Registration of Participants.

WORKSHOP 3 ADVANCED ATTRIBUTION

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

End of Workshop 3 and Close of Conference

Registration of attendees.

INTRODUCTION TO PERFORMANCE MEASUREMENT & ATTRIBUTION

COURSE OBJECTIVE
PRE-REQUISITES

This course is designed as an introduction to new performance analysts and for those
requiring a refresher of the basic principles
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
Introduction

• What is performance measurement?
• Basic Calculations
• Currency effect
• Time Weighted or Money weighted?
• The evolution of return methodologies
• Practical exercise
  (Return calculations for an Emerging Markets portfolio)
• The timing of cash flows

Basic Attribution

• Attribution as a management tool
• The Brinson Models
• Geometric Attribution
• Practical exercise

(Be a portfolio manager for a year attribution exercise)

Benchmarks

• Attributes of good benchmarks
• Peer Groups, indexes, random portfolios, ETFs or Target returns
• Index calculations
• Practical exercise (Customised benchmark calculations)
• Excess Returns Geometric or arithmetic
• Performance Fees

Performance Standards

• Background
• GIPS 2020
• For Asset Owners
• For Investment Firms
• Detail
• Why do it?
• Verification

End of Workshop 1

Registration of attendees.

RISK-ADJUSTED PERFORMANCE MEASUREMENT

An intensive masterclass for Investment Professionals and other key players in the
investment decision process who wish to increase their technical knowledge and
gain a broader understanding of the complete range of risk-adjusted performance
measures.

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.

RISK

• Risk types in Asset Management
• Compliance Risk
• Operational Risk
• Liquidity Risk
• Counterparty Risk
• Portfolio Risk

Guidelines for effective risk control in an asset management firm.
What is the ideal control infrastructure?
RISK-ADJUSTED PERFORMANCE MEASUREMENT
Ex-post, Ex-ante
Common Risk Measures (Absolute, relative & regression measures)

• Sharpe
• Information Ratio (original &modified)
• M2
• Jensen’s alpha, Beta, Co-variance, Correlation and R2
• Appraisal ratio
• Fama Decomposition
• GH1 and GH2

Practical session– Performance Evaluation, Calculate a range of risk measures for five portfolios and rank in order of preference
DESCRIPTIVE STATISTICS

• Skewness
• Kurtosis
• Excess Kurtosis
• Hurst Index
• Bias Ratio
• Bera- Jacque Test
• Adjusted Sharpe Ratio

DRAWDOWN

• Sterling ratio
• Calmar ratio
• Burke ratio
• Sterling-Calmar ratio
• MAR ratio
• Pain index
• Ulcer index
• Pain ratio
• Martin ratio

HIGHER & LOWER PARTIAL MOMENTS

• Downside risk
• Sortino ratio
• Omega
• Upside Potential ratio
• Kappa (Sortino-Satchell ratio)
• Volatility skewness
• Farinelli-Tibiletti Ratio

VALUE AT RISK

• Historical simulation, Monte Carlo simulation or parametric
• Modified VaR
• Conditional VaR, Expected Shortfall, Tail loss, Average VaR
• Tail risk
• Return to VaR
• Modified Sharpe Ratio
• Conditional Sharpe Ratio
• Tail ratio
• Upside Potential
• Rachev ratio

End of Workshop 2

Registration of Participants.

WORKSHOP 3 ADVANCED ATTRIBUTION

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

End of Workshop 3 and Close of Conference