Performance Measurement and Attribution

IFF Training

How long?

  • 3 days
  • online

What are the topics?

IFF Training

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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 and gain a comprehensive understanding of:

  • 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, multicurrency and derivative instruments
  • The full range of risk-adjusted performance measures including those suitable for hedge funds
  • The latest developments in performance 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

Agenda Summary (access the full agenda to Performance Measurement and Attribution here) Successfully Measuring Returns: The Methodologies and Industry Practices What is Performance Measurement? Money or Time-Weighted Returns Benchmarks What is a Good Benchmark? Excess Returns Attribution Analysis and its Importance to Ensure Effective Measurement Control Globalisation of Presentation Standards The Most Recent Developments and their Impact on Performance Measurement Risk–Adjusted Performance Measurement Further Attribution

Case Studies, Practical Exercises and Discussions

  • 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

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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Performance Measurement and Attribution at IFF Training

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