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| Performance Measurement and GIPS® Workshops - Advanced Performance Measurement & Attribution [Full] |
Event Code: 100831W |
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| Venue |
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| HKSFA Office, Room 1802, 18/F, 1 Duddell Street, Central, Hong Kong. |
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| Speaker(s) |
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Mr. Carl Bacon, CIPM,
Chairman,
StatPro Group plc
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| Fee |
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HKSFA Member(s) at HK$2,200/person
CFA Candidate(s) at HK$3,500/person
Guest(s) and non-Member(s) at HK$3,500/person
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This event is qualified for : |
6.0 CPT hour(s) , 6.0 CE hour(s) , 6.0 RBV CPD hour(s)
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| Remarks : |
- Classrooms are not equipped with computers, participants please bring a laptop with "Excel" application for the practical exercises session
- Special Discount: 10% off for those who register for two (or more) workshops.
- Only Visa and Master Card are accepted for online payment.
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| Event Details: |
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 performance return attribution and 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.
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.
Course Agenda
Risk
Risk types in Asset Management
What is the ideal risk 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
Practical session – Performance Evaluation - calculate a range of risk measures for five portfolios and rank in order of preference.
Risk-Adjusted measures for Hedge Funds
Drawdown
- Calmar (MAR ratio)
- Sterling (original & modified)
- Burke
- Sterling-Calmar
- Ulcer Index, Pain Index
- Martin Ratio, Pain Ratio
Downside risk
- Sortino
- Upside Potential Ratio
- Omega, Omega Sharpe Ratio, Bernardo-Ledoit Ratio
- Prospect Ratio
Advanced Attribution
- Evolution of attribution methodologies
- Types of attribution
- Attribution issues
- Holdings, transaction and returns based attribution
- Off-benchmark investing
- Security level attribution
Multi-currency attribution
- Karnosky & Singer
- Naïve Currency Attribution
- Geometric multi-currency
- Forward Currency contracts
Practical Session – multi-currency attribution - including forward currency contracts
Attribution for Derivatives
- Futures, options and swaps
- Leverage & overlay
- Market Neutral
- 130/30 Funds
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Click here to enrol and download the event flyer for further details. |
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