Course dates
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
Supporting publication
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 Models
- Geometric attribution
Practical exercise: be a portfolio manager for a year: attribution exercise
Day 2
Performance standards
- Background
- Fundamentals of compliance
- Why do it?
- Verification
- Future governance
- Guidance statements
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
- Bessel’s correction
- Sharpe ratio
- Information ratio
- M2
- Regression statistics
- Jensen’s alpha
- Beta
- Covariance
- Correlation
- R2
- Fama decomposition
Practical exercise: portfolio evaluation
Risk-adjusted performance measurement for hedge funds
- Skewness and kurtosis
- Bera-Jacque test
- Upper and lower partial moments
- Sortino ratio
- Upside potential ratio
- Omega
- Prospect ratio
- Variability skewness
Practical exercise: detailed risk calculations from raw data
- Drawdown
- Sterling ratio
- Calmar ratio
- Burke ratio
- Sterling-Calmar ratio
- Pain index
- Ulcer index
- Pain ratio
- Martin ratio
- Value at Risk
- Return to VaR
- Expected shortfall
- Adjusted sharpe ratio
- Modified sharpe ratio
Practical exercise: risk-adjusted performance measurement for hedge funds
Day 3
Further attribution
Multi-currency attribution
- Ankrim & 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
Fixed income attribution
- Campisi framework
- Weighted duration (Van Breukelen) attribution
- Yield curve decomposition
Practical exercise: weighted duration attribution
Derivatives
Attribution for derivative instruments and alternative strategies
- Futures
- Options
- Swaps
- Market neutral, 130/30 funds
- Leverage
Course summary and review
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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.
4-5 Star Hotel in Singapore, Singapore,
All of our courses are held in 4 – 5 star hotels, chosen for their location, facilities and level of service. You can be assured of a comfortable, convenient learning environment throughout the duration of the course.
Due to the variation in delegate numbers, we will send confirmation of the venue to you approximately 2 weeks before the start of the course. 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.
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
Course dates