Pensions and Retirement Training Course on Risk Budgeting and Factor Investing
Master Pensions Retirement Training with expert training. 10 Days course with certification. Comprehensive training program. Online & in-person. Enroll now!
Pensions And Retirement Courses10 DaysCertificate Included
Duration
10 Days
Mode
Online & Physical
Certificate
Included
Language
English
Course Overview
This training program provides pension fund professionals with the knowledge and tools to design and manage risk-based and factor-driven investment frameworks. The course explores how risk budgeting enhances portfolio efficiency by allocating risk rather than capital, and how factor investing enables pension funds to capture systematic sources of return across asset classes. Participants will learn to apply quantitative models, portfolio construction techniques, and performance attribution tools to build robust, transparent, and diversified investment strategies aligned with long-term pension fund objectives.
Secure enrollment • Professional certificate included
Learning Objectives
By the end of this course, participants will be able to:
Understand the principles and rationale behind risk budgeting and factor investing.
Differentiate between traditional capital allocation and risk-based allocation.
Identify and analyze key risk factors driving pension fund performance.
Apply quantitative models to construct risk-parity and factor-based portfolios.
Integrate risk budgeting into strategic asset allocation frameworks.
Measure, monitor, and report portfolio risk exposures and factor contributions.
Evaluate the role of smart beta and alternative risk premia strategies.
Incorporate ESG and sustainability factors into risk and factor models.
Implement governance structures for risk budgeting and factor investing.
Align factor-based strategies with pension fund regulatory and fiduciary requirements.
Course Content
Module 1: Introduction to Risk Budgeting and Factor Investing Evolution of risk-based investment frameworks Limitations of traditional asset allocation models Concepts of capital-based vs. risk-based allocation Overview of factor investing and smart beta strategies The link between risk budgeting and factor investing Case study: Transition from asset-based to risk-based allocation in a pension fund Module 2: Fundamentals of Risk Budgeting Defining risk budgets and their role in portfolio management Types of risk budgets: total, marginal, and specific risk budgets Understanding covariance, correlation, and volatility relationships Setting risk limits and controls across portfolios Quantitative methods for measuring portfolio risk contributions Workshop: Calculating marginal and total risk contributions using sample data Module 3: Building Risk-Based Portfolios Portfolio construction using risk parity and equal risk contribution (ERC) principles Comparing traditional, mean-variance, and risk-parity portfolios Impact of leverage and diversification in risk budgeting Scenario and stress testing for risk-optimized portfolios Case study: Implementation of risk-based allocation in a DB pension scheme
Module 4: Introduction to Factor Investing Understanding factors: macroeconomic vs. style factors Common factors: value, size, momentum, quality, low volatility Historical origins and academic foundations of factor investing Relationship between factors and traditional asset classes Identifying rewarded vs. unrewarded risk factors Practical session: Factor decomposition of a sample portfolio Module 5: Smart Beta and Alternative Risk Premia Strategies Defining smart beta and its relevance to institutional investors Smart beta vs. traditional active and passive strategies Construction of factor-based indices and benchmarks Alternative risk premia (carry, volatility, liquidity, trend-following) Advantages and limitations of factor-based strategies in pensions Workshop: Designing a custom smart beta allocation for a pension fund Module 6: Quantitative Techniques and Tools for Risk & Factor Analysis Portfolio optimization using factor models Use of covariance matrices, PCA (Principal Component Analysis), and regression models Tracking error, information ratio, and factor exposure metrics Software tools for factor analytics and portfolio simulation Practical session: Building a multi-factor model using real data Module 7: Integrating Risk Budgeting into Asset Allocation Linking risk budgets to strategic asset allocation (SAA) Managing total fund risk across multiple asset classes Setting risk budgets by asset class, strategy, or manager Dynamic rebalancing and tactical adjustments Governance and documentation of the risk budgeting process Case study: Strategic risk allocation in a multi-asset pension fund Module 8: ESG and Sustainability Integration in Risk and Factor Investing ESG factors as additional sources of risk and opportunity Measuring ESG exposure and factor alignment Integrating sustainability into quantitative models Regulatory and disclosure frameworks for ESG risk management Workshop: Building an ESG-adjusted factor portfolio Module 9: Performance Attribution and Risk Reporting Decomposing portfolio returns into factor and idiosyncratic components Performance attribution frameworks for factor portfolios Measuring effectiveness of risk budgets over time Reporting risk-adjusted performance to trustees and regulators Key metrics: Value-at-Risk (VaR), Sharpe ratio, beta contributions Simulation: Constructing a risk and factor attribution report Module 10: Governance, Oversight, and Strategic Implementation Governance considerations for implementing risk and factor strategies Oversight of external managers and investment mandates Communication of risk-based strategies to stakeholders Best practices for monitoring and review cycles Capstone project: Developing a risk budgeting and factor investing policy for a pension fund
Who Should Attend
Pension fund managers, investment strategists, portfolio analysts, risk officers, actuaries, trustees, and regulators involved in asset allocation, portfolio construction, and investment oversight.
