Portfolio Construction
Following on from ICMA’s Fixed Income Portfolio Management programme, and building on the concepts explained there, this module goes deeper into the area of Fixed Income Portfolio Construction. The module surveys the range of techniques used to construct FI portfolios and uses case studies and exercises to illustrate these.

Attending the course will help you:
  • Develop an appreciation of the range of techniques in FI portfolio construction and how these differ from (and resemble) those techniques used in equities
  • Gain an insight into standard approaches and techniques used
  • Better understand benchmarks
  • Use various instruments to alter portfolio characteristics
  • Gain experience with real market tools

Who should attend?

This course is suitable for junior Fixed Income Portfolio Managers, trainee Investment Consultants and Product teams, and client-facing staff from Asset Managers and Wealth Managers. It is also aimed at delegates who have previously attended ICMA’s Fixed Income Portfolio Management course and would like more a more detailed understanding on the portfolio construction topic.

Details of next seminar

25 November 2019

Course Trainer

Lindsey Matthews
  1. What are the risk premia? How are they harvested?
  2. Asset classes and asset class choices
  3. Major indices and their asset class exposures
  4. Technicalities
  5. Passive portfolios
  6. Constrained optimisation
  7. Liquidity as a constraint
  8. Active portfolios
  9. Cash flows and reinvestment; investment strategies as yields rise
  10. Multi-currency portfolio construction
  11. What is hedging? Key principles
  12. Tools for altering rate exposure
  13. Tools for altering spread exposures
  14. Tools for altering currency exposure
  15. Ex-post performance & information ratios
  16. Relationship between investment positioning, market moves and relative performance
Details of next course


ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.

25 November 2019

RegisterAdd to calendar

For security reasons, delegates who have not registered in advance will not be admitted to this course.  Delegates will be required to provide photo identification on arrival, to ensure entry.


£950 for members and £1,200 for non-members

The course fee includes all lunches, coffee breaks and training materials.

Payment can be made by secure online credit card or by invoice.

Terms and conditions

Please click here to view our terms and conditions before registering.


Should you have any queries, please contact education@icmagroup.org.

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