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Several studies have been conducted concluding that 70 to 95 percent of a portfolio’s performance is related to asset allocation with the remaining related to security selection.  The Advanced Portfolio Simulation applies theoretical knowledge to a simulated market environment (compressed 9 months of market tick data with corresponding news flow). A typical market scenario covers a portfolio of 12 instruments, covering global equity, short, medium and long term fixed income, metal, agricultural and energy commodities, various emerging markets as well as cash.  The simulation enables you to invest domestically, globally, in emerging markets and across most of the traded asset classes.

Learning Outcomes

  • Understand the fundamentals of the asset allocation space and the key players within it
  • Gain an understanding of strategic and tactical allocation
  • Apply the principles of diversification & duplication
  • deal with liquidity and other issues in secondary markets
  • Application of other skills and competencies from taught content

What Participants Do

Each team is provided with a real economic environment (with time frame disguised).   The first task will be to establish an initial allocation of the 12 possible investments.  As a manager, each team is benchmarked against a simulated MSCI World Index (equal weighting of all 12 asset classes).  Participants are given fundamental and quantitative data (market expectations, correlations and betas) on the potential fund components in order to help them establish their initial rationale for allocation.

The simulation is paused at key points in the sequence and teams re-allocate according to new market data and the risk profile of their current portfolio.

If desired, the teams can be made to tailor their portfolios to the wishes of a specific client profile, and present their results back to the client at the end of the allocation period.  

Key Outputs

  • Observable competencies: teamworking, decision making, time management, market and risk awareness
  • Electronic data capture: risk-adjusted returns, performance attribution

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