P Group Training 2015

P G

roup Trai

ning

201

5

14th

Annual P Group Investment Performance Training Courses

Sydney: 22-25 June 2015

 INTRODUCTION TO PERFORMANCE MEASUREMENT: will contain a comprehensive overview of essential techniques and methodologies used in performance measurement.

 RISK-ADJUSTED PERFORMANCE MEASUREMENT: will provide delegates with a broad understanding of risk-adjusted performance measures.

 ADVANCED ATTRIBUTION: will provide delegates with a more detailed understanding of attribution methodologies used today.

 GLOBAL INVESTMENT PERFORMANCE STANDARDS: will provide a good understanding of the Global Investment Performance Standards of GIPS® including how to achieve compliance; how to maximise the claim of compliance and understand 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 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 ex-chair of the GIPS Executive Committee, and ex-chair of both the Verification and Interpretation sub-committees and founder of "The Freedom Index Company"

These courses are being run by the FSC P Group & the cost of attending either one, or a

combination of courses, represents outstanding value and shouldn’t be missed.

Note: Early Bird discount of 5% applicable if registration and payment is

received by Friday 24 April 2015.

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 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 a member of the GIPS Executive Committee, and ex-chair of both the Verification and Interpretation sub-committees and founder of "The Freedom Index Company".

Carl is also the author of “Practical Portfolio Performance Measurement & Attribution” part of the Wiley Finance Series, "Practical Risk-adjusted Performance Measurement", numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”.

Int

ro to Perfo

rm

ance Meas

urement

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 and 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, random portfolios, ETFs or target returns  Index design:

 Weighing methodology;  Fundamental indexes; and  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:

Ris

k-Adjusted

Performance

Measur

ement

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 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.

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 and regression measures): o Sharpe; information ratio (original and modified); M2

, Jensen’s alpha; beta; duration o Appraisal ratio; modified Jensen

o Fama decomposition o GH1 and GH1  Practical exercise:

o Performance evaluation: calculate a range of risk measures for five portfolios and rank in order of preference

Advanced risk measures

 Descriptive statistics:

o Skewness; kurtosis; excess kurtosis; Hurst index; Bera-Jacque test; Bessel’s correction; co-variance; correlation and R2

 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

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 and efficient risk control  A “periodic table” of risk measures

Advance

d Att

ribution

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 and other key players in the investment chain who wish to increase their technical knowledge and gain a detailed understanding 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 and returns-based attribution  Off-benchmark investing

 Security level attribution

Multi-period attribution

 Smoothing algorithms:

o GRAP; Carino; Menchero; Frongello; and geometric

Multi-currency attribution

 Karnosky and 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 and equity style (Brinson) attribution

Attribution for derivatives

 Futures, options and swaps  Exotic options

 Associated economic exposure  The “Greeks”

 Leverage and overlay  Market neutral funds

 Multi-level and balanced attribution

Gl

o

bal Inv

estme

nt Performanc

e

St

andar

ds Measurem

en

t

_{P Group Investment Performance Training Courses}

Global Investment Performance Standards (GIPS®)

Sydney: Thursday 25 June 2015

Course Objective

To achieve a good understanding of the Global Investment Performance Standards (GIPS®) including: how to achieve compliance, how to maximise the claim of compliance and understand the ongoing implications of the claim of compliance.

Introduction

 Why have Performance Standards?  Who are the Standards aimed at?  History of the Standards

GIPS® detail

 Fundamentals of compliance: o Definition of firm o Definition of discretion

 Practical session:

o Definition of firm and definition of discretion  Input data  Return methodology: o Portfolio return o Composite return  Composite Construction  Practical session: o Composite construction  Disclosures

 Presentation and reporting

Independent verification Future governance

 Structure

 Changes to the Standards

Guidance statements

 Supplemental information  Large and 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 and maintain compliance?

 Practical session:

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Pricing Information

Each Course is limited to 30 participants.

Venue: The King Room FSC office Level 24

44 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 Standards 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; and

 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 2015. In the event that the minimum participant numbers are not reached, the course may be cancelled and 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 and 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.

The organiser reserves the right to modify the course content, facilitator or location if necessary.

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Regis

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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.: Email Address:

Will you be bringing a notebook PC:





Practical exercises will be undertaken in groups of 2 or 3 and 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:







(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 and email to [email protected]

Please ensure you retain a copy for your records as once this Registration Form is completed it becomes your TAX INVOICE.

Effective 12 March 2014

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