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19th ANNUAL - P GROUP INVESTMENT PERFORMANCETRAINING COURSES 2020
19th Annual - P Group Investment Performance Training Courses. Carl Bacon will again be facilitating the P Group Training Courses, incorporating material developed for similar courses he has run throughout Europe, the US & Asia.
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About The Event
Carl Bacon will again be facilitating the P Group Training Courses, incorporating material developed for similar courses he has run throughout Europe, the US & Asia. This course is designed as an intensive masterclass for“ Investment Professionals and other key players who wish to increase their technical knowledge and gain a broader understanding of the complete range of risk-adjusted performance measures and all aspects of portfolio return attribution.”
Workshop 1

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

WORKSHOP 2

An intensive masterclass for Investment Professionals and other key players in the investment decision process who wish to increase their technical knowledge.

Workshop 3

Advanced Attribution. An intensive masterclass for Investment Professionals and other key players in the investment chain who wish to increase their technical knowledge.

An intensive masterclass for“ Investment Professionals and other key players who wish to increase their technical knowledge and gain a broader understanding of the complete range of risk-adjusted performance measures and all aspects of portfolio return attribution.”

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workshop Details
Learn speakers and workshop details of the Investment Performance Training Courses – 2020
Carl Bacon
Chief Adviser, Confluence (UK)

Workshop Leader:

CARL BACON 
CIPM, Founder, Freedom Index Company, UK.
Chief Adviser, StatPro

workshops in Melbourne
1. INTRODUCTION TO PERFORMANCE MEASUREMENT & ATTRIBUTION (WORKSHOP 1 – 7th May 2020)
2. ADVANCED ATTRIBUTION (WORKSHOP 3 – 8th May 2020)
workshops in Sydney
1. INTRODUCTION TO PERFORMANCE MEASUREMENT & ATTRIBUTION (WORKSHOP 1 – 11th May 2020)
2. RISK-ADJUSTED PERFORMANCE MEASUREMENT (WORKSHOP 2 – 12th May 2020)
3. ADVANCED ATTRIBUTION (WORKSHOP 3 – 13th May 2020)
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Event Schedule
Learn schedule, program and topics of the P Group Training Courses 2020.

Registration of attendees.

INTRODUCTION TO PERFORMANCE MEASUREMENT & ATTRIBUTION

Course objective
This course is designed as an introduction to new performance analysts and for those requiring a refresher of the basic principles
Pre-requisites
Participants will be required to have a basic knowledge of how to use Excel spreadsheets

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 Participants.

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

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 and Close of Conference

P Group Training Courses Resource
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Venue Details
Registation Packages
Learn about registation Prices and offers for P Group Training Courses 2020.
Attending Only One Workshop
(price per person):
$790+GST

P Group/FSC/ CFA & ASFA Institute members

Attending Only One Workshop
(price per person):
$890+GST

Non-members

Attending 2 Online Workshops
(price per person):
$1390+GST

P Group/FSC/ CFA & ASFA Institute members

Attending 2 Online Workshops
(price per person):
$1490+GST

Non-members

Click on the button below and fill the form to confirm your registration.

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