Professional Training
5.0 (1 Reviews)

Factor Modelling for Investment Management

London Financial Studies, In London (+3 locations)
2 days
3,670 GBP excl. VAT
Next course start
2 December, 2024 (+4 start dates)
Course delivery
Classroom, Virtual Classroom
2 days
3,670 GBP excl. VAT
Next course start
2 December, 2024 (+4 start dates)
Course delivery
Classroom, Virtual Classroom
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Course description

Factor Modelling for Investment Management

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.

Upcoming start dates

Choose between 4 start dates

2 December, 2024

  • Classroom
  • London
  • English

2 December, 2024

  • Virtual Classroom
  • Online
  • English

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  • Classroom
  • New York
  • English

Enquire for more information

  • Classroom
  • Singapore
  • English

Suitability - Who should attend?

The Course is For:

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

Outcome / Qualification etc.

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

Training Course Content

Day One

Introduction and Background

  • Overview factor research and applications: from the CAPM to "Smart Beta"
  • Factor models: fundamental, macroeconomic, statistical and hybrid
  • Commercial versus custom factor models

Statistical Foundations

  • Linear regression models: assumptions, estimation, analytics (R^2, t-stats, F-test, DW)
  • Cross-section versus time-series regressions in finance
  • Overview advanced regression techniques: non-linear variables, dummy variables, non-linear estimation techniques, time-variable regression parameters

Workshop:  Style analysis of a hedge fund

  • Big Data & Data Mining: introduction to LASSO
  • Limits to quantitative analysis: system complexity, data issues, stability, out-of-sample performance

Workshop:  Identifying hedge fund performance factors

Statistical Factor Models

  • Understanding principal component analysis (PCA)

Workshops:  Inferring the factor structure from single stocks, modelling yield curve dynamics, and identifying extreme scenarios for stress testing purposes

  • Beyond PCA: Introduction to independent component analysis (ICA)

Day Two

Fundamental Factor Modelling

  • Asset pricing and fundamental factors, factor-mimicking portfolios

Workshops:  Building a fundamental factor model for an equity portfolio, modelling the momentum factor

Macroeconomic Factor Modelling

  • Real and monetary macroeconomic factors and transmission mechanisms

Workshop: Building a macroeconomic model for a multi-asset class portfolio

Applications of Factor Models

  • Performance Analysis
    • Return contributions from factors
    • TRUE alphas & hidden factor exposures

Workshop: Factor performance attribution

  • Risk Management
    • Ex-ante absolute and relative portfolio risk decomposition

Workshop: Factor attribution of absolute and relative portfolio risk

Conclusions & outlook

Course delivery details

Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.

Please contact LFS for more details.

Why choose London Financial Studies

Established 1997

Training delivered to 14,300 professionals from almost 2,000 companies

97% recommendation rate 

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Average rating 5

Based on 1 reviews.
Write a review!
Head of Trading Strategy
16 Nov 2018
Knowledgeable Professor

Very knowledgeable professor; he illustrated factor investing very well from both academic and practitioner's perspective.

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London Financial Studies
34 Curlew Street
SE1 2ND London

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