The essentials of Performance Measurement & Attribution

Transcription

1 The essentials of Performance Measurement & Attribution tember nd (Mon) 9:00-17:00 tember 3rd (Tue) 9:00-17:00 Venue: BELLE SALLE YAESU 3F CARL BACON COURSE DIRECTOR Master through practice the key notions from Carl's latest book Practical Risk-adjusted Performance Measurement (John Wiley & Sons 01 ISBN ) Carl Bacon CIPM, is Chairman of StatPro Group since April 000. Prior to joining StatPro, Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management. Carl holds a B.Sc. Hons. in Mathematics from Manchester University and is an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS, Carl is the chair of the GIPS Executive Committee, chair of the Verification Sub-Committee, a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement. A practical course designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, risk-adjusted performance measurement, achieving GIPS compliance to performance measurement for derivative instruments, alternative strategies and advanced multi-currency, multi-period attribution techniques. Through class lectures, interactive discussion, practical exercises and team presentations, you will be able to: Understand the concepts of performance measurement Learn the different ways to derive returns (and why the results can vary) Comprehend how cash flows affect the returns Analyse the principles of benchmarking Ascertain why risk measurement and control 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

2 DAY 1 Morning 08:45 Welcome and registration 09:15-10:45 Introduction What is performance measurement? The performance measurement process Basic Calculations Currency effect Time Weighted or Money weighted? The evolution of return methodologies Practical exercise: Return calculations for an Emerging Markets portfolio. DAY 1 Afternoon 13:15-14:45 Basic Attribution Attribution as a management tool The Brinson Model Brinson, Hood & Beebower Brinson & Fachler Interaction Geometric Attribution Practical exercise: Be a portfolio manager for a year attribution exercise 10:45-1:15 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 WHO SHOULD ATTEND?» Portfolio managers» Performance analysts» Risk controllers» Compliance officers» Sales, marketing and operations staff» Pension fund trustees

3 DAY 1 Afternoon 14:45 16:45 Measuring Portfolio Risk Risk types in asset management Risk Control Simple risk Measures - Ex-post, Ex-ante - Mean absolute deviation - Variance, standard deviation & tracking error - Annualised risk - Bessel s correction - Sharpe ratio - Information Ratio Risk-adjusted Return - M & adjusted M - GH1 & GH Practical Exercise (Portfolio Evaluation) Regression Statistics - Jensen s alpha - Beta - Covariance - Correlation - R - Fama decomposition - Fama-French 3 factor model PRE-REQUISITES Participants will be required to have a basic knowledge of how to use Excel spreadsheets. If possible participants should bring their own laptop with Excel loaded. Attendees will be asked to work in teams of two or three on excel based practical exercises.

4 3 DAY Morning 08:45 Welcome and registration 9:15-11:00 Advanced Risk Measures 11:00-1:30 Value at Risk - Skewness & Kurtosis - Bera- Jacque Test - Hurst Index - Bias Ratio - K ratio - Adjusted Sharpe Ratio Drawdown - Sterling ratio - Calmar ratio - Burke ratio - Sterling-Calmar ratio - MAR ratio - Pain index - Ulcer index - Pain ratio - Martin ratio - Historical simulation, Monte Carlo simulation or parametric - Modified VaR - Conditional VaR, Expected Shortfall, Tail loss - Tail risk - Return to VaR - Modified Sharpe Ratio - Conditional Sharpe Ratio - Tail ratio - Potential Upside - Rachev ratio Higher & Lower Partial Moments - Downside risk - Sortino ratio - Omega - Upside Potential ratio - Kappa (Sortino-Satchell ratio) - Volatility skewness - Farinelli-Tibiletti Ratio TRANSLATION Translation from English to Japanese and Japanese to English will be provided throughout the Seminar

5 3 DAY Afternoon 13:30-17:00 Further Attribution Multi-currency attribution - Karnosky & Singer - Bacon Attribution issues - The evolution of attribution methodologies - Security level attribution - Transactions, holding and returns based attribution Fixed Income Attribution Duration - Macaulay - Macaulay-Weil - Modified - Effective - Convexity - Methodologies - Weighted Duration (Van Breukelen) Attribution - Campisi Framework - Yield curve decomposition 17:00 End of Seminar Venue BELLE SALLE YAESU 3F Yaesu First TEL : URL : Contact 0F Marunouchi Trust Tower Tokyo Main, Marunouchi, Chiyoda-ku, Telephone: seminars@dragonsdesk.com

6 Registration Form 1. Delegate Information and registration fee Please check the boxes to apply First Name Surname Organization Department Job Title Address Postcode Telephone Fax Date Investment Manager-Broker-Consultant 180,000 (before 15th July) 00,000 (after 15th July) Pension Fund 90,000 (before 15th July) 100,000 (after 15th July) Academic 60,000 (before 15th July) 100,000 (after 15th July) nd participant from same organization receiving 5% discount 3rd participant from same organization receiving 50% discount Privacy Policy I agree We are committed to protecting your personal information. We will use your information only for purpose of operating and managing our events. We may send you information about various other events, products and/or solutions Please send a scanned copy of this form to seminars@dragonsdesk.com to register yourself.. Payment and Cancellation Policy - Above fees don't include 5% consumption tax. - An invoice will be sent to the mailing address registered. Payment must be settled within 10 days after the invoice arrives via bank transfer to the designated bank account. - If the registrant is unable to attend, it is possible to have somebody attend in his/her place. Cancellation is - Please be advised that: Cancellation requested by Aug 11th, 013: Registration fee minus 10% handling charge will be refunded. Cancellation requested from Aug 11th, 013 onward: No refund can be made. - All refunds will be granted after the event.