Nov 26, 2018 - Nov 28, 2018 Grace Hotel Sydney, 77 York street, Sydney, NSW Australia

Investment Performance Measurement, Attribution & Risk Management 2018 Fourm

26th NOVEMBER 2018 - Day 1

Participants registration and refreshments.

Chairman’s address to the gathering.


  • Mark Goodey,Director, Senior Principal of Investment Analytics, Eagle Investment Systems LLC
  • Share latest industry themes for investment performance analytics
  • Which elements are ripe for disruption?
  • Should we push ourselves to be like other service sectors?
  • How can technology partners and service providers help?


  • Mark Goodey, Director, Senior Principalof Investment Analytics,Eagle Investment Systems
  • Graeme Roberts,Solutions Specialist at Eagle Investment Systems
  • Artificial Intelligence (AI) Meets Performance Measurement
  • Artificial Intelligence and how it will impact the performance analytics profession
  • Where AI is developing in software solutions
  • How realistic is the notion that performance analysts can be replaced by robots
  • Areas where robots may never replace humans
  • Areas where AI will enhance accuracy and timeliness

Panel Members

    • Alpha to Omega, appraisal to pain!
    • The evolution of risk measures
    • All the available risk measures structured according to type and shape of return distribution
       Absolute
       Relative
       Downside
       Gain- loss
       Prospect
       Drawdown
       Risk-adjusted return


    • Carl Bacon,Chief Adviser,StatProUK

    Refreshments and Networking opportunity for participants.

    • Defining risk from the asset owner’s perspective
    • Tailoring risk measures to the asset owner’s objectives
    • The trade off between risk and return


    • Kyle Ringrose, Principal Athena IOC Pty Ltd, Former Head of Investment Operations, Qsuper
    • Common risk measures contrasted and compared
    • Standard deviation
    • Sharpe ratio
    • Information ratio
    • M2 ratio
    • ASFA Standard Risk measure


    • Carl Bacon,Chief Adviser, StatPro UK
    • Kyle Ringrose,Principal Athena IOCPty Ltd

    Lunch and Networking opportunity for participants.

    • The different types of fixed income attribution
    • Where some measures are more appropriate than others
    • The complexities and how to simplify them


    • Andrew Colin,PhD FIMA CMath,Senior QuantitativeAnalyst, QSuper


      • Andrew Kophamel,Head of PerformanceAnalytics – Asia Pacific,Aberdeen StandardInvestments

      Refreshments and Networking opportunity for participants.

      • Challenges in implementing an after tax performance model for the new AMIT (attribution managed investment trusts) tax regime
      • Options considered in implementing the after tax performance model
      • The solution and assumptions used in the model


      • David Priest,CIPM, Senior PerformanceAnalyst, Vanguard

      This session will discuss the migration of investment portfolio thinking from a pre-tax to an after-tax performance basis and illustrate the role tax plays in three ways:

      • The relationship between pre-tax and post-tax performance
      • The relationship between manager skill and tax
      • The relationship between tracking error and tax alpha


      • Raewyn Williams,Managing Director Research, Parametric


      • What are the struggles preventing this from happening?
      • Addressing how accurate and timely performance combined with risk analytics, can bring the front and middle office closer together and improve efficiency
      • How can we scale, automate and improve the process of investment performance measurement, to enable accurate and timely attribution?
      • Leveraging the right technology to free the middle office, allowing them to focus on value-add tasks
      • How can we address the three key challenges of cost management, operational efficiency, and stakeholder service levels?

      Panel Members :

        • 5:00 PM- 6:00 PM – 1 Hour Networking Drinks

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