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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3Sep3
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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: [email protected]
Registration Form 1. Delegate Information and registration fee
2. Payment and Cancellation Policy
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- Above fees don't include 5% consumption tax.- An invoice will be sent to the mailing address registered. Payment must be settled within 10 days after the invoice arrives via bank transfer to the designated bank account.- If the registrant is unable to attend, it is possible to have somebody attend in his/her place. Cancellation is
- Please be advised that:
・ Cancellation requested by Aug 11th, 2013: Registration fee minus 10% handling charge will be refunded. ・ Cancellation requested from Aug 11th, 2013 onward: No refund can be made.
- All refunds will be granted after the event.
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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