Investment Performance Measurement, Attribution & Risk
TAKE ADVANTAGE OF OUR SPECIAL EARLY BIRD PROMOTION – BOOK NOW & SAVE UP TO £170!
We offer 2 editions of the investment performance measurement programme:
- 16-18 Oct 2023 – Virtual – 3 x 5 hrs starting at 9.30 a.m. GMT. Booking closes by 4 Oct at 4 P.M.!
- 11-12 Dec 2023 – London – 2 full days. Booking closes by 17 Nov!
The course is delivered by a senior expert with over 25 years of international experience.
This course will cover the same material as our investment performance measurement, attribution and risk course in London. However, with the virtual course, you will benefit from an attractive price, additional savings on travel and, if you are based outside of the EU, the VAT charge.
On completion, you will receive a comprehensive set of course materials and an investment performance measurement, attribution and risk course certificate.
This programme can be offered as online in-company training. Contact us to discuss your requirements.
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 you 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 a later version. We can provide a laptop if requested for an 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 as a 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 interested in one of the following programmes:
- Strategic Asset Allocation & Portfolio Management
- Fund Management Masterclass
- Company Valuation
- Distressed Financing Modelling
- IFRS 9 Financial Instruments
- ESG, SFDR & Sustainable Investing
- UCITS Funds
- Fixed Income Attribution
Register for any 2 courses at the same time and save an extra £100 (in total, not per course)
Main topics covered during this training
- Performance Returns
- Annualised vs Cumulative Returns
- Impact of Fees
- Currency impact
- Contribution Analysis
- 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
This Investment Performance Measurement, Attribution and Risk course should be attended by 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
- Institutional Investors
Investment Performance Measurement, Attribution & Risk - A 2 Day Course
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
- 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
- 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
- Local, Currency and Base Returns
- Deriving the Third Return
- Types of Benchmark
- Relevant Benchmark
- Excess Return
- Arithmetic vs Geometric Comparison
- Price, Market Capitalisation and Equal Weighted Calculations
Case Study: Benchmark Creation from Indices
- Contribution as Position Weight * Position Return
- Reconciliation – Total Contributions to Portfolio Return
- Multi-Period Implications
- 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
- Review of Day 1
- Review of Performance Reporting
- 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
- Transactions Based vs Holdings Based Attribution
- Source of Residuals
- Smoothing for Residuals
- Ex-Post Risk
- Ex-Ante Risk
- Workshop Focus on Ex-Post Risk
- Standard Deviation
- The Capital Assets Pricing Model
- Case Study Part 1 – Standard Deviation
Ex-Post – Key Absolute Measures
- Sharpe Ratio
- Treynor Measure
- Jensen’s Alpha
- Case Study Part 2 – Absolute Measures
Ex-Post – Key Relative Measures
- Tracking Error
- Information Ratio
Case Study Part 3: Relative Measures
Questions and Close
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.
Most of our public courses are run over 2 full days. Some programmes are offered as a 1 or 3 day training.
In-house training is tailored to client’s requirements and can be organised over 1 day, 2-3 weeks or longer.
Public courses are organised mainly in London and Dubai. Occasionally we organise courses in other centres like Paris or New York. Check our public course calendar for the current list of programmes. We use a range of training venues, all in the centre of the cities and with excellent transport links to the airports and train stations.
In London we use venues in the centre (near Oxford Circus station or in Mayfair) or in the City (near Liverpool Street or Moorgate stations).
In Dubai our courses are organised in one of 4-5* hotels in the Deira district. Once you register we will send you detailed information together with accommodation options if required.
Our in-house courses can be delivered anywhere in the world. We work with over 25 trainers worldwide. Contact us do discuss your requirements. Check our list of available programmes.
Our courses are run in central locations from 9 a.m until 5-5.30 p.m. There are 2 coffee breaks and a lunch break. Lunch is always provided in the venue.
Dress code is smart casual.
All our programmes are taught by senior specialists who have spent many years in their respective sectors, working as senior managers and head of departments, so they understand very well the market and the challenges you are facing.
The experience of our trainers allows us to create very practical programmes, focused on current market trends and challenges. You can be sure that you will gain the knowledge which can be instantly applied in your workplace after the course. You will be analysing real life case studies, take part in group exercises and discussions as well as role plays, whenever applicable.
We want our courses to be as practical and interactive as possible so we limit the number of participants in order to optimise your time with the trainer and allow you to ask questions which are important for you.
In order to understand your requirements and expectations, we will send you a pre-course questionnaire.
You will also receive post-course support so if you have any questions after you left the training, you are welcome to contact us.
There are 2 easy ways to register:
- Go to the course of your choice and click Register Now button to fill the registration page
- Email us to email@example.com
After you register, we will send you registration confirmation and an invoice so you can arrange the payment. Please note that your place is not confirmed until we receive it.
If you register within Early Bird discount period, there’s limited time to arrange the payment in order to be eligible for the discount. You will find all the details on the invoice.
We don’t advise to make any travel and hotel arrangements until you receive full course confirmation from us.
We will send you venue and course details as soon as possible but most likely about 3-4 weeks prior to the course commencement.
You can pay by:
- Making a bank transfer
- Debit/credit card
- Cheque payable to Eureka Financial Ltd. - only within UK
Just mark preferred paying option on the registration form. Whichever form of payment you choose we will always send you an invoice.
If you pay by card, a 2.2% processing fee will be added. We will send you authorisation form so you can give us your card details.
Included in the price of a public course are:
- Course tutorial
- Take away course materials
- Course Certificate
- Lunch on the days of the training as well as drinks and snacks throughout the course
The price doesn’t include accommodation, flights, transfers and any additional costs outside of the training venue.
Yes, we always offer Early Bird discount, so the sooner you register the more savings you can make. We also offer group discounts and if you register for 2 or more programmes at the same time.
If you are a full time student or unemployed, we offer a 25% discount of the full price of the training. Student ID or unemployment status confirmation is required to claim this discount.
If you attend one of our courses you will be entitled to a special discount for a year after the last course you attend with us. Also, if you have attended and recommended us to a friend, both you and your friend will receive a special discount. You will receive more information about it after you attend the course.
See our Customer Loyalty Discounts page for more details.
All our courses based in the UK are subject to the VAT charge of 20%. This fee is irrespective of the country of residence of the delegates.
You can, however, claim the VAT back by contacting UK tax office - HMRC, and filling the relevant form, as long as you comply with the following rules:
For Delegates coming from the EU countries
If you represent a registered business in another EU country, you can use the Refund Scheme to reclaim VAT you pay in the UK as long as all of the following apply:
- You're not registered for VAT in the UK and don't have to, or can't be, registered here
- You don't have a place of business or a residence in the UK
- You don't make any supplies in the UK
You can find some more information here. In order to claim the VAT you have to fill Form 65.
For the Delegates from Non EU countries
If you represent a registered business in a non-EU country, you can use the Refund Scheme to reclaim VAT you pay in the UK as long as all of the following apply:
- You're not registered for VAT in the UK and don't have to, or can't be, registered here
- You don't have a place of business or a residence in the EU
- You can only use the Refund Scheme if your own country operates a similar scheme and makes it available to UK businesses. If your country has its own Refund Scheme but doesn't let UK businesses use it, you can't claim under the UK Refund Scheme.
- You don't make any supplies in the UK
If the following rules apply to you, please fill the 65A form and send it to HMRC.
You can cancel your participation up to a month before the course and receive a refund minus 10% of the full course value. Between 2-4 weeks before the course you will be charged 50% cancellation fee and if you cancel less than 2 weeks before the course you can only offer your place to a colleague. Up to 2 weeks before the course you can reregister for another edition for 10% reregistration fee if there is another webinar offered or you can rebook for a course in London by paying the difference in price plus 10% reregistration fee.
If there is any official travel restriction or difficulty related to the COVID pandemic around the time of the course we will convert the training into a webinar or offer to attend the next classroom edition at no extra cost.
If you are unable to attend the course, you can either send a replacement at no extra charge or, up to 10 days before the training, you can transfer your booking to another edition within the next 6 months paying administrative fee of 20% of the full course price. For any cancellation requests received between 11 days and 4 weeks from the course we offer 50% refund or reregistration to another edition for 25% of the value of the booking. For any cancellation requests received more than 4 weeks before the course date we will offer a refund less an administration fee of 10% of the full course price.
Cancellations must be made in writing (letter or email) and reach our office four weeks prior to the course date. We regret that only limited refunds can be given after this period as per points above. Non-attendance without any notification will be charged at full rate. Your place on a course is not guaranteed until we receive the payment. All payments must be made in full before the course date.
All our trainers have been working for many years in their respective sectors before they begun to teach so they bring a wealth of practical experience to the classroom.
Most of them used to work for 15 or more years in the financial sector and corporate world, and were holding positions of Directors, VP and Senior Managers. Some of them have published books and have written articles for specialised magazines and newspapers including FT, The Independent, The Times etc. You can find detailed biography of each trainer on the page of the course you want to register for.
Yes, you will receive a Certificate of Attendance at the end of the course you attend.
If you have to apply for a Visa to attend a course in the UK, we will issue a letter to support your application. The letter will be issued only after the payment for the course has been made.
It is delegate’s responsibility to obtain a Visa and failure to do so will not make the participant exempt from the cancellation policy.
Anyone suspected of applying for a training course simply to gain a Visa letter will be reported to their embassy.
We will need the following information to issue an invitation letter:
- Full name as it appears on your passport
- Date of birth
- Passport number
- Passport issue date
- Passport expiry date
16 - 18 Oct 2023, Online / Virtual
Regular price £1950 + VAT
REGISTRATION CLOSES BY 4 Oct at 4 P.M.! 3 x 5 hrs sessions starting at 9.30 a.m. GMT. 5% discount for 2 and 10% for 3 people. There is no VAT charge for participants from outside of the UK.
11 - 12 Dec 2023, London
Register by 15 Oct to save £220
Early bird price £1875 + VAT
Regular price £2095 + VAT
5% discount for 2 and 10% for 3 people. REGISTRATION CLOSES BY 17 NOV!
This topic can be arranged on in-house basis. If you have a group of 4 or more we can customise it and deliver in any location worldwide. Contact us to discuss your requirements