Investment Performance Measurement, Attribution & Risk Workshop (London, United Kingdom - March 18-19, 2020) - ResearchAndMarkets.com

DUBLIN--()--The "Investment Performance Measurement, Attribution & Risk" training has been added to ResearchAndMarkets.com's offering.

This is a comprehensive, hands-on business introduction to the concepts and application of Investment Performance Reporting, Equity Attribution and Ex-Post Risk. Although it includes brief coverage of Fixed Interest Attribution, Multi-Currency Attribution and Ex-Ante Risk, each of these more complex applications is given separate, dedicated one-day coverage in other workshops.

The workshop includes numerous case studies which work from raw data. It also includes coverage of the data management implications of Performance and Attribution implementations.

By attending this workshop you will gain an understanding of Performance, Attribution and Risk to allow to follow through from Portfolio Valuation to Performance Report. In addition you will be able to take the applications forward to get to the next stage performance analysis, client reporting and user problem solving.

Pre-arrival Requirements

  • A reasonable understanding of securities processing and client reporting, valuation reporting especially
  • Average competency with MS Excel (2003 version as a minimum).

What Will You Learn

  • Calculate returns and use key metrics
  • Understand the benchmarks and indices and use them to measure performance
  • Calculate and measure risk
  • Track errors in performance
  • Apply portfolio attribution
  • Understand and apply Global Investment Performance Standards
  • Present performance results and prepare reports

Main Topics Covered

  • Performance Returns
  • Annualised vs Cumulative Returns
  • Impact of Fees
  • Currency impact
  • Benchmarking
  • Contribution Analysis
  • GIPS
  • Performance Attribution
  • Equity Attribution - Top Down, Single Period
  • Equity Attribution - Bottom Up Alternative, Single Period
  • Introduction to Multi-Currency Attribution
  • Ex-Post and Ex-Ante Risk
  • Statistical Concepts
  • Ex-Post - Key Absolute Measures
  • Ex-Post - Key Relative Measures

Key Topics Covered:

Day 1 - Performance Returns

Objectives and Scope

  • Middle Office Environment
  • Portfolio Valuation to Performance Report
  • Evaluating Manager Performance - the Options
  • Performance Attribution - Deconstructing the Value Add
  • Risk - Ranking Portfolios with Equal Performance

Performance Returns

  • Simple Returns - Absolute and Percentage
  • Definition, Source, Relevance of Performance Flows
  • Data and Signage Implications for Flows
  • Modified Dietz Methodology
  • Money and Time - Weighted Returns
  • Flow Weighting
  • Returns Period to Date
  • Sector and Portfolio - Level Returns
  • Review Distance - Learning Exercise

Consolidation Case Study: Daily Security and Cash Returns

Alternative Methodologies

  • Internal Rate of Return
  • Linked Internal Rate of Return
  • Bank Administration Institute

Annualised vs Cumulative Returns

  • Annualised and Cumulative Reporting Options
  • Annualising Cumulative Returns

Impact of Fees

  • Regulatory Requirements
  • System Implications
  • Storing Returns Both Gross and Net of Fees

Currency impact

  • Local, Currency and Base Returns
  • Algorithms
  • Deriving the Third Return

Benchmarking

  • Types of Benchmark
  • Relevant Benchmark
  • Excess Return
  • Arithmetic vs Geometric Comparison
  • Drifting
  • Price, Market Capitalisation and Equal Weighted Calculations

Case Study: Benchmark Creation from Indices

Contribution Analysis

  • Contribution as Position Weight * Position Return
  • Reconciliation - Total Contributions to Portfolio Return
  • Multi-Period Implications

GIPS

  • Overview of Global Investment Performance Standards
  • Self-Regulatory with Independent Verification
  • 2020 Exposure Draft
  • Compliance - Musts and Recommendations
  • Day 1 Review, Questions and Close
  • Open Forum

Day 2 - Performance Attribution and Risk

Performance Attribution

  • Review of Day 1
  • Review of Performance Reporting

Attribution

  • Concepts
  • Equity Attribution
  • Fixed Interest Attribution
  • Workshop Focus on Equity Attribution

Equity Attribution - Top Down, Single Period

  • Deconstructing the Value Add
  • Brinson Additive Benchmark-Relative Methodology
  • Attribution Elements - Top Down Approach
  • Single Currency Approach
  • Total of Elements Reconciliation to Excess Return
  • Geometric Alternative
  • 'What if?' Analysis of Attribution Elements

Case Study Equity Attribution - Top Down

Equity Attribution - Bottom Up Alternative, Single Period

  • Attribution Elements - Bottom Up Approach
  • Extend Case Study Equity Attribution to Bottom Up Approach
  • Multi-Period Attribution
  • Bottom-Up Approach
  • Arithmetic vs Geometric Approach gives Variances
  • Attribution Smoothing Removes Variances
  • Smoothing Algorithms

Case Study Attribution Smoothing: Frongello Algorithms

Introduction to Multi-Currency Attribution

  • Currency Attribution Element
  • Introduction to
  • Naiive Currency Attribution
  • Full Multi-Currency Attribution Options
  • Karnosky and Singer Methodology

Other

  • Transactions Based vs Holdings Based Attribution
  • Source of Residuals
  • Smoothing for Residuals

Risk

  • Concepts
  • Ex-Post Risk
  • Ex-Ante Risk
  • Workshop Focus on Ex-Post Risk

Statistical Concepts

  • Standard Deviation
  • Correlation
  • The Capital Assets Pricing Model
  • Case Study Part 1 - Standard Deviation

Ex-Post - Key Absolute Measures

  • Sharpe Ratio
  • Treynor Measure
  • Jensen's Alpha
  • Drawdown
  • Case Study Part 2 - Absolute Measures

Ex-Post - Key Relative Measures

  • Tracking Error
  • Information Ratio

Case Study Part 3: Relative Measures

Questions and Close

Speakers

Paul has over 25 years asset management industry business consultancy and professional training experience. This has encompassed all three of the traditional 'Offices' - Front, Middle and Back/Investment Accounting - so he has a unique understanding of the inter-Office dependencies and data flows.

In recent years he has focused on the Middle Office and out of this has produced a set of comprehensive Training Workshops which cover the business requirements of Investment Performance, Equity/Fixed Interest Attribution and Ex-Post/Ex-Ante Risk. The modules embody a unique training approach, refined through his experience of working with users, operations, development and technical staff at all levels over the years. This approach includes the use of case studies which start from 'real, raw' market data, practical systems' tips and a sympathetic view of audience needs/pre-requisite experience in these potentially complex application areas.

For more information about this training visit https://www.researchandmarkets.com/r/68lyw2

Contacts

ResearchAndMarkets.com
Laura Wood, Senior Press Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900

Contacts

ResearchAndMarkets.com
Laura Wood, Senior Press Manager
press@researchandmarkets.com
For E.S.T Office Hours Call 1-917-300-0470
For U.S./CAN Toll Free Call 1-800-526-8630
For GMT Office Hours Call +353-1-416-8900