Performance Measurement & Attribution

Transcription

1 Performance Measurement & Attribution Venue: Kuala Lumpur (Exact Venue will be informed closer to the day) Date: 17 May 2012, Thursday Time: 9:00am to 5:00pm (Registrations from 8:30 am) SIDC CPE Points: 10 Speaker: Mr Carl Bacon, CIPM Workshop Overview & Objectives This practical course is designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, choosing appropriate benchmarks, and advanced attribution techniques. Pre -Requisites & Target Audience 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. This course targets: Performance Measurers, Risk controllers, Compliance Officers, Portfolio Managers, Operations Staff, Pension Fund Trustees. The primary target is the middle office of asset management firms - but anybody involved in the asset management industry including pension funds and hedge funds would find this of value. As a participant in the CFA Institute Approved-Provider Program, CFA Malaysia has determined that this event qualifies for 6.0 credit hours. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE diary.

2 Speaker s Profile Carl Bacon CIPM, joined StatPro Group plc as Chairman in April StatPro is a platform for Portfolio Analytics, Valuation, Reporting and Research for the investment community. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues. Mr Carl Bacon, CIPM 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 a member of the Advisory Board of the Journal of se refer to the next page for Why Attend & Speaker s Profile >>>> Performance Measurement A founder member of both the Investment Performance Council and GIPS, Carl is chair of the GIPS Executive Committee, chair of the Verification Sub Committee and a member of the UK Investment Performance Committee Carl is also the author of Practical Portfolio Performance Measurement & Attribution part of the Wiley Finance Series, numerous articles and papers and editor of Advanced Portfolio Attribution Analysis

3 Course Outline Introduction What is performance measurement? Basic Calculations Currency effect Time Weighted or Money weighted? The evolution of return methodologies Practical exercise (Return calculations for an Emerging Markets portfolio) Benchmarks Attributes of good benchmarks Peer Groups or Indexes Index calculations Practical exercise (Customised benchmark calculations) Excess Returns Geometric or arithmetic Performance Fees Basic Attribution Attribution as a management tool The Brinson Models Geometric Attribution Practical exercise (Be a portfolio manager for a year attribution exercise) Advanced Attribution Attribution issues The evolution of attribution methodologies Security level attribution Why is Fixed Income Attribution different? Transactions, holding and returns based attribution Smoothing algorithms o Carino o Menchero o GRAP o Frongello

4 Risk Adjusted Performance Management Venue: Kuala Lumpur (Exact Venue will be informed closer to the day) Date: 18 May 2012, Friday Time: 9:00am to 5:00pm (Registrations from 8:30 am) SIDC CPE Points: 10 Speaker: Mr Carl Bacon, CIPM Workshop Overview & Objectives An intensive masterclass for Investment Professionals and other key players in the investment decision process who wish to increase their technical knowledge and gain a broader understanding of the complete range of risk-adjusted performance measures. Pre Requisite & Target Audience 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. This course targets: Performance Measurers, Risk controllers, Compliance Officers, Portfolio Managers, Operations Staff, Pension Fund Trustees. The primary target is the middle office of asset management firms - but anybody involved in the asset management industry including pension funds and hedge funds would find this of value. As a participant in the CFA Institute Approved-Provider Program, CFA Malaysia has determined that this event qualifies for 6.0 credit hours. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE diary.

5 Course Outline Risk Risk types in Asset Management Compliance Risk Operational Risk Liquidity Risk Counterparty Risk 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 o Information Ratio (original &modified) o M 2 o Jensen s alpha, Beta, Co-variance, Correlation and R 2 o Appraisal ratio, Modified Jensen o Fama Decomposition o GH1 and GH2 Practical session Performance Evaluation, Calculate a range of risk measures for five portfolios and rank in order of preference Advanced Risk Measures Descriptive Statistics Skewness Kurtosis Excess Kurtosis Hurst Index Bera- Jacque Test Adjusted Sharpe Ratio Drawdown Sterling ratio Calmar ratio Burke ratio Sterling-Calmar ratio MAR ratio Pain index Ulcer index o Pain ratio o Martin ratio

6 Higher & Lower Partial Moments Downside risk Sortino ratio Omega Upside Potential ratio Kappa (Sortino-Satchell ratio) Volatility skewness Farinelli-Tibiletti Ratio Value at Risk Historical simulation, Monte Carlo simulation or parametric Modified VaR Conditional VaR, Expected Shortfall, Tail loss, Average VaR Tail risk Return to VaR Modified Sharpe Ratio Conditional Sharpe Ratio Tail ratio Upside Potential Rachev ratio Practical Exercise (Calculation of advanced risk measures)

7 Registration Form PLEASE TICK ( ) COURSE CODE TITLE DATE EARLY BIRD PRICE STANDARD FEE SIDC12-08 SIDC12-09 Performance Measurement & Attribution Risk-adjusted Performance Measurement 17-May May-12 Regular : MYR 1200 Members: MYR 1000 Regular : MYR 1400 Members: MYR 1200 Regular : MYR 1400 Members: MYR 1200 Regular : MYR 1600 Members: MYR 1400 Name:Mr./Mrs./Ms./Dr./ Tel: Fax: NRIC: CMSRL: Membership: Company: Designation: Mailing Address: Amount: Payment Mode: (For Payment Mode 2 & 3, Please enquire for details) 1. Cheque: 2. Bank Transfer (Please provide Bank in Slip) 3. Online Payment I Understand & Agree to the Terms & Conditions & the Refund & Cancellation Policies. FOR ENQUIRIES, PLEASE CONTACT: (Signature / Date) Contact Person(s) : Siti Zulaikha Address : ABMAXIMUS Suite 823, MBE KL Sentral, Unit 8A Level 2, Stesen Sentral Kuala Lumpur, 50470, Malaysia OR : 10 Shenton Way, #13-02, MAS Building, Singapore Contact Phone : (+603) / (+65) ) Contact Fax : (+65) Contact [email protected] Website : Payment Details Bank : Hong Leong Bank Name of Account : AB Maximus Account No : Please a scanned copy of the bank-in slip as proof of payment, to [email protected] For corporate accounts, please arrange through [email protected] for cheque payment