Carl Bacon CIPM, is Chairman of StatPro Group since April 2000. Prior to joining StatPro, Carl was Director of Risk Control and Perfor-mance at Foreign & Colonial Man-agement Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Manage-ment.

Carl holds a B.Sc. Hons. in Mathematics from Manchester University and is an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS®, Carl is the chair of the GIPS Executive Committee, chair of the Verification Sub-Committee, a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement.

A practical course designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, risk-adjusted performance measurement, achieving GIPS® compliance to performance measurement for derivative instruments, alternative strategies and advanced multi-currency, multi-period attribution techniques.

CARL BACONCOURSE DIRECTOR

Through class lectures, interactive discussion, practical exercises and team presentations, you will be able to:

Understand the concepts of performance measurement Learn the different ways to derive returns (and why the results can vary)

Comprehend how cash flows affect the returns

Analyse the principles of benchmarking

Ascertain why risk measurement and control are important and what the measures mean

Discern the role of attribution, the challenges in getting it right, and how it should be used

Understand the differences and difficulties of Fixed Income Attribution

Performance Measurement & AttributionThe essentials of

2013

Master through practice the key notions from Carl's latest bookPractical Risk-adjusted Performance Measurement(John Wiley & Sons 2012 ISBN 978-1-118-36974-6)

September 2nd (Mon)9:00-17:00

September 3rd (Tue)9:00-17:00

Venue:BELLE SALLE YAESU 3F

2Sep2

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2Sep

2Sep

SEMINAR AGENDA

DAY 1 Morning DAY 1 Afternoon

08:45 Welcome and registration

09:15-10:45 Introduction

→ What is performance measurement?

→ The performance measurement process

→ Basic Calculations

→ Currency effect

→ Time Weighted or Money weighted?

→ The evolution of return methodologies

Practical exercise: Return calculations for an Emerging Markets portfolio.

10:45-12:15 Benchmarks→ Attributes of good benchmarks

→ Peer Groups, Indexes or Random Portfolios?

→ Index calculations

Practical exercise: Customised benchmark calculations

Excess Returns - Geometric or arithmetic?

Performance Fees

→ Attribution as a management tool

→ The Brinson Model

► Brinson, Hood & Beebower

► Brinson & Fachler

► Interaction

→ Geometric Attribution

Practical exercise: Be a portfolio manager for a year attribution exercise

13:15-14:45 Basic Attribution

WHO SHOULD ATTEND?

» Portfolio managers» Performance analysts» Risk controllers» Compliance officers» Sales, marketing and operations staff» Pension fund trustees

DAY 1 Afternoon

14:45 – 16:45 Measuring Portfolio Risk

Risk types in asset management

Risk Control

Risk types in asset management

Risk Control

- Ex-post, Ex-ante - Mean absolute deviation- Variance, standard deviation & tracking error- Annualised risk- Bessel’s correction- Sharpe ratio- Information Ratio

Simple risk Measures

Regression Statistics

- Jensen’s alpha- Beta- Covariance- Correlation- R2- Fama decomposition- Fama-French 3 factor model

Risk-adjusted Return

- M2 & adjusted M2- GH1 & GH2

Practical Exercise (Portfolio Evaluation)

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.

2SepSEMINAR AGENDA

9:15- 11:00 Advanced Risk Measures 11:00-12:30 Value at Risk

Drawdown

Higher & Lower Partial Moments

DAY 2 Morning

TRANSLATION

08:45 Welcome and registration

- Skewness & Kurtosis- Bera- Jacque Test- Hurst Index- Bias Ratio- K ratio- Adjusted Sharpe Ratio

Translation from English to Japanese and Japanese to English will be provided throughout the Seminar

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

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

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

3SepSEMINAR AGENDA

DAY 2 Afternoon

Venue

Contact

13:30-17:00 Further Attribution

Multi-currency attribution- Karnosky & Singer- Bacon Attribution issues - The evolution of attribution methodologies - Security level attribution - Transactions, holding and returns based attribution

Fixed Income AttributionDuration- Macaulay- Macaulay-Weil- Modified- Effective- Convexity - Methodologies- Weighted Duration (Van Breukelen) Attribution- Campisi Framework - Yield curve decomposition

17:00 End of Seminar

BELLE SALLE YAESU 3F Yaesu First

TEL : 03-3346-1396

URL : http://www.bellesalle.co.jp/bs_yaesu

3SepSEMINAR AGENDA

20F Marunouchi Trust TowerTokyo 100-0005Main, 1-8-3 Marunouchi, Chiyoda-ku,Telephone: 03 6269 3029E-mail: seminars@dragonsdesk.com

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Investment Manager-Broker-Consultant ¥180,000 (before 15th July) ¥200,000 (after 15th July)

Pension Fund ¥90,000 (before 15th July) ¥100,000 (after 15th July)

Academic ¥60,000 (before 15th July) ¥100,000 (after 15th July)

2nd participant from same organization receiving 25% discount

3rd participant from same organization receiving 50% discount