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Euromoney Learning Solutions

Portfolio Performance Measurement & Attribution Analysis

Available dates

Nov 10—12, 2019
3 days
Dubai, United Arab Emirates
GBP 3395 ≈USD 4407
GBP 1131 per day

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About the course

Get ahead with market driven insights for performance measurement

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.

Agenda

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 summary and close

Who should attend

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

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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