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.

• Quantitative Analysts
• Risk Managers
• Portfolio Managers
• Investment Consultants
• Financial Economist

Learning Objectives

• 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