IFF Training

Performance Measurement and Attribution

Available dates

May 18—20, 2020
3 days
London, United Kingdom
GBP 3599 ≈USD 4626
GBP 1199 per day

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About the course

The focus with this course is to improve the way you work and enhance your performance. You will master all of the available methodologies to measure returns and be able to interpret the return of your fund against the benchmark to monitor your results successfully. You will be able to use analysis and benchmarking effectively, implementing risk-adjusted measures and using your appreciation of recent developments to increase the consistency of your results.

ATTEND THIS THREE-DAY INTENSIVE TRAINING COURSE AND ENHANCE YOUR PERFORMANCE BY LEARNING HOW TO:

  • Master the various industry practice methodologies to measure returns
  • Interpret the return of your fund against the benchmark to monitor your results successfully
  • Customise your benchmark to reflect your fund’s objectives accurately
  • Ensure effective measurement control through attribution analysis
  • Implement risk-adjusted measures to optimise your portfolio strategy
  • Attribute fixed income and derivative portfolios
  • Increase the accuracy and consistency of your results by knowing the most recent developments in the globalisation of standards

ATTEND AND YOU WILL EQUIP YOURSELF WITH:

  • A clear understanding of the role of performance measurement within asset management firms
  • The skills required to identify the differences between money- weighted and time-weighted returns and which to use
  • What constitutes a good benchmark and appropriate customisation calculations
  • Attribution analysis including fixed income, multi-currency and derivative instruments
  • The full range of risk-adjusted performance measures including those suitable for hedge funds
  • The latest developments in performance standards

How You Will Learn

Be guided through the various components of performance measurement & attribution. Practical exercises will cement your learning along the way. These include:

  • Calculate a range of time-weighted and money-weighted returns.
  • Discuss the implications and requirements of large cash flows
  • Calculate a range of customised indices
  • Calculate basic attribution effects. Discuss the impact of investment decisions. Debate typical attribution problems
  • Debate and resolve firm definition, composite allocation and discretion issues for a fictitious large global asset management firm
  • Calculate a range of risk-adjusted performance measures and use them to evaluate and rank the performance of five portfolios
  • Analyse and interpret fixed income attribution using the Van Breukelen method

Trust the experts

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 w...

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