November 28, 2016 - November 30, 2016 Grace Hotel Sydney , 77 York street, Sydney, NSW Australia

Gain Insights from performance through leaders & brainstorming on best practices in the performance measurement space

  • Registration : 8:30 am
  • Workshop : 9:00 am to 4:30 pm

Course objective:
An intensive masterclass for Investment Professionals and other key players in the investment chain who wish to increase their technical knowledge and gain a detailing understanding of all aspects of portfolio return attribution.

Participants will be required to have a basic knowledge of how to use Excel spreadsheets If possible participants should bring their own laptop with excel loaded. Attendees will be asked to work in teams of two or three on excel based practical exercises.

Advanced Attribution
1.Evolution of attribution methodologies
2.Types of attribution
3.Attribution issues
4.Holdings, transaction and returns based attribution
5.The role of attribution. Today and in the future
6.Off-benchmark investing
7.Security level attribution

Attribution for Derivatives
1.Futures, options and swaps
2.Short positions
3.Market Neutral
4.130/30 Funds
5.Multi-level & balanced attribution

Basic attribution
1.Why measure performance?
2.Definition of attribution
3.Attribution as a management tool
4.Recap of the Brinson Model

Multi-currency attribution
1.Karnosky & Singer
2.Naïve Currency Attribution
3.Geometric multi-currency
4.Forward Currency contractS

Fixed Income attribution
1.Why is Fixed Income attribution so different?
2.Weighted Duration Attribution
3.Campisi framework
4.Yield Curve Decomposition

Workshop Leader:
CIPM, Non-Executive Chairman at StatPro, UK

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”

Attendee Information


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Upcoming Events

  1. Investment Performance Training Courses

    April 16 - April 18
  2. Superannuation Funds Tax 2018 Forum

    May 15 @ 8:00 am - May 16 @ 5:00 pm
  3. Unit Pricing 2018 Forum

    May 21 @ 8:00 am - May 23 @ 5:00 pm
  4. Future Social Media Strategy 2018 Forum

    May 31 @ 8:00 am - June 1 @ 5:00 pm
  5. Data Governance 2018

    June 12 @ 8:00 am - June 13 @ 5:00 pm

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Phone: (+61 2) 9896 0776
Email: register@ibrc.com.au
Address: PO BOX 411, Wentworthville,
NSW 2145