Portfolio Performance Measurement & Attribution Analysis

3 days 23-25 Apr 2018, Paris France 3,995.00 + VAT* Download brochure Add to basket
3 days 4-6 Nov 2018, Dubai UAE £3,545.00 Download brochure Add to basket

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Overview

FTS Eligible - Financial Training Scheme for Singaporean citizens and PRs only (more information)

 

 

Course overview

Portfolio performance measurement is the quality control element of the investment decision process. It provides the necessary information to enable asset managers and clients to assess exactly how their money has been invested and the results of the process. Performance measurement is a core part of the decision process providing essential information to several key stakeholders.

Performance return attribution is defined as quantifying the excess returns of the active decisions of the investment management process. In recent years the developments in performance measurement, standards, risk and attribution (particularly Fixed Income Attribution) have accelerated considerably. This course brings all analysts, investors, risk managers and other stakeholders up to date with current developments.

Summary of course content

  • Understand the concept of performance measurement
  • Learn the different ways to derive returns (and why the results can vary)
  • Understand how cashflows affect returns
  • Analyse the principles of benchmarking
  • Ascertain why risk measurement and management are important and what the measures mean
  • Discern the role of attribution, the challenges in getting it right, and how it should be used
  • Understand the differences and difficulties of fixed income attribution
  • Learn the status and application of the different international performance measurement standards

Course level

You should have a basic knowledge of Excel and are likely to have a basic working knowledge of the asset management industry and the main asset classes.

Course documentation

You will receive comprehensive course notes as well as copies of the Excel spreadsheet exercises for use after the course.

Computer Based Excercises

Delegates are required to bring their laptops to facilitate in-class studies and exercises.

Who should attend this training course?

  • Pension fund trustees
  • Portfolio managers
  • Senior management
  • Performance measurers
  • Risk controllers
  • Compliance staff
  • Sales and marketing staff and operations staff

FTS Eligible

This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants’ business activities or job roles.

The FTS is available to eligible entities, at a 50% funding level of programme fees, subject to a cap of $2,000/participant/programme and all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with specified validity period. Please refer to www.ibf.org.sg for more information.

Instructors

We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

Paris
Carl Bacon

The Course Director joined StatPro Group plc as Chairman in April 2000. StatPro provides sophisticated data and software solutions to the asset management industry. He also runs his own consultancy business providing advice to asset managers on risk and performance measurement.

Prior to that, he was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.

A founder member of both the Investment Performance Council and GIPS®, he is ex-Chair of the GIPS Executive Committee, ex-Chair of both the Verification and Interpretation sub-Committees. He is a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement. He is also the founder of “The Freedom Index Company”.

He is also the author of “Practical Portfolio Performance Measurement & Attribution” (Wiley), “Practical Risk-Adjusted Performance Measurement” (Wiley), numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”. He holds a B.Sc. Hons. in Mathematics from Manchester University.

Dubai
Carl Bacon

The Course Director joined StatPro Group plc as Chairman in April 2000. StatPro provides sophisticated data and software solutions to the asset management industry. He also runs his own consultancy business providing advice to asset managers on risk and performance measurement.

Prior to that, he was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.

A founder member of both the Investment Performance Council and GIPS®, he is ex-Chair of the GIPS Executive Committee, ex-Chair of both the Verification and Interpretation sub-Committees. He is a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement. He is also the founder of “The Freedom Index Company”.

He is also the author of “Practical Portfolio Performance Measurement & Attribution” (Wiley), “Practical Risk-Adjusted Performance Measurement” (Wiley), numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”. He holds a B.Sc. Hons. in Mathematics from Manchester University.

Venue

Paris

Centrally located hotel in Paris

This programme takes place on a non-residential basis at a hotel in central Paris. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

Dubai

Dubai Finance

This programme takes place on a non-residential basis at a central 4 to 5* Dubai hotel. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

Related Courses

Inhouse


 

Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:





Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

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We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:


Read more about our offering or complete a call back request to speak to a learning specialist.

 

Agenda

Agendas are localised, please select your preferred location.

Day 1

Introduction

  • What is performance measurement?
  • The performance measurement process
  • Basic calculations
  • Currency effect
  • Time weighted or money weighted?
  • Practical exercise: return calculations for an emerging markets portfolio

Benchmarks

  • Attributes of good benchmarks
  • Peer groups, indexes or random portfolios?
  • Index calculations
  • Practical exercise: customised benchmark calculations
  • Excess returns - geometric or arithmetic?
  • Performance fees

Basic Attribution

  • Attribution as a management tool
  • The Brinson model
  • Geometric attribution
  • Practical exercise: be a portfolio manager for a year attribution exercise


Day 2

Performance Standards

  • Background
  • Detail
  • Why do it?
  • Verification
  • Future governance

Measuring Portfolio Risk

  • Risk types in asset management
  • Risk xontrol
  • Ex-post, ex-ante risk
  • Absolute, relative and regression risk measures
  • Sharpe ratio
  • Information ratio
  • M2
  • Regression statistics
  • Jensen’s alpha
  • Beta
  • Covariance
  • Correlation
  • R2
  • Fama decomposition
  • GH1 & GH2
  • Practical exercise: portfolio evaluation

Risk-Adjusted Performance Measurement for Hedge Funds

  • Skewness & kurtosis
  • Bera- Jacque test
  • Downside risk
  • Sortino ratio
  • Upside potential ratio
  • VaR
  • Omega
  • Practical exercise: detailed risk calculations from raw data
  • Adjusted sharpe ratio
  • Modified sharpe ratio
  • Prospect ratio
  • Drawdown
  • Sterling ratio
  • Calmar ratio
  • Burke ratio
  • Sterling-calmar ratio
  • Pain index
  • Ulcer index
  • Pain ratio
  • Marin ratio
  • Practical exercise: risk-adjusted performance measurement for hedge funds
  • Omega excess return
  • Hurst index
  • Effective risk control actions
  • Risk infrastructure


Day 3

Further Attribution

  • Multi-currency attribution
  • Ankrim and Hensel
  • Karnosky & Singer
  • Bacon
  • Practical exercise: multi-currency geometric attribution exercise
  • Attribution issues
  • The evolution of attribution methodologies
  • Security level attribution
  • Multi-level Attribution
  • Smoothing algorithms
  • Carino
  • Menchero
  • GRAP
  • Frongello
  • Practical exercise: team discussion which is the best method using previous exercise data

Fixed Income Attribution

  • Campesi framework
  • Weighted duration (Van Breukelen) attribution
  • Yield curve decomposition
  • Practical exercise: weighted duration attribution

Derivatives

  • Forwards
  • Futures
  • Swaps
  • Options

Alternative Attribution

  • Market neutral
  • 130/30 funds
  • Leverage
  • Futures

Course Includes

Accompanying free book: practical portfolio performance measurement & attribution, Carl Bacon, John Wiley & Sons Ltd


Course summary and close

Day 1

Introduction

  • What is performance measurement?
  • The performance measurement process
  • Basic calculations
  • Currency effect
  • Time weighted or money weighted?

Practical exercise: return calculations for an emerging markets portfolio


Benchmarks

  • Attributes of good benchmarks
  • Peer groups, indexes or random portfolios?
  • Index calculations

Practical exercise: customised benchmark calculations

  • Excess returns - geometric or arithmetic?
  • Performance fees


Basic attribution

  • Attribution as a management tool
  • The Brinson model
  • Geometric attribution

Practical exercise: Be a portfolio manager for a year attribution exercise


Day 2

Performance standards

  • Background
  • Detail
  • Why do it?
  • Verification
  • Future governance

Practical exercise: definition of firm; definition of discretion; composite allocation


Measuring portfolio risk

  • Risk types in asset management
  • Risk control
  • Ex-post, Ex-ante risk
  • Absolute, relative and regression risk measures
  • Sharpe ratio
  • Information ratio
  • M2
  • Regression statistics
  • Jensen’s alpha
  • Beta
  • Covariance
  • Correlation
  • R2
  • Fama decomposition
  • GH1 and GH2

Practical exercise: Portfolio evaluation


Risk-adjusted performance measurement for
hedge funds

  • Skewness and kurtosis
  • Bera- Jacque test
  • Downside risk
  • Sortino ratio
  • Upside potential ratio
  • VaR
  • Omega

Practical exercise: detailed risk calculations from raw data

  • Adjusted sharpe ratio
  • Modified sharpe ratio
  • Prospect ratio
  • Drawdown
  • Sterling ratio
  • Calmar ratio
  • Burke ratio
  • Sterling-Calmar ratio
  • Pain index
  • Ulcer index
  • Pain ratio
  • Marin ratio

Practical exercise: risk-adjusted performance measurement for hedge funds

  • Omega excess return
  • Hurst index
  • Effective risk control actions
  • Risk infrastructure


Day 3

Further attribution

  • Multi-currency attribution
  • Ankrim and Hensel
  • Karnosky and Singer
  • Bacon

Practical exercise: multi-currency geometric attribution exercise

  •  Attribution issues
  • The evolution of attribution methodologies
  • Security level attribution
  • Multi-level attribution
  • Smoothing algorithms
  • Carino
  • Menchero
  • GRAP
  • Frongello

Practical exercise: team discussion which is the best method using previous exercise data


Fixed Income attribution

  • Campesi framework
  • Weighted duration (Van Breukelen) attribution
  • Yield curve decomposition

Practical exercise: weighted duration attribution


Derivatives

  • Forwards
  • Futures
  • Swaps
  • Options


Alternative attribution

  • Market neutral
  • 130/30 funds
  • Leverage
  • Futures

Course summary and close

Why us


We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product