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