The Essentials of Performance Measurement & Attribution

With everyone focused on ensuring correct investment decisions are made and good returns achieved, it's essential that investment professionals are fully up to date on the latest performance measurement techniques. This unique performance measurement course is taught with investment practitioners in mind and will help you understand state-of-the-art techniques that will prove invaluable when making investment decisions.

Course Highlights

Attend this three-day intensive training course packed with numerous practical exercises and equip yourself with:

A clear understanding of the role of performance measurement within asset management firms

The skills required to identify the differences between money-weighted and time-weighted returns and which to use

What constitutes a good benchmark and appropriate customisation calculations

Attribution analysis including fixed income, multicurrency and derivative instruments

The full range of risk-adjusted performance measures including those suitable for hedge funds

The latest developments in performance standards

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
06 - 08 Oct 2010	£ 2299		-
06 - 08 Apr 2011	£ 2299		-

Course Programme

SUCCESSFULLY MEASURING RETURNS:THE METHODOLOGIES AND INDUSTRY PRACTICES

What is Performance Measurement?

What?
Why?
How?
The performance measurement process

Money or Time-Weighted Returns

Simple returns
Modified Dietz
Internal rate of return
True-time weighted
Impact of large cash flows
The evolution of return methodologies
Annualised returns
Errors and typical problems

PRACTICAL EXERCISE 1

Calculate a range of time-weighted and money-weighted returns. Discuss the implications and requirements of large cash flows

BENCHMARKS

What is a Good Benchmark?

Calculation methods
Customised Indexes
Dynamisation
Peer groups: medians, percentile ranks pros and cons
Random Portfolios

Excess Returns

Arguments to use geometric or arithmetic methodologies
Convertibility
Proportionality
Compoundability
Performance Fees – (good or bad?)

PRACTICAL EXERCISE 2

Calculate a range of customised indices

Attribution Analysis and its Importance to Ensure Effective Measurement Control

Understanding the breakdown of the portfolio into its constituencies
Analyse and interpret the contribution of the stock selection and asset allocation from your total return
The evolution of attribution methodologies
The Brinson Model
Interaction
Arithmetic or Geometric

PRACTICAL EXERCISE 3

Calculate basic attribution effects. Discuss the impact of investment decisions. Debate typical attribution problems

GLOBALISATION OF PRESENTATION STANDARDS

The most recent developments and their impact on performance measurement

Global Investment Performance Standards (historical background)
Standards update
Principles
Objectives
Verification
Governance structure
Pitfalls
Why do it?
2010 review

PRACTICAL EXERCISE 4

Debate and resolve firm definition, composite allocation and discretion issues for a fictitious large global asset management firm

Risk–Adjusted Performance Measurement

Simple risk measures

Standard deviation
Variability
Tracking error

Understanding the ratios and their implications in the performance measurement process

Sharpe
Treynor
Information
Jensen's Alpha, Beta, correlation, R2
Apprasial

Return distributions

Skewness
Kurtosis
Bera-Jacque Test
Adjusted Sharpe Ratio

Upper & lower partial moments

Downside Risk
Sortino Ratio
Upside Potential Ratio
Omega
Variabilty skewness
Prospect Ratio

Drawdown ratios

Calmar
Sterling
Burke
Calmar-Sterling
Pain & Ulcer Indexes
Pain Ratio
Martin Ratio

Value-at-Risk

Return to VaR
Expected Shortfall
Conditional Sharpe Ratio
Modified Sharp Ratio

PRACTICAL EXERCISE 5

Calculate a range of risk-adjusted performance measures and use them to evaluate and rank the performance of five portfolios

PRACTICAL EXERCISE 6

Calculate a range of risk-adjusted performance measures for hedge funds

Further Attribution

Multi-currency

Karnosky & Singer
Geometic
Naïve effects
Interest rate differentials

PRACTICAL EXERCISE 7

Analyse and interpret multi-currency attribution including forward contracts and hedged benchmarks

Smoothing algorithms

Carino
Menchero
Frongrello
GRAP

Other attribution issues

Security level
Holding based
Multi-level
Balanced

Fixed income attribution

Why is fixed income different?
The Campisi Framework
Weighted Duration (van Breukalen)
Yield Curve decomposition
Shift, Twist & Butterfly
Credit spreads

PRACTICAL EXERCISE 8

Analyse and interpret fixed income attribution using the Van Breukalen method

Attribution for Derivatives & Alternative Strategies

Futures
Options
SWAPs
Market Neutral
130/30 funds
Leverage