Virtual Course: Investment Performance Measurement, Attribution & Risk Programme (October 17-19, 2022 / December 7-9, 2022)
Dublin, Sept. 29, 2022 (GLOBE NEWSWIRE) -- The "Investment Performance Measurement, Attribution & Risk" training has been added to ResearchAndMarkets.com's offering.
This course offers a unique opportunity to complete this investment performance programme online via a virtual class which will be delivered over 3 x 4.5 hour sessions on 17-19 Oct & 7-9 Dec (3 sessions) starting at 10 a.m UK time. 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 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
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:
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
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
For more information about this training visit https://www.researchandmarkets.com/r/ohvtt0
CONTACT: CONTACT: 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