Advanced Portfolio Management Professional Certificate

New York Institute of Finance

ITEM ASMA0300

15 Jul 2024 - 19 Jul 2024

09:00 AM - 04:30 PM

$5,995.00

group

In-person (NY Campus)

update

5

language

English

school

Advanced

15 Jul 2024 - 19 Jul 2024

09:00 AM - 04:30 PM

$5,995.00

videocam

Virtual (Full-time)

update

5

language

English

school

Advanced


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Advanced Portfolio Management Professional Certificate

The Advanced Portfolio Management Professional Certificate is a rigorous survey of the advanced tools and techniques employed in the practice of Portfolio Management

CPE Credits: 35

Prerequisite knowledge:

  • Some familiarity with equity, fixed income and alternative asset classes
  • Fixed income mathematics
  • Knowledge of portfolio theoretic concepts including mean-variance measures, portfolio diversification, systematic risk
  • Intermediate MS Excel skills (data tables, lookup functions, etc.)
  • Knowledge of elementary calculus, probability theory and basic statistical methods

 

This Professional Certificate comprises the following NYIF courses:

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Module 1: Introduction

  • Why measure portfolio performance?
  • The measurement process
  • A brief history of asset returns
  • Review of quantitative tools

Module 2: The Mathematics of Portfolio Returns

  • Arithmetic vs. geometric rates of return
  • Value (money) weighted rates of return
  • ICAA, simple and modified Dietz methods
  • Time weighted rates of return
  • Hybrid methodologies
  • Linked modified Dietz and linked IRR
  • Portfolio component returns

Module 3: Benchmarking

  • Desirable properties for benchmarks
  • Index calculation methodologies
  • Price weighted indices
  • Market capitalization indices
  • Equally weighted indices
  • Benchmark selection
  • Benchmark statistics

Module 4: Adjusting for Risk

  • Return distributions
  • Market price of risk
  • Risk measures (Drawdown, VaR, CVaR, etc.)
  • Risk-adjusted returns
  • Selecting a risk measure
  • Risk-adjusted performance measures for equity and fixed income
  • Risk-adjusted performance measures for hedge funds

Module 1: Performance Attribution: Foundations

  • Active vs. passive portfolio management
  • Attribution standards
  • Arithmetic attribution techniques
  • Geometric attribution techniques
  • Multi-currency attribution
  • Risk-adjusted attribution

Module 2: Fixed Income Attribution

  • Duration attribution
  • Yield curve analysis and decomposition
  • Yield curve attribution

Module 3: Performance Management with Derivatives and Market Neutrality

  • Futures
  • Swaps
  • Options, warrants and convertible bonds
  • Market neutral attribution: 130/30 funds

Module 4: Multi-Period Attribution

  • Smoothing algorithms
  • Multi-period geometric attribution

Module 1: Taxonomy of Risks

  • Market risk
  • Credit risk
  • Operational risk
  • Liquidity risk

Module 2: Market Risk Management Tools and Practices

  • Risk management tools
  • Index futures
  • Equity swaps
  • Options
  • Portfolio stress testing

Module 3: Credit Risk Management

  • Structural models of credit risk
  • Reduced form models of credit risk
  • Modelling default dependence
  • Credit value at risk

Module 4: Risk Budgeting

  • Objectives of risk budgeting
  • Marginal risk and contributions to portfolio risk
  • Risk allocation and attribution

Module 5: Risk Management and Control Structures

  • Risk assessment vs. risk management
  • Exposure and loss limits
  • Risk monitoring best practices

Module 1: Real Assets

  • Real estate as an asset class
  • Core, value-added and opportunistic real estate
  • Real estate indices
  • Public and private real estate risks
  • Portfolio allocation within real estate

Module 2: Commodities

  • Role of commodities in diversified portfolios
  • Methods of delivering commodity returns
  • Commodity futures strategies
  • Risk management for commodity portfolios

Module 3: Hedge Funds and Managed Futures

  • Managed futures: Strategies and sources of return
  • Risk and performance analysis of managed futures strategies
  • Structuring investments in CTAs
  • Hedge fund replication
  • Convertible arbitrage
  • Global macro and currency strategies

  • Equity strategies
  • Funds of hedge funds

Module 4: Private Equity

  • Private equity fund structures
  • Building a private equity portfolio
  • Fund manager selection
  • Benchmarking and measuring private equity performance
  • Private equity fund valuation
  • Liquidity management

Module 1: Risk Aversion: The Psychology of Risk

  • Decision making under uncertainty
  • Utility functions and measures of risk aversion
  • Overview of prospect theory
  • Cognitive biases
  • Framing

Module 2: Modern Portfolio Theory

  • Review of the Capital Asset Pricing Model (CAPM)
  • Two fund separation
  • Arbitrage pricing theory and multi-factor models
  • Does the theory work? A review of the evidence
  • The three-factor model

Module 3: A Behavioral Approach to Portfolio Management

  • Trading Biases
  • Hanging on to losers: The disposition effect
  • Under-diversification
  • Herding
  • Implementing behavioral portfolio management
  • Value, growth and momentum strategies

Module 4: Desk Ready Skills Knowledge Check

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Advanced Portfolio Management Professional Certificate

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