Advanced Performance Measurement & Attribution

Course details

Workshop Overview & Objectives

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 advanced performance measurement and attribution, and risk‐adjusted performance measures.

Pre - Requisite:

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.

Who should attend?

• Performance Measurers
• Risk controllers
• Compliance Officers
• Portfolio Managers
• Operations Staff
• Pension Fund Trustees

The primary target is the middle office of asset management firms ‐ but anybody involved in the asset management industry including pension funds and hedge funds would find this of value.

Training Methodology

• Workshop style, with exercises and case studies

Workshop Outline

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, Modified Jensen
• Fama Decomposition
• GH1 and GH2

Practical Session

• Performance Evaluation, Calculate a range of risk measures for five portfolios and rank in order of preference

Advanced Risk Measures Descriptive Statistics

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

Risk Adjusted Measures for Hedge Funds 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

Advanced Attribution Multi-Currency Attribution

International investments and portfolios aren't always denominated in a common currency. Having returns in multiple currencies add a layer of complexity to performance attribution. In this segment, we examine the techniques used:

• Karnosky & Singer;
• Naïve Currency Attribution;
• Geometric Multi-Currency;
• Forward Currency contracts;

Practical Session

• Multi-Currency Attribution including forward currency contracts.

Attribution for Derivatives

As investment products and structures become more complex, to task of performance measurement and attribution correspondingly becomes more challenging. This segment addresses the attribution for derivative securities and selection strategies.

• Futures, Options and Swaps
• Leverage & Overlay
• Market Neutral
• 130/30 Funds