3 PANTHERA SOLUTIONS SEMINAR CURRICULA Page:

INTRODUCTION TO THIRD GENERATION ASSET ALLOCATION

SEMINAR DESCRIPTION Professional market participants are increasingly puzzled by the exposed capital markets complexity when targeting capital preservation or more for their assets under management, given a lasting financial repression and persistently high correlations among traditional asset classes. Traditional asset allocation methodologies like Modern Portfolio Theory increasingly disappointed in achieving a significant diversification effect in portfolios. Where to go from here? This seminar will cover the evolutionary asset allocation process from Generation 1 (Single-Factor/Single-Period models), via Generation 2 (Multi-Factor/Multi-Period models) to Generation 3 (Applied Behavioral Finance) and will highlight how practitioners can benefit hands-on in their investment decisions from the insights of the most recent generation 3. Exemplarily, the following questions are addressed: §  Why have the traditional asset allocation methodologies reached their limits? §  What to use as starting point in state-of-the-art portfolio construction? §  How to manage multi-asset portfolios to maximize the diversification effect? §  How can investors practically benefit from behavioral finance insights? §  How to define/manage risk in an interdependent world economy with interconnected capital

markets? §  Active versus Passive Investing? Or is it even a relevant question? §  Factor-based investing - hype or opportunity?

PANTHERA SOLUTIONS SEMINAR CURRICULA

DETAILED SEMINAR AGENDA

LEARNING OBJECTIVES A critical appraisal of traditional asset allocation techniques, followed by principles of a new generation, grouped in 5 practical building blocks. §  Acknowledging the limits of traditional optimization methods §  Understanding the logic and evolution of the new generation of asset

allocation principles §  Applying introduced methods of the new asset allocation generation

LECTURER Mag. Markus Schuller, MBA, MScFE LENGTH 2 Days 8 x 1,5h Blocks 7.5 h per day incl. breaks

INTRODUCTION TO THIRD GENERATION ASSET ALLOCATION

TIME TOPIC AGENDA DAY ONE 09.00 – 10.30

WORKSHOP INTRO SINGLE-FACTOR / SINGLE-PERIOD MODELS (1GEN)

§  Asset Allocation History – a general overview of asset allocation and risk management techniques

§  THE TRIUMVIRATE: Modern Portfolio Theory (MPT) / Capital Asset Pricing Model (CAPM) / Efficient Market Hypothesis (EMH)

10.45 – 12.15

MULTI-FACTOR / MULTI-PERIOD MODELS (2GEN) MULTI-ASSET EXAMPLE

STRATEGIES INTENDING TO IMPROVE 1GEN MODELS §  Extending the Asset Class Universe / Multiple-Regression Analysis §  Forecasting Models / Barra / ARCH/ GARCH / Copula §  Analysis of Yale & Harvard Endowment Plans

13.15 – 14.45

LIMITS OF TRADITIONAL ASSET ALLOCATION METHODS (GEN 1+2) A CRITICAL APPRAISAL

Popular Asset Allocation myths are deconstructed: Normal Distribution / Rational Investors / Efficient Markets / VaR / Constant CORR / Market Timing / etc.

15.00 – 16.30

3GEN – A NEW DEFINITION OF RISK IS NECESSARY

Basic assumptions of the third asset allocation generation are introduced, distinguishing it from the previous ones.

TIME TOPIC AGENDA DAY TWO 09.00 – 10.30

3GEN BUILDING BLOCK I GLOBAL TRANSFORMATION PROCESSES

§  Market Timing Limitations §  The search for a robust starting point in Strategic Asset Allocation §  Coverage of global transformation processes

10.45 – 12.15

3GEN BUILDING BLOCK II RISK FACTOR DIVERSIFICATION

§  Asset Class VS Risk Factor Diversification §  What are Risk Factors? How to invest in/via Risk Factors? §  How to isolate and analyze Risk Factors?

13.15 – 14.45

3GEN BUILDING BLOCK III ANIMAL SPIRITS MANAGEMENT 3GEN BUILDING BLOCK IV PRODUCT & JURISDICTION AGNOSTICISM

§  Applied Behavioral Finance Update §  Cultural aspects in investment decision making §  Corporate Governance structure §  High Performance Investment Teams ©

§  Active VS Passive Investing / Alpha VS Beta Investing / MAC & Risk Parity

15.00 – 16.30

3GEN BUILDING BLOCK V RULE-BASED DSAA PROCESS

§  Introducing anti-cyclicality to your investment process §  How to rebalance? §  How to create a rule-book and how to commit to it? APP

APP