Forum Seminar

Global Fixed Income

Eilat

The seminar comprised of five 2-hour classes, plus assignments and readings. It included problems to be worked out on Excel. The topics covered included new approaches in portfolio optimization and risk management, portable alpha strategies, using factor models for portfolio management, and market inefficiencies.

Forum's Clients and prospects enjoyed a useful and productive seminar.

For your convenience you can find below the agenda of the seminar. Forum intends to conduct another Seminar . Should you have an interest please contact us or fill the form below.

Class 1.

Wednesday December 10th 14:00

Optimization

This class reviewed the principles of classical optimization and the shortfalls of the practical application of the classical model. Information/Sharpe Ratio optimization as a limited but practical alternative will be introduced.

[1] Homework/Study Session

Class 2.

Wednesday December 10th 18:30

Risk Management and Portable Alpha

Risk management through multiple and diverse strategies was discussed via the thought provoking article by Ron Kahn then of BARRA. This discussion  lead to the perspective of the decomposition of a portfolio into beta component (index related holdings) and alpha (non-index) component. We  reviewed the use of portable alpha to maximize portfolio performance across asset classes even for relatively restricted portfolios.

[1] Homework/Study Session

Class 3.

Thursday December 11th 11:30

The Use of Single Factor Models in Portfolio Management

This class reviewed the use of single factor models to represent securities in the drive for stability and confidence in future expectations. Exercises in Excel were conducted to compare the alternative representations and their value in investment. A valuable lesson that results is that simple is usually better.

[1] Homework/Study Session

Class 4.

Thursday December 11th 14:30

Multi-factor Models / Profiting from Market Inefficiencies and Anomalies

Class four had two topics. First we  extended the class 3 discussion of single factor models to multifactor models. We explored the advantage if any of any such models and the value of integrating economic intuition with statistical explanatory power.

Next we discussed market efficiencies and inefficiencies, particularly for equities in the US and in worldwide investment.

[1] Homework/Study Session

Class 5.

Thursday December 11th 17:30

More of Profiting from Market Inefficiencies and Anomalies

The final class continued the theme of examining investment opportunities through understanding market inefficiencies. We looked at the global fixed income markets and also at currency. Currency was discussed in the context of Prof. Willner's AIMR article ‘Changing Currency Risks’ that examines currency anomalies such as violations of ‘uncovered interest rate parity’ – and how (and why) they might be exploited.

Homework/Study Session

[1] Participants worked on problems covered in the previous class and assignments for the next class. These includes readings, homework problems and exercises using Excel[1].

  For our next Seminar, please fill your name in the form below, and one of   our reps. would contact you shortly for details