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
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
Customer Outreach Award 2019
We believe that it should be easy for you to find and compare training courses.
Our Customer Outreach Award is presented to trusted providers who are excellent at responding to enquiries, making your search quicker, more efficient and easier, too.
Reviews
Average rating 5
Request info
Exclusive Teaching for Capital Markets Professionals in Europe, Americas and Asia Pacific
London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...
Very knowledgeable professor; he illustrated factor investing very well from both academic and practitioner's perspective.