the techniques used to evaluate investment performance. It covers the calculation and interpretation of performance metrics like the Sharpe ratio, the impact of tactical versus strategic allocation, and the role of multi-factor models in performance assessment. Learners will also explore the nuances of adjusted values, understanding how to attribute performance accurately in a complex investment landscape.

By the end of this course, learners will be equipped with the knowledge and skills to apply advanced asset allocation strategies, understand and utilize various asset pricing models, manage asset-liability considerations, and conduct thorough performance attribution analyses. This course is essential for anyone looking to deepen their expertise in investment management and asset allocation.