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Risk-Based Investment Strategies

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Seminar Description

The event is supposed to deliver a tour d'horizon of risk-based investment strategies like...

  • Risk parity: Equal Risk Contribution Strategies
  • Maximum diversification
  • Minimum variance
  • Traditional Fixed Weight Strategies
  • The Meaning of Absolute Return
  • Equal Weighting: The 1/n Portfolio
  • Constant Volatility Strategies, Dynamix Volatility Strategies
  • Maximum Sharpe Ratio (Traditional MV Optimization)
  • Overview Fundamentals-Weighted Benchmarking

The seminar will also cover various implementation issues...

  • On Backtesting
  • Rebalancing Strategies
  • Benchmarking
  • Historical Risk and Return Characteristics of Various Benchmark Strategies
  • Considerung Turnover and Transaction Costs
  • Portfolio Construction based on Realistic Return and Risk Preferences
  • Evaluating results: ex post versus ex ante portfolio risk and return
  • Covariance Matrix estimation: Various approaches, invcluding Bayesian Estimators
  • Considering Views on Expected Returns in Risk-Managed Portfolios
  • On Numerical Optimization
  • Risk Management of Risk-Based Strategies
  • Quantiative modeling in Excel (Excel Solver, VB


Andreas Steiner is an independent consultant specializing in portfolio analytics and risk management. He has been teaching as a lecturer at the Zurich University of Applied Sciences in Switzerland, where he gave courses covering performance analysis, international investing and Behavioral Finance. He has published several articles in investmen-trelated journals and is making available his research in the form of short online notes on a regular basis. Currently, Andreas is working on a book project related to advanced portfolio analytics, which will be published early 2014. Andreas has more than 14 years of working experience in investment management. He held various performance and riskrelated roles at a major Swiss bank and smaller provsate banks and was head investment risk management at a mid-sized fund company. He holds a master’s degree magna cum laude in economics.

Target Audience

Investment Managers, Research Analysts, Risk Managers and Institutional Investors. Previous knowledge of qualitative and quantitative concepts in financial modeling is recommended.

What Makes This Event Different

As the number of participants is limited to 6 the seminar will be conducted in personal atmosphere, allowing interaction with the speaker and one another. Participants can submit data sets or specific questions four weeks before the workshop and if suitable, some of these “real world” inputs will be used as illustrations, examples or case studies during the presentation.


The event will take place in our office in Hinwil (approx. 30 minutes from Zurich).


09:00am Welcome Coffee
09:30am Start Presentation
12:00am Sandwich Lunch
03:00pm Coffee Break
05:30pm Finish


600 CHF. The fee includes snacks, refreshments, lunch and all seminar materials.


Please contact us by email in order to receive the registration form.