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.
Speaker’s Profile
Mr Carl Bacon, CIPM
se refer to the next page for Why Attend & Speaker’s Profile >>>>
Carl Bacon CIPM, joined StatPro Group plc as Chairman in April 2000. 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. 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 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”
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
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.
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 M2
o Jensen’s alpha, Beta, Co-variance, Correlation and R2 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
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
Registration Form
PLEASE TICK (√) COURSE CODE TITLE DATE EARLY BIRD PRICE STANDARD FEE
SIDC12-08
Performance Measurement &
Attribution 17-May-12 Members: MYR 1000 Regular : MYR 1200 Members: MYR 1200 Regular : MYR 1400
SIDC12-09
Risk-adjusted Performance
Measurement 18-May-12 Members: MYR 1200 Regular : MYR 1400 Members: MYR 1400 Regular : MYR 1600
Name:Mr./Mrs./Ms./Dr./____________________________________________________________________________________________________ Email:_________________________________________________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.
___________________ (Signature / Date)
FOR ENQUIRIES, PLEASE CONTACT:
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 079117
Contact Phone : (+603) -2297-5218 / (+65) 6323 6059)
Contact Fax : (+65) 6227 8063
Contact Email : [email protected]
Website : www.abmaximus.com
Payment Details
Bank : Hong Leong Bank
Name of Account : AB Maximus
Account No : 001-00-17527-5
Please email 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
