Factor Modelling for Investment Management
Factor models and factor-based investing are changing the way institutional investment managers construct portfolios and analyze risk.
This hands-on programme explores key techniques and practical challenges when working with factor models in investment management; as well as reviewing how factor models enable better portfolio risk assessments. Economic as well as statistical aspects will be covered in a balanced manner.
The course features practical applications of all concepts discussed, using Excel models with relevant real-world data.
Recommend to a ColleagueThis course is also available in London Time Zone and New York Time Zone
This course is FTS-Eligible* and also eligible for 16 CPD hours. GARP & CFA Institute members are eligible for 16 CE/CPD credits. See details
- Quantitative Analysts
- Risk Managers
- Portfolio Managers
- Investment Consultants
- Financial Economist
- Understand quantitative approaches used in factor modelling today
- Develop basic factor models for equity, fixed income and multi-asset class portfolios
- Use factor models in performance & risk analysis as well as asset allocation
- Basic understanding of Modern Portfolio Theory (MPT) and statistics
- Good familiarity with Microsoft Excel
*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is
eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does
this represent an endorsement of the quality of the training provider and programme. Participants are
advised to assess the suitability of the programme and its relevance to participants' business activities
or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject
to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme
Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
Andreas Steiner is an independent consultant with over 15 years of practical experience in investment management. He focuses on investment process with related projects ranging from risk management to portfolio construction. He has published research on a wide range of investment topics - i.e. "Risk Parity for the Masses" in The Journal of Investing - and is currently working on a book covering asset allocation and applied portfolio theory.
Previously, Andreas held various roles at banks and fund management companies and was Head of Investment Risk Management at a private bank in Switzerland. He was also an external lecturer at the Zurich University of Applied Sciences, delivering courses on portfolio theory, performance analysis, international investing and Behavioural Finance.
Andreas holds a Master's degree magna cum laude in Economics from the University of Zurich specializing in Monetary Economics and Financial Markets. He is also a member of various industry associations related to investment performance and risk.
Request a Brochure with full details for Factor Modelling for Investment Management
Background
- Overview factor research and applications: from the CAPM to "Smart Beta"
- Factor models: fundamental, macroeconomic, statistical and hybrid
- Commercial versus custom factor models
Statistical Foundations
- Linear regression models: assumptions, estimation, analytics (R^2, t-stats, F-test, DW)
- Cross-section versus time-series regressions in finance
- Overview advanced regression techniques: non-linear variables, dummy variables, non-linear estimation techniques, time-variable regression parameters
Workshop: Style analysis of a hedge fund
- Big Data & Data Mining: introduction to LASSO
- Limits to quantitative analysis: system complexity, data issues, stability, out-of-sample performance
Workshop: Identifying hedge fund performance factors
Statistical Factor Models
- Understanding principal component analysis (PCA)
Workshops: Inferring the factor structure from single stocks, modelling yield curve dynamics, and identifying extreme scenarios for stress testing purposes
- Beyond PCA: Introduction to independent component analysis (ICA)
Fundamental Factor Modelling
- Asset pricing and fundamental factors, factor-mimicking portfolios
Workshops: Building a fundamental factor model for an equity portfolio, modelling the momentum factor
Macroeconomic Factor Modelling
- Real and monetary macroeconomic factors and transmission mechanisms
Workshop: Building a macroeconomic model for a multi-asset class portfolio, extracting factors from macroeconomic data
Applications of Factor Models
-
Performance Analysis
- Return contributions from factors
- True alphas & hidden factor exposures
Workshop: Factor performance attribution
-
Risk Management
- Ex-ante absolute and relative portfolio risk decomposition
Workshop: Factor attribution of absolute and relative portfolio risk
Conclusions and Outlook
Very knowledgeable professor; he illustrated factor investing very well from both academic and practitioner's perspective.
(Head of Trading Strategy - Lincoln Financial Group)
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.