Introduction
Investment portfolio management fails quietly when allocation decisions rest on untested return assumptions, rebalancing is left to chance and managers are judged on raw returns rather than risk-adjusted results. This Core Concept course equips investment and treasury practitioners to run an institutional portfolio from policy to performance review: return and risk measures, mean-variance optimisation, factor exposure, strategic and tactical asset allocation, rebalancing rules and attribution. Participants work in spreadsheet models throughout and leave with a Strategic Asset Allocation and Performance Review Model for their own portfolio. The course does not give personal investment advice.
Course Objectives
- Draft an investment policy statement that sets return objectives, risk tolerance, constraints and rebalancing ranges for an institutional portfolio
- Calculate time-weighted and money-weighted returns and risk measures, and build the correlation inputs an allocation model needs
- Construct an efficient frontier and apply CAPM beta and factor exposures to judge expected return and risk
- Design a strategic asset allocation with tactical ranges across equity, fixed income, alternatives and Sharia-compliant sleeves
- Evaluate portfolio and manager results with the Sharpe ratio, information ratio, tracking error and allocation and selection attribution
- Produce a Strategic Asset Allocation and Performance Review Model with an investment committee paper
Target Audience
- Investment analysts who prepare allocation, risk and return analysis for decision makers
- Portfolio management staff who implement allocation decisions and rebalance holdings
- Treasury professionals who invest surplus liquidity and reserve funds
- Investment committee secretariat staff who prepare policy and performance papers
- Performance measurement and risk reporting staff who calculate returns and attribution
- Manager research staff who select and monitor external investment mandates
Course Outline
Day 1: Investment Policy, Return and Risk Foundations
- Investment Policy Statement Structure: Return Objective, Risk Tolerance and Constraints
- Holding Period, Time-Weighted and Money-Weighted Return Calculation
- Standard Deviation, Downside Deviation and Maximum Drawdown Measures
- Asset Class Return, Volatility and Correlation Matrix Build
- Current Portfolio Diagnostic Against Policy Targets and Liquidity Needs
Day 2: Portfolio Theory and Asset Pricing Models
- Markowitz Mean-Variance Optimisation and the Efficient Frontier
- Capital Market Line and the Tangency Portfolio
- CAPM Beta Estimation and the Security Market Line
- Fama-French Three-Factor Model Exposure Analysis
- Mean-Variance Limitations: Fat Tails, Estimation Error and Input Sensitivity
Day 3: Asset Allocation and Portfolio Construction
- Strategic Asset Allocation Policy Mix Build with Optimiser Constraints
- Tactical Asset Allocation Ranges and Deviation Limits
- Core-Satellite Structure: Passive Core and Active Satellite Sizing
- Equity, Fixed Income Duration and Alternatives Role Mapping
- Sharia-Compliant Portfolio Screens: Equity Filters, Sukuk Sleeves and Purification
Day 4: Rebalancing, Performance Attribution and Manager Oversight
- Calendar Versus Threshold Rebalancing Rules and Transaction Cost Estimate
- Sharpe Ratio, Information Ratio and Tracking Error Analysis
- Brinson Allocation and Selection Effects Attribution
- GIPS Performance Presentation Principles for Firms and Asset Owners
- External Manager Selection Criteria, Mandate Terms and Watch-List Triggers
Day 5: Modelling Build and the Allocation Review Model
- Endowment Case: Strategic Asset Allocation Model Build
- Corporate Treasury Case: Reserve Portfolio Rebalancing Plan
- Insurance Portfolio Case: Manager Performance and Attribution Review
- Strategic Asset Allocation and Performance Review Model Assembly
- Investment Committee Paper Presentation and Peer Challenge
Skills You Will Gain
- Mean-Variance Optimisation
- Factor Exposure Analysis
- Return Calculation Methods
- Rebalancing Rule Design
- Performance Attribution
- Risk-Adjusted Return Evaluation
- Mandate Monitoring
- Sharia Screen Application
Why Attend This Course
- Return with a Strategic Asset Allocation and Performance Review Model built in a spreadsheet and ready for your own portfolio data
- Answer investment committee questions on why the policy mix holds each asset class and how far it may drift
- Separate manager skill from market and allocation effects before renewing or ending a mandate
- Compare portfolio practice with peers from banks, insurers, endowments and corporate treasuries
Conclusion
Portfolio results depend on decisions taken well before any security is bought: the policy, the allocation and the rules for drift and review. This course moves from investment policy and return and risk measurement, through mean-variance optimisation, CAPM and factor models, to strategic and tactical asset allocation, rebalancing, attribution and manager oversight. The final day applies these methods to endowment, treasury and insurance cases and produces a Strategic Asset Allocation and Performance Review Model with an investment committee paper that participants take back to their own portfolio.
