Performance Measurement Attribution Series Training Workshops

Transcription

1 The Hong Kong Society of Financial Analysts Presents Workshops On Performance Measurement Attribution Series 2014 Training Workshops 22 nd, 23 rd July 2014 Fundamentals of Performance Measurement 24 th, 25 th July 2014 Performance Measurement Attribution HKSFA Office, Room 1802, 18th Floor, 1 Duddell Street, Central, Hong Kong. HKSFA is recognized by The Securities and Futures Commission as an institution for providing Continuous Professional Training. Each two-day workshop is also qualified for 13 hours. As the recognized institution approved under SFC s CPT Program, Each two-day workshop is qualified for 13 CPT hours respectively of each workshop are to receive due recognition from the Mandatory Provident Fund Scheme Authority (MPFA) as non-core CPD hours. Each two-day workshop is also qualified for 13 Continuing Professional Development (CPD) Hours respectively for Registered Business Valuers (RBV) of Business Valuation Forum (BVF). As a participant in the CFA Institute Approved-Provider of Continuing Education Program, the Hong Kong Society has determined that the above event qualifies for credit for the CFA Institute Continuing Education Program. Each two-day workshop is eligible for 13 CE credit hours. Room 1802, 18/F, 1 Duddell Street, Central, Hong Kong Tel: (852) Fax: (852) info@hksfa.org URL: A MEMBER SOCIETY OF CFA INSTITUTE

2 Performance Measurement Attribution Series HKSFA is proud to present our Performance Measurement Attribution workshops held in conjunction with The Spaulding Group. This series of programmes will consist of the following two-day workshops: (A) Fundamentals of Performance Measurement (B) Performance Measurement Attribution Highlights of the Workshops: (A) FUNDAMENTALS OF PERFORMANCE MEASUREMENT 22 nd, 23 rd July 2014 (Tue & Wed) 9:00am 5:00pm This course provides attendees with a core grounding in the tools and techniques used to calculate investment performance. Participants are taken through practical examples and given ample opportunity for firm-specific questions. The workshop is conducted over two full days. Participants walk away with a working knowledge of the concepts that define performance measurement. There are no prerequisites for this class and there is no advanced preparation required. (*Rating: General) COURSE OBJECTIVES: - Performance Measurement Concepts Develop a solid grounding on what performance measurement is all about. - Rate of Return Calculations Learn the various formulas to derive performance, understand the impact of cash flows and learn about time- and money- weighting. Participants also learn about geometric linking, annualization, and much more. - Benchmarks Gain insights into the primary performance measurement benchmarks (indexes, peer groups, absolute, and custom) and the importance of each. - Risk Measurement Learn the importance of risk measurement and the various formulas available. - Performance Attribution Develop an appreciation and understanding of attribution. - The Performance Presentation Standards (GIPS) Establish fundamental knowledge about the Global Investment Performance Standards, its history, and its many concepts and requirements. - Manager Selection & Performance Appraisal Gain insights into manager screening and selection, as well as alternative approaches to manager types and investment approaches. In addition to receiving a participant guide that contains the details of the workshop presentation, each participant receives supporting reference material to take back with them, including: - A complimentary copy of The Handbook of Investment Performance: A user s Guide, Second Edition by David Spaulding, CIPM (TSG Publishing, 2011). - The Spaulding Group s Performance, Attribution and Risk Reference Guide, a handy pocket reference. - A copy of the GIPS Standards, and because this is a hands on class, participants receive a calculator, too! * Ratings 1. General - Material presented will be basic and of interest to a general audience having no background in the area. 2. Intermediate - Material presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation. 3. Advanced - Highly focused technical presentations of interest to participants with a high level of technical knowledge in the subject area. 4. Unrated - HKSFA has yet to receive sufficient information to grade the content of this event.

3 (B) PERFORMANCE MEASUREMENT ATTRIBUTION 24 th, 25 th July 2014 (Thurs & Fri) 9:00am 5:00pm This workshop is two full days devoted to this increasingly important topic. Participants walk away with practical knowledge, are able to calculate performance attribution and interpret the results. There are no prerequisites for this workshop (although we recommend completing the Fundamentals of Performance Measurement workshop), and there is no advanced preparation required. (*Rating Intermediate / Advanced) COURSE OBJECTIVES: - Performance Attribution Concepts Understand the fundamentals concepts of attribution, and how they re applied to investing. Learn the criteria for attribution systems. - Equity Attribution Develop an appreciation for the differences between the two Brinson models. Understand the various effects and how they re derived, including interaction. - Fixed Income Attribution Fixed income concepts and why equity models don t work for bonds. A review of various fixed income models. - Multi-currency Attribution Understand the key differences between naïve currency attribution, and the more extensive Karnosky-Singer model. Appreciate the basic requirements of the Karnosky-Singer model. - Multi-period Attribution Learn why arithmetic attribution is linking challenged, and requires the use of a linking model to extend the results across time. Gain insights into several of the more common models. - Arithmetic vs. Geometric Attribution Gain an appreciation for the differences between these two approaches, and the benefits and shortcomings of each. - Holdings vs. Transaction-based Attribution Learn the key differences between these two approaches. Become familiar with the often overlooked disadvantages of the holdings-based model. - Applicability Understand the fundamental role of attribution, and how its implementation can vary, depending on the type of management (e.g., a long-only vs. hedge fund manager) or perspective (e.g., models for plan sponsors). In addition to receiving a participant guide that contains the details of the class presentation, each participant receives supporting reference material to take back with them including: - A Performance, Attribution and Risk Measurement Reference Guide, a handy pocket reference. - Copies of selected articles from The Journal of Performance Measurement. - A calculator for participants to work through hands on exercises. * Ratings 1. General - Material presented will be basic and of interest to a general audience having no background in the area. 2. Intermediate - Material presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation. 3. Advanced - Highly focused technical presentations of interest to participants with a high level of technical knowledge in the subject area. 4. Unrated - HKSFA has yet to receive sufficient information to grade the content of this event.

4 The workshops are highly interactive and real world. Participants are afforded the opportunity to present and discuss issues that they may be wrestling with or have uncovered. Exercises are provided throughout each workshop to give participants the chance to try out the various formulas and techniques to which they ve been introduced. In addition, the instructor uses case studies and real life examples to enhance the material and make the concepts more relevant. FUNDAMENTALS OF PERFORMANCE MEASUREMENT PERFORMANCE MEASUREMENT ATTRIBUTION AGENDA DAY 1 (22 nd July 2014, Tue) BACKGROUND What is performance measurement? A brief history of performance RATES OF RETURN Time-weighting vs. Money-weighting Internal Rate of Return Mid-point and Modified Dietz Unit Value Method True Daily Returns Geometric linking Annualization BENCHMARKS Absolute, market indexes, and peer groups Pros and cons RISK What is Risk? A review of the common measures, including standard deviation, Sharpe Ratio, Treynor Ratio, Information Ratio, Tracking Error, and VAR Risk monitoring and management AGENDA DAY 1 (24 th July 2014, Thurs) PERFORMANCE ATTRIBUTION CONCEPTS What performance attribution is and how it s used CONTRIBUTION As a form of attribution/alternative formulas EQUITY ATTRIBUTION The first two laws of attribution A review of the common equity models: Brinson Hood Beebower and Brinson-Fachler GEOMETRIC VS. ARITHMETIC What s the difference? A review of a geometric implementation of Brinson- Fachler HOLDINGS VS. TRANSACTIONS-BASED How do they differ? Pros and cons of each FIXED INCOME ATTRIBUTION Fixed income concepts and why equity models don t work for bonds. A review of various fixed income models BALANCED ATTRIBUTION Bringing equity and fixed income together AGENDA DAY 2 (23 rd July 2014, Wed) ATTRIBUTION The Three Laws of Attribution A review of the Brinson Hood Beebower and Brinson-Fachler models Currency attribution Arithmetic vs. Geometric Multi-period Attribution Fixed Income Attribution PERFORMANCE PRESENTATION STANDARDS Detailed review of the Global Investment Performance Standards (GIPS ) Composite construction Calculations Discretion Points of confusion MANAGER SELECTION & PERFORMANCE APPRAISAL Manager selection process Selection criteria for passive and active managers Investment performance appraisal Manager scoring models The role of investment philosophy in manager hiring THE PERFORMANCE MEASUREMENT PROFESSIONAL/ THE PERFORMANCE MEASUREMENT ORGANIZATION Staff / Organization characteristics / trends Overview of the CIPM Program AGENDA DAY 2 (25 th July 2014, Fri) CURRENCY ATTRIBUTION A review of two approaches to global attribution, including the Karnosky Singer model MULTI-LEVEL ATTRIBUTION A review of the common approaches OTHER ATTRIBUTION CONCEPTS Additional ways to gain insights into the sources of the return MULTI-PERIOD ATTRIBUTION The third law of attribution A review of five approaches to linking effects over time, including the Cariño (Logarithmic) and Menchero (Optimized) approaches PLAN SPONSORS & ATTRIBUTION A review of macro and multi-tier attribution OTHER FACTORS TO CONSIDER Daily vs. Monthly/Sector vs. Security HEDGE FUND ATTRIBUTION Why it s different and how to provide USING THE RESULTS How to use what the models provide FINDING AN ATTRIBUTION SYSTEM The special needs of attribution THE FUTURE OF ATTRIBUTION To what do we look forward?

5 About the Instructor: Dr. David Spaulding, DPS, CIPM Dr. David Spaulding, DPS, CIPM, is an internationally recognized authority on investment performance measurement. He s the Founder and CEO of The Spaulding Group, Inc., and founder and publisher of The Journal of Performance Measurement. He consults to clients throughout the world on investment performance and risk issues. In addition, he teaches classes on performance measurement and attribution, and regularly conducts GIPS verifications. Dave is a prolific writer, having written numerous articles for various publications. He's also the author of four books: Measuring Investment Performance (McGraw-Hill, 1997), Investment Performance Attribution (McGraw-Hill, 2003), The Handbook of Investment Performance (TSG Publishing, 2005), and The Handbook's second edition (2011); co-author of The Spaulding Group's Guide to the Performance Presentation Standards: Second Edition (TSG Publishing, 2012); contributing author of Performance Measurement in Finance (Butterworth-Heinemann, 2002); and is a co-editor and contributing author of Readings in Fixed Income Attribution (TSG Publishing, 2007) and Classics in Investment Performance Measurement (TSG Publishing, 2009). He has served on numerous industry committees including the USIPC (United States Investment Performance Council, formerly the North American Investment Performance Committee; and prior to that, the AIMR-PPS Implementation Subcommittee), the Investment Performance Council (IPC), the IPC's Interpretations Subcommittee, and the Performance Measurement Forum s Hedge Fund and IIR Working Groups. Dave served in the United States Army for five years, where he earned the rank of Captain. He held various leadership positions with the Field Artillery while serving with the 25th Infantry Division (Schofield Barracks, HI) and the Field Artillery School (Ft. Sill, OK). He earned a BA in Mathematics from Temple University, an MS in Systems Management from the University of Southern California, an MBA in Finance from the University of Baltimore, and a doctorate in Finance and International Economics from Pace University. Dave spent six years in local politics including a four-year term as Mayor for the Township of North Brunswick (NJ), a community of 38,000 people. As the chief executive officer for the township, he was responsible for over 250 employees and a budget in excess of $30 million.

6 Details of workshops: Date & Time: 9:00am - 5:00pm Tue, 22 nd July 2014 Wed, 23 rd July :00am - 5:00pm Thurs, 24 th July 2014 Fri, 25 th July 2014 Name of Workshops Fundamentals of Performance Measurement Course Performance Measurement Attribution Course Fee: HKSFA Member(s) at HK$4,400 /person per two-day workshop Guest (s) and Non-member(s) at HK$7,000 /person per two-day workshop (The fee includes participant guide and supporting reference material.) Venue: HKSFA Office, Room 1802, 18th Floor, 1 Duddell Street, Central, Hong Kong. Discount Code for the October 2014 CIPM Program exam: Attendee of any two-day workshop will be eligible for a US$100 discount off the cost of his/her registration for the October 2014 CIPM Program exam. Eligible party shall use the code to register for the exam by 31 July Registration : 1. Interested parties are requested to register online at 2. Registration is only confirmed upon receipt of payment. 3. For cheque payment, cheques should be crossed and made payable to HKSFA and posted to Room 1802, 18 th Floor, 1 Duddell Street, Central, Hong Kong. 4. After completing the online registration and payment process, registrants will receive notifications with registration details. A reminder will also be sent before the event begins. If you have not received the notification and reminder from HKSFA, it is the delegate s responsibility to contact HKSFA to confirm their place. Policy for Substitutions, Cancellations and No Show: 1. An administration fee HK$50 will be charged for any cancellation of confirmed enrollment. All cancellation requests must be made in writing, be confirmed by from HKSFA. 2. Registrations should be paid in full before the commencement of the event. Immediate payment is required upon confirmation. Full amount will still be charged for no show or enrolment made after Tuesday, 15 th July Should the registration fee remains outstanding, HKSFA reserves the right to disallow entrance to the event. 3. Refund of the event fee (less an administration fee of HK$50 per person) will be given for cancellation received on/before Tuesday, 15 th July For payment made by credit card, refund will be handled through the bank, please allow 4 to 6 weeks for processing. The amount will be refunded to the paid credit card account. 4. No refund will be given for cancellation received after Tuesday, 15 th July Substitutions are allowed. Please notify us prior to the event. Non-member rate applies if the substitute is not an HKSFA member. 6. The Society reserves the right to change the venue, date or speaker of the event due to unforeseen circumstances. 7. To be awarded CPT/CPD/CE credit hours, full attendance of all parts of the event is required. No pro-rata credit hours will be awarded.