P Group Training 2015

Transcription

1 P Group Training th Annual P Group Investment Performance Training Courses Sydney: June 2015 INTRODUCTION TO PERFORMANCE MEASUREMENT: will contain a comprehensive overview of essential techniques methodologies used in performance measurement. RISK-ADJUSTED PERFORMANCE MEASUREMENT: will provide delegates with a broad understing of risk-adjusted performance measures. ADVANCED ATTRIBUTION: will provide delegates with a more detailed understing of attribution methodologies used today. GLOBAL INVESTMENT PERFORMANCE STANDARDS: will provide a good understing of the Global Investment Performance Stards of GIPS including how to achieve compliance; how to maximise the claim of compliance underst the ongoing implications of the claim of compliance. Of course, GIPS is also FSC Guidance Note #1. The knowledge gained in the one-day interactive courses is further enhanced via a series of practical exercises undertaken in groups of 2 or 3. Delegates are encouraged to bring their own laptops. Carl Bacon will again be facilitating the P Group Training Courses, incorporating material developed for similar courses he has run throughout Europe, the US & Asia. Carl Bacon will again be facilitating the P Group Training Courses, incorporating material Carl developed Bacon CIPM for similar joined courses StatPro he Group has run plc throughout as Chairman Europe, in April the US & StatPro Asia. is a platform for Portfolio Analytics, Valuation, Reporting Research for the investment community. Carl also runs his own consultancy Carl Bacon CIPM, business joined providing StatPro Group advice plc to as Chairman asset managers in April on various StatPro risk is a platform performance for measurement Portfolio Analytics, issues. Valuation, Reporting Research for the investment community. Carl also runs his own consultancy business providing advice to asset managers on various risk Prior performance to joining measurement StatPro Carl issues. was Director of Risk Control Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Prior to joining Inc., StatPro Head Carl was of Performance Director of Risk for Royal Control Insurance Performance Asset Management. at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Carl Management holds a B.Sc. Inc., Hons. Head in Mathematics of Performance from for Manchester Royal Insurance University Asset Management. is a member of the Advisory Board of the Journal of Performance Measurement. A founder member of both the Investment Performance Carl holds a B.Sc. Council Hons. in GIPS, Mathematics Carl is a from member Manchester of the GIPS University Executive Committee, is a member of ex-chair the of both Advisory the Board Verification of the Journal Interpretation of Performance sub-committees Measurement. A founder founder member of "The of Freedom both the Index Company". Investment Performance Council GIPS, Carl is ex-chair of the GIPS Executive Committee, ex-chair of both the Verification Interpretation sub-committees founder of "The Carl Freedom is also Index the Company" author of Practical Portfolio Performance Measurement & Attribution part of the Wiley Finance Series, "Practical Risk-adjusted Performance Measurement", numerous articles papers editor of Advanced Portfolio Attribution Analysis. Carl These is also courses the founder are being of the run Freedom by the Index FSC Company. P Group & the cost of attending either one, or a combination of courses, represents outsting value shouldn t be missed. Note: Early Bird discount of 5% applicable if registration payment is received by Friday 24 April 2015.

2 Intro to Performance Measurement P Group Investment Performance Training Courses Introduction to Performance Measurement Sydney: Monday 22 June 2015 Course Objective This one-day course is designed as an introduction to new performance analysts for those requiring a refresher of the basic principles. Introduction What is Performance Measurement? Basic calculations Currency effect Time-weighted or money-weighted? Timings of cash flows The evolution of return methodologies. Practical exercise: o Return calculations for an Emerging Markets portfolio Benchmarks Attributes of good benchmarks Peer groups, indexes, rom portfolios, ETFs or target returns Index design: Weighing methodology; Fundamental indexes; Efficient indexes Practical exercise: o Customised benchmark calculations Excess returns: o Geometric or arithmetic Performance fees: o Symmetric or Asymmetric; o High water marks; o Good or bad? Basic Attribution Attribution as a management tool The Brinson models Geometric attribution Practical exercise: o Be a portfolio manager for a year attribution exercise.

3 Risk-Adjusted Performance Measurement P Group Investment Performance Training Courses Risk-Adjusted Performance Measurement Sydney: Tuesday 23 June 2015 Course Objective An intensive one-day master-class for Investment Professionals other key players in the investment decision process who wish to increase their technical knowledge gain a broader understing of the complete range of risk-adjusted performance measures. Risk Risk types in asset management: o Compliance risk o Operational risk o Liquidity risk o Counterpart risk o Portfolio risk Guidelines for effective risk control in an asset management firm What is the ideal control infrastructure? Risk-adjusted performance measurement Ex-post, ex-ante Common risk measures (absolute, relative regression measures): o Sharpe; information ratio (original modified); M 2, Jensen s alpha; beta; duration o Appraisal ratio; modified Jensen o Fama decomposition o GH1 GH1 Practical exercise: o Performance evaluation: calculate a range of risk measures for five portfolios rank in order of preference Advanced risk measures Descriptive statistics: o Skewness; kurtosis; excess kurtosis; Hurst index; Bera-Jacque test; Bessel s correction; covariance; correlation R 2 Drawdown: o Sterling ratio; Calmar ratio; Burke ratio; Sterling-Calmar ratio; MAR ratio o Pain Index; Ulcer index; Pain ratio; Martin ratio Higher & lower partial moments: o Downside risk; Sortino ratio; Omega; upside potential ratio o Kappa (Sortino-Satchell ratio); volatility skewness o Farinelli-Tibiletti ratio Value at risk: o Historical simulation; Monte Carlo simulation or parametric o Modified VaR; conditional VaR; expected shortfall; tail loss; average VaR o Tail risk; return to VaR; modified Sharpe ratio; tail ratio o Upside potential o Rachev ratio

4 P Group Investment Performance Training Courses Risk-Adjusted Performance Measurement Sydney: Tuesday 23 June 2015 Advanced risk measures (continued) Other risk measures: o Adjusted Sharpe ratio; adjusted M2 conditional Sharpe ratio o Bias ratio Practical exercise o Calculation of advanced risk measures Practical issues: o Data frequency o Outliers o Smoothing o Effective efficient risk control A periodic table of risk measures

5 Advanced Attribution P Group Investment Performance Training Courses Advanced Attribution Sydney: Wednesday 24 June 2015 Course Objective This intensive one-day master-class is for Investment Professionals other key players in the investment chain who wish to increase their technical knowledge gain a detailed understing of all aspects of performance return attribution. Basic attribution Why measure performance? Definition of attribution Attribution as a management tool Recap of the Brinson model Advanced Attribution Evolution of attribution methodologies Types of attribution Attribution issues Holdings, transaction returns-based attribution Off-benchmark investing Security level attribution Multi-period attribution Smoothing algorithms: o GRAP; Carino; Menchero; Frongello; geometric Multi-currency attribution Karnosky Singer Naïve currency attribution Geometric multi-currency Forward currency contracts Practical session: o Multi-currency attribution including forward currency contracts. Fixed income attribution Why is fixed income attribution so different? Weighted duration attribution Campisi framework Yield curve decomposition Practice session: o Weighted duration attribution emphasising the differences between fixed income equity style (Brinson) attribution Attribution for derivatives Futures, options swaps Exotic options Associated economic exposure The Greeks Leverage overlay Market neutral funds Multi-level balanced attribution

6 Global Investment Performance Stards Measurement P Group Investment Performance Training Courses Global Investment Performance Stards (GIPS ) Sydney: Thursday 25 June 2015 Course Objective To achieve a good understing of the Global Investment Performance Stards (GIPS ) including: how to achieve compliance, how to maximise the claim of compliance underst the ongoing implications of the claim of compliance. Introduction Why have Performance Stards? Who are the Stards aimed at? History of the Stards GIPS detail Fundamentals of compliance: o Definition of firm o Definition of discretion Practical session: o Definition of firm definition of discretion Input data Return methodology: o Portfolio return o Composite return Composite Construction Practical session: o Composite construction Disclosures Presentation reporting Independent verification Future governance Structure Changes to the Stards Guidance statements Supplemental information Large significant cash flows Carve-outs Error correction Alternative investment strategies Why do it? Asset managers Pension funds Verification Maintaining compliance Implication of claiming compliance Typical compliance issues What is required to achieve maintain compliance? Practical session: o Compliance multiple choice

7 P Group 2015 Training Pricing Information Pricing Information Each Course is limited to 30 participants. Venue: The King Room FSC office Level Market Street SYDNEY NSW 2000 Costs: Attending One-Day Course (price per person): $1,270 (GST inclusive) per person P Group/FSC/CFA Institute members $1,397 (GST inclusive) per person Non-members Attending 2 One-Day Courses (price per person): $2,258 (GST inclusive) P Group/FSC/CFA Institute members $2,504 (GST inclusive) Non-members Attending 3 One-Day Courses (price per person): $2,914 (GST inclusive) P Group/FSC/CFA Institute members $3,197 (GST inclusive) Non-members Attending the Global Investment Performance Stards Course (GIPS) (price per person)*: $788 (GST inclusive) P Group/FSC/CFA Institute members $866 (GST inclusive) Non-members: *If you attend all three one-day courses, you will receive one complimentary registration to the GIPS course on Day Four. If you attend two one-day courses (any two of), you will receive 50% discount off the GIPS Course if you choose to attend (mark your attendance on registration form). If you register by Friday 16 May, you will receive a 5% overall Discount. Included in your course fees: Course materials, Refreshments; Lunch (please advise any dietary requirements when registering). For the training to proceed, a minimum number of paid participants are required to be registered by 16 May In the event that the minimum participant numbers are not reached, the course may be cancelled a full refund given. Up until 16 May 2015, cancellations received will incur a $100 cancellation fee. After 16 May, there will be no refund for cancellations received unless the course/s are cancelled (see next paragraph). This year, each individual must register pay separately rather than share a single multiple-session registration. The exception to the above rule will be in the case of inability to attend after registration, you can transfer the registration to another person from the same organisation. The organiser reserves the right to modify the course content, facilitator or location if necessary. Participants will be notified where needed.

8 P Group 2015 Training Registration Form/Tax Invoice Registration Form AND Tax Invoice: Attending: ATTENDING GIPS SESSION: MEMBERSHIP STATUS Introduction to Performance Measurement (1 day 22 June 2015) Risk-Adjusted Performance Measurement (1 day 23 June 2015) Advanced Attribution (1 day 24 June 2015) GIPS (1 day 25 June 2015) If attending two courses, tick here to indicate you will take up 50% discount for GIPS If attending all three courses, tick here to indicate you will take up complimentary registration for the GIPS session (for catering & printing purposes) FSC Member CFA Member P Group Member Non-member Name: Job Title: Company: Address: Phone No.: Address: Will you be bringing a notebook PC: YES NO Practical exercises will be undertaken in groups of 2 or 3 require the use of a PC loaded with Excel. In the event that we cannot group attendees accordingly, we will notify you of the need to source a PC yourself. Method of Payment: Visa Mastercard American Express $ Amount to Charge (incl GST): Name on Credit Card: Credit Card No. : Expiry Date: // Signature: 3 or 4 digit CVV: Do you have special dietary requirements: Y / N. If extra special dietary requirements are advised there may be additional charges (outside of requests like vegetarian, no seafood, no red meat, no chicken etc). If yes, please advise: If paying by credit card, scan your completed form to ssherry@fsc.org.au Please ensure you retain a copy for your records as once this Registration Form is completed it becomes your TAX INVOICE. FULL PAYMENT AND REGISTRATION NEEDS TO BE RECEIVED NO LATER THAN FRIDAY 29 MAY If you have any queries, please contact Sharon Sherry at FSC on (02)

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