EVENT | Date: 15th Julay (09:00 am - 17:00 pm)
WORKSHOP
INVESTMENT ANALYTICS WORKSHOPADVANCED INVESTMENT PERFORMANCE ANALYTICS 2021
Days
Hours
Minutes
Seconds
About the Workshop

This highly interactive workshop is suitable for both experienced performance analysts who are looking to hear about potential new solutions and those beginning the performance analytics journey who would benefit from an awareness of the opportunities that may lie ahead for their career.The workshop expands traditional investment performance analytics methodologies to introduce new concepts and ideas to meet the increasing demands of the superannuation and investment management industries as they become increasingly sophisticated. In addition to leveraging traditional methodologies the workshop covers a number of areas rarely found in traditional courses and text books. The workshop analyses research papers written by the presenter and other industry experts to highlight new opportunities to introduce performance measurement methodologies tailored to continually evolving industry requirements.

Workshop Details
Kyle Ringrose
Principal at Athena IOC

Workshop Leader:

KYLE RINGROSE 
Principal Athena IOC Pty Ltd

The workshop expands traditional investment performance analytics methodologies to introduce new concepts and ideas to meet the increasing demands of the superannuation and investment management industries as they become increasingly sophisticated. In addition to leveraging traditional methodologies the workshop covers a number of areas rarely found in traditional courses and text books. The workshop analyses research papers written by the presenter and other industry experts to highlight new opportunities to introduce performance measurement methodologies tailored to continually evolving industry requirements.

Concepts explored in depth include enhanced methods for measuring investment performance over the long horizon investment timeframes within which superannuation funds and their investment managers are required to operate. It also examines the shortcomings of traditional investment risk measures (including the ASFA/FSC Standard Risk Measure) and illustrates alternative risk measures that could be adopted. The workshop takes a deep dive into post-tax performance measurement to illustrate potential shortcomings and how post-tax performance measurement could be introduced across all asset classes including the post-tax performance impact of asset allocation decisions and the use of derivatives for rebalancing.

Other sessions cover insights into the less well publicised factors of the perennial active versus passive investment management debate. Examples of tailoring the presentation of performance analytics results to the varying needs of the client is also covered in depth. The workshop presenter is a frequent speaker at industry conferences and runs regular workshops on related topics for clients around Australia. The presenter’s performance analytics learnings have been gained from decades of hands on experience in performance analytics solutions working with software vendors, investment managers, custodians and superannuation funds both in Australia and overseas. The workshop leverages this extensive experience to ensure that the content includes case studies of real-life implementations in addition to analysis of thought-provoking research papers.

Advanced Investment Performance Analytics Challenging traditional methodologies and insights into new concepts and ideas

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Investment Analytics Workshop Schedule
Learn schedule, program and topics of the Investment Analytics Workshop 2021.
  • Is the industry too focussed on short term results?
  • What is a meaningful time frame?
  • Are traditional benchmarks appropriate? If not what benchmarks
    should we adopt?
  • The distinction between “income” and “earnings”
  • The definition of income and earnings for each asset class
  • How to source income and earnings data
  • Income and earnings for derivatives
  • FX exposures
  • Return calculations?
  • Reconciliation of LHI returns to traditional returns

Morning coffee, networking and discussion

  • Segregation of assets between accumulation and pension members
  • Franking credits
  • Buy backs
  • Turnover
  • Tax parcel selection
  • Long versus short gains
  • Harvesting
  • Structure
  • Derivatives overlay
  • Multi-sector tax management
  • Overseas equities tax management
  • Segregating and measuring all the drivers of CGT expense
    • Benchmark natural turnover including smart beta impacts
    • Member cash flows
    • Investment activity impact on benchmark CGT (e.g. asset
      allocation)
    • Manager post-tax alpha
  • Measuring all asset classes
  • Derivative overlays
  • Tax leakage on overseas investments
  • Pre or post liquidation methodology
  • Traditional measures of risk
  • Superannuation Fund PDSs definition of risk
  • Shortcomings of commonly used risk measures
  • What is the real risk for a long term investor e.g. superannuation fund
  • A case study with worked examples
  • How to develop a practical measure of the real risk to a
    superannuation fund member
  • By how much should we expect active managers to beat the
    benchmark?
  • With what consistency?
  • Can asset consultants pick outperforming active managers?
  • Does survival bias result in misleading active performance tables?
  • To what extent are active managers actually more expensive?
  • Does tax cost materially reduce active performance returns?
  • Is post tax performance measured appropriately (when it’s measured at all)?

Afternoon tea, networking and discussion

  • Measuring the investment manager’s performance without
    comparison against a peer group or a strategic asset allocation
    benchmark
  • How to analyse and quantify key drivers of performance and volatility
  • How to present the analysis in tabular and graphic form
  • What do the clients expect to know
  • Skills needed in handling clients
  • The client's perspective
  • Presenting performance results
  • Different models to present the results
  • What happens after the performance attribution is presented?

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