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April 16, 2017 – April 18, 2018
The Grace Hotel, 77 York Street, Sydney 2000, Australia

17th Annual – P Group

18st April 2018 - Day 3

Advanced Attribution

Workshop 3 – Registration time: 8:30 am  |  Workshop time: 9:00am – 5:00 pm

Each Course is limited to 30 participants.

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.

Pre-requisites

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.

Course agenda

Basic attribution

  • Why measure performance?
  • Definition of attribution
  • Attribution as a management tool
  • Recap of the Brinson Model

Advanced Attribution

  • Evolution of attribution methodologies
  • Types of attribution
  • Attribution issues
  • Holdings, transaction and returns based attribution
  • The role of attribution. Today and in the future
  • Off-benchmark investing
  • Security level attribution

Multi-currency attribution

  • Karnosky & Singer
  • Naïve Currency Attribution
  • Geometric multi-currency
  • Forward Currency contracts

Fixed Income attribution

  • Why is Fixed Income attribution so different?
  • Weighted Duration Attribution
  • Campisi framework
  • Yield Curve Decomposition

Attribution for Derivatives

  • Futures, options and swaps
  • Short positions
  • Market Neutral
  • 130/30 Funds
  • Multi-level & balanced attribution
Disclaimer
The organiser reserves the right to modify the course content, facilitator or location if necessary.

Attendee Information

 

Interested in speaking?

 

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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 21 @ 8:00 am - June 22 @ 5:00 pm

About Us

 

IBR conferences specialises in the fields of Mining, Water, Energy, Finance, Marketing, Environment, Public Sectors and Sustainability. IBR Conferences Pty Ltd is a leading edge Australian company that provides corporate executives with tailored practical conferences keeping them up-to-date with latest business trends with in different industry sectors.

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Contact Info

 

We would love to hear from you and interact with you. Feel free to get in touch with us.

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