May 27, 2019 – May 29, 2019
The Grace Hotel, 77 York Street, Sydney 2000, Australia

17th Annual – P Group

28th May 2019 - Day 2

Risk-adjusted Performance Measurement

Workshop 2 – 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 decision process who wish to increase their technical knowledge and gain a broader understanding of the complete range of risk-adjusted performance measures.


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 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 GH2Practical session– Performance Evaluation, Calculate a range of risk measures for five portfolios and rank in order of preference.

Higher & Lower Partial Moments

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

Descriptive Statistics

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


  • Sterling ratio
  • Calmar ratio
  • Burke ratio
  • Sterling-Calmar ratio
  • MAR ratio
  • Pain index
  • Ulcer index
  • Pain ratio
  • Martin ratio
The organiser reserves the right to modify the course content, facilitator or location if necessary.

Interested in speaking?


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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


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Phone: (+61 2) 9896 0776
Address: PO BOX 411, Wentworthville,
NSW 2145