International Business Review Presents
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23rd Annual - P Group InvestmentPerformance Training Courses – 2024
MELBOURNE WORKSHOPS : 16th - 18th OCTOBER
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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.”
Workshop 1 : Introduction to Performance Measurement & Attribution

Carl Bacon will again be facilitating the P Group Training Courses. This course is designed as an introduction to new performance analysts and for those requiring a refresher of the basic principles

WORKSHOP 2 : 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.

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 and gain a detailing understanding of all aspects of portfolio return attribution.

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.”

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Workshop Leader
Learn speakers and workshop details of the Investment Performance Training Courses – 2024

Workshop Leader:

CARL BACON 
CIPM Chief Adviser, Confluence (UK). Founder Freedom Index Company, UK

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.
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”.

Workshop 1: Introduction to Performance Measurement & Attribution
MELBOURNE WORKSHOPS : 16th, 17th & 18th October in Melbourne
Registration Time: 8:30am Workshop Time: 9:00am - 5:00pm

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
  • Excess Returns Geometric or arithmetic
  • Performance Fees

Performance Standards

  • Background
  • GIPS 2020
    • For Asset Owners
    • For Investment Firms
  • Detail
  • Why do it?
  • Verification
Workshop 2: Risk-adjusted Performance Measurement
MELBOURNE WORKSHOPS : 16th, 17th & 18th October in Melbourne

Course objective
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
Workshop 3: Advanced Attribution
MELBOURNE WORKSHOPS : 16th, 17th & 18th October in Melbourne

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

Course Agenda

Basic attribution

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

Advanced Attribution

  • Evelution 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
  • Native currency attribution
  • Geometric multi-currency
  • Forward Currency contracts

Fixed Income attribution

  • why is fixed income attribution is so different
  • Weighted duration attribution
  • Campisi frameworks
  • Yield curve decomposition

Attribution for Derivatives

  • Futures, options and swaps
  • Short positions
  • Market Neutral
  • 130/30 funds
  • Multi-level & balanced attribution
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Add Books To My Registration:

Workshop – 1

3rd Edition: Practical Portfolio Performance Measurement & Attribution (e-Book or Hard Copy) $90 + GST AUD

Workshop – 2

2nd Edition: Practical Risk-adjusted Performance measurement (e-Book or Hard Copy) $90 + GST AUD

Both the books –

(e-Book or Hard Copy) $180+ GST AUD

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