What past delegates say?

“Very good. Excellent presentation and delivery”

Analysts, Raymond James Investment Services

“Very good, highly recommended.”

Former Delegate, Liontrust Asset Management

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Investment Performance Measurement, Attribution & Risk

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4-5 Dec 2019 London

Special Early Bird Offer until 31 Jul £1750 + VAT. Regular price £2095 + VAT. 5% discount for 2 & 10% for 3 people.

Course Description

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.

Participation in this workshop requires a Laptop with Excel 2003 or later version. We can provide laptop if requested for additional fee. 

Pre-arrival requirements. It is assumed that prospective attendees will have:

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

Investment Performance, Attribution and Risk are complex topics. Each includes concepts distinct from, for example, Investment Reporting, Accounting or Fund Pricing. Accordingly, a simple spreadsheet with guide is made available for prospective attendees pre-workshop to attempt and gain initial familiarity with key concepts.

What Will You Learn

By the end of the course you will be able to: 

  • 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 
 
You may be intersted in the following programmes: 

Register for 2 courses at the same time & save extra £100 (in total, not per course)

Main Topics Covered During This Training

  • 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

Who Should Attend

Professionals who need to understand and calculate financial performance from the following types of institutions and departments:

  • Operations Staff
  • Staff wishing to move into Performance Analyst roles
  • Database Managers
  • Fund Managers
  • ‘Sell Side’ Supplier staff requiring a better knowledge of users’ Performance requirements
  • Portfolio Management
  • Investment Management
  • Equity Sales & Research
  • Pension Funds
  • Insurance
  • Institutional Investors
  • Banking
Register Now

4-5 Dec 2019 London

Special Early Bird Offer until 31 Jul £1750 + VAT. Regular price £2095 + VAT. 5% discount for 2 & 10% for 3 people.

Delegates have to be from the same company and register at the same time in order to claim the discount.

Investment Performance Measurement, Attribution & Risk Analysis

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

Open Forum 

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.

Paul's cross-industry consultancy and training experience has encompassed more than a dozen major hands-on implementation projects involving organisations both large and small - such as BNP Paribas Securities Services, Swiss Re, AIMCo, Riyad and NCB Banks and AXA Wealth. He has designed and rolled out, across 6 of the 7 continents, a Middle Office Product Training Programme for a Global Software House involving both physical and virtual classrooms as delivery mediums. 

Investment Performance Measurement, Attribution & Risk <p>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.</p> <p>The worksho ... London