Portfolio Construction and Asset Allocation - a Post-Modern Approach
There are two elements of successful portfolio management: idea origination and portfolio construction, with the latter usually falling into the risk management function. It has become the norm rather than the exception to construct portfolios by forecasting risk – the truly random variable in this process – rather than assessing value. Dr. Simon Nocera will walk through the history of this state of affair and the prevalent theories of portfolio construction and asset allocation, commonly referred to as Modern Portfolio Theory; he will highlight their basic assumptions, effectiveness, and shortfall in constructing successful portfolios. He will explain the ingenious Black Litterman (BL) Construct, adding a significant contribution to it, by determining the Prior Equilibrium Vector of Implied Market Return, based on live market data, reverse optimization techniques and, most relevantly, built with no subjective assumptions and predetermined global market universe. This innovative approach leads to more intuitive and improved portfolios measured for example by the foolproof Sharpe ratio.
Lumen Advisors, LLC
Dr. Simon E. Nocera is the Founder, CIO and Managing Partner of Lumen Advisors, LLC, a global asset management and advisory company based in San Francisco. Prior to Lumen, Simon has been the Co-chief investment officer, global emerging markets debt and Managing Director of Dresdner RCM Global Investors which he joined in January 1999. He had previously been working at Soros Fund Management in 1998 where he was an advisor and portfolio manager for the Quantum Emerging Growth Fund. From 1992 to 1997, Simon was CIO for Emerging Market Fixed Income at LGT where total assets in this product reached over $1.5 billion. Earlier in his private sector career, Simon served as Global Strategist for Putnam's fixed income group, where he built the EM business to over $1 billion. From 1984 to 1990, Simon was an economist at the International Monetary Fund, and from 1982 to 1984 he was an economist for the European Economic Commission working as a technical advisor for Sub Sahara African Governments.
In 1994, Simon was named the “Best Manager of the Year” by Business Week magazine and in 1996 his Fund was awarded the Five Stars ranking by Morningstar. In 2005, the Lumen Global Value Fund, Ltd. was named the best Relative Value Strategy by Global Fund Analysis.
Simon sits on the Advisory Board of the Master of Science in Financial Analysis and Investment Management Program at the School of Economics and Business Administration at Saint Mary's College. Simon holds a Doctorate in Economics from the University of Milan, Italy and a degree in Electronics Engineering from I.T.I.S. in Vimercate, Italy. He is fluent in French and Italian and is proficient in Portuguese and Spanish.
Date, Time + Location
Wednesday, September 21st
Noon till 1:30 PM
7th Floor Conference Room
235 Montgomery Street
San Francisco, Ca, 94104