Course dates
Course overview
'Portfolio Performance Measurement and Attribution Analysis' is designed to give you a thorough understanding of the key techniques used in performance measurement, ranging from basic return calculation, risk-adjusted performance measurement, achieving GIPS® compliance to advanced multi-currency, multi-period attribution techniques.
Summary of course content
- Understand the concepts 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
Methodology
Euromoney Training's courses are very interactive and provide a forum in which delegates can share their experiences. The programme relies on practical examples and case studies to ensure that by the end of the course, you are fully competent to understand and implement in standalone excel spreadsheets.
Computer Based Excercises
All 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 publications
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
Hilton Hotel Singapore, Singapore, Singapore
This programme takes place on a non-residential basis at Hilton Hotel Singapore. 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.
InterContinental Grand Stanford Hotel, Hong Kong, Hong Kong
This programme takes place on a non-residential basis at the InterContinental Grand Stanford 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.
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Carl Bacon
Carl Bacon is Chairman of the UK-based firm specialising in middle office reporting software for the asset management industry.
Carl was previously 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.
Carl hold a B.Sc. Hons. in Mathematics from Manchester University and is an executive committee member of Investment-Performance.com.
A founder member of both the Investment Performance Council and GIPS, Carl is ex-chair the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement.
Carl is also the author of “Practical Portfolio Performance Measurement & Attribution” part of the Wiley Finance Series.
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