Page 12 - MONECO Financial Training Catalogue

ACTIVE PORTFOLIO CONSTRUCTION: MPT APPROACHES FROM TREYNOR/BLACK TO BLACK/LITTERMAN AND BEYOND
DATES: May 12 – 13, 2025 • PRICES: € 1,400 In-class, € 1,050 Online • LOCATION: Prague and Online

• Review of “Passive” MPT Course Description
Portfolio Construction While Modern Portfolio Theory (MPT) is well known for its passive and factor
recommendations, information on the active portfolio construction methodologies is
• Treynor/Black: Implementing less available and scattered. This course provides an overview of the methods proposed
Non-Zero Alpha Information since the early work of Markowitz and Sharpe to build and manage active portfolios
based on private alpha information subject to forecast risk. This program is suitable for
• Treynor, Roll, Grindold/Kahn: junior and advanced investment professionals as well as non-technical stakeholders in
Taking int o Account Alpha the investment process who require a top-down overview. Formulas and models will be
Forecast Risk presented in a summarized form, but the spirit of this course is application-oriented,
leaving room for discussions and participant questions.
• Black/Litterman Model and
Target Audience
the Intuitions Behind It
Junior up to advanced investment professionals, risk managers, investment analysts,
• Bayesian Approach to investment committee members, senior management, relationships and sales
Forecasting professionals.
Materials
• Implementing Absolute,
Participants will receive the slides presented, spreadsheets containing example
Relative and Basket Forecasts
calculations for all models and concepts discussed and important papers in PDF format.
Across Portfolio
30
MONDAY, MAY 12 Treynor, Roll, Grindold/Kahn: 12 –13 30
00
09 – 09 15 Taking into Account Alpha Lunch break
30
Welcome and Introduction Forecast Risk 13 –17 00
15
09 –12 30 • Alpha Estimation Using Scores, IC Black/Litterman, Part II:
Review of “Passive” MPT Portfolio and Residual Risk Implementing Absolute, Relative and
Construction • Scoring Approaches to Forecasting Basket Forecasts Across Portfolio
• Markowitz Optimization: Problems • IC and Shrinkage Constituents and Segments
Type I, II and III • Targeting the Information Ratio: • View Portfolios: Modelling absolute,
• Sharpe Portfolio Construction: Benchmark-Relative Optimization as relative & basket views
Equilibrium, Market-Cap Weighted Long/Short Optimization • Forecasts as Payoff of Portfolios
Market Portfolio, Two-Fund • Forecast Risk: Volatility of View Payoffs
Separation, Diagonal Model TUESDAY, MAY 13 • Combining Top-Down and Bottom-Up
00
• Effi cient Set Mathematics: Merton, 09 –12 30 Forecasts (Sefton et.al.)
Roll Parametrization of Problem Type II The Roll and Jorion Critique: Why • The Joint Hypothesis Problem When
• Moving Beyond the CAPM: Fama’s Relative Active Managers Should Backtesting Black/Litterman
Multifactor Equilibrium and Multifactor Not Loose Sight of Absolute Risk
Portfolio Construction and Return What’s Next?
• What Means “Active” Portfolio • IR Frontier in Mean-Variance Space: • Summary
Management? Excessive Risk Taking • Plenum Discussion
• Solutions: TE, Volatility and/or Beta • Latest and Creative Applications in
30
12 –13 30 Restrictions, Bringing Back Risk Research and the Industry
Lunch break Aversion (Roll, Jorion and Betrand’s • AI, ML, Data Sciences?
30
13 –17 00 Suggestions) • Alpha-Ignorant Solutions: Equ al-
Treynor/Black: Implementing • Targeting Absolute and Risk Goals Weighting, Risk Parity & Risk
Non-Zero Alpha Information Simultaneously: Two-Covariance Budgeting?
• Alpha as an Intercept: Return without Matrix Optimization (Wang)
Risk? • Dual Linear Goals: Building Summary and Conclusions of the
• Analytical T/B Solution Assuming that Portfolios which Target Both Course
Residuals are Uncorrelated Financial and Sustainability Goals
• T/B Solution for Correlated Residuals
• The Portfolio Factory: Implementing Black/Litterman, Part I: Bayesian
Alpha Expectations Consistently Approach to Forecasting
Across Client Investment Portfolios • The Origin of Black/Litterman: Theil/
and the Product Portfolio Goldberger Estimator for Combining
• Why Treynor/Black is Ignored by Data and Non-Data Information
Practitioners for the Right and Wrong • General Introduction to Bayesian
Reasons Models: Aggregating Two Sources of
Information by Taking into Account
Their Credibility
• Implied Returns: Assumed MV
Effi ciency in Order to Derive Tilted
Portfolios Relative to a Benchmark
Independent of Market Effi ciency

12 Hybrid course – both classroom and online training available.