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An intense full-day workshop dedicated to Performance Attribution, which aims at providing an overview over available techniques as well as news from the research frontier. Quantitative techniques will be illustrated with worked Excel examples. While quantitative in nature, the focus will be on underlying qualitative concepts (“what”, “why”) and providing guidance with qualitative arguments to assess that various techniques available.
- Performance Attribution Basics
- Return contributions: calculation, the impact of transactions, chainlinking
- Active return: arithmetic and geometric
- The difference between contribution to attribution analysis
- Active investment management decisions
- Attributing time-weighted and money-weighted returns
- Introduction to Brinson Attribution
- Deriving the Brinson decomposition
- Interpretation of the Interaction effect
- Economic interpretation of Brinson attribution
- Allocation with a hurdle rate (Brinson/Fachler)
attribution: Available alternatives, cumulative attribution effects
- Handling portfolio and benchmark investment universe mismatches
- Evaluating hierarchical investment decisions
- Evaluating nonhierarchicalinvestment decisions
- Is there really a selection effect? Reconciling Brinson with Markowitz and making sense of the debate
about the relative importance of allocation and selection
- Evaluating pure selection decisions
- Conditional attribution effects
- Advanced Brinson Attribution
- Long/short attribution
- International portfolios
– Spot currency effects
– Expected and unexpected currency return components
– Currency hedging
– Karnosky/Singer attribution
– Strategic currency hedging
– Evaluating currency overlay managers
- Factor Attribution and Style Analysis
- Introduction to factor models
- Multifactor attribution
- Style attribution
- Hybrid models
- Fixed Income Attribution
- Bond valuation basics
- Introduction to the yield curve
- Fixed income return components
- Modeling duratio
- Brinson-style fixed income attribution (van Breukkelen)
- Commercial fixed income attribution models
- Commodity Attribution
- Risk & Risk-Adjusted Attribtion
- Dispersion-based risk: Volatility and Tracking Error & their decomposition
- Loss.based risk measures: VaR and Drawdown - tail risk attribution, contributions from non-normality
- Sharpe-Ratio attribution
- Understanding the Ankrim decomposition
- Lo's Active/Passive Decomposition
- Measuring Skill: The Empirical Law of Active Management
Andreas Steiner is an independent consultant specializing in portfolio analytics and risk management. He has been teaching as a lecturer at the Zurich University of Applied Sciences in Switzerland, where he gave courses covering performance analysis, international investing and Behavioral Finance. He has published several articles in investmen-trelated journals and is making available his research in the form of short online notes on a regular basis. Currently, Andreas is working on a book project related to advanced portfolio analytics, which will be published early 2014. Andreas has more than 14 years of working experience in investment management. He held various performance and riskrelated roles at a major Swiss bank and smaller provsate banks and was head investment risk management at a mid-sized fund company. He holds a master’s degree magna cum laude in economics.
Investment managers, research analysts, performance analysts, risk managers and institutional investors. Basic knowledge of qualitative and quantitative concepts in financial modeling is recommended.
What Makes This Event Different
The event is neither a conference nor an solutions exhibition. As the number of participants is limited to 6 the seminar will be conducted in personal atmosphere, allowing interaction with the speaker and one another. Participants can submit data sets or specific questions four weeks before the workshop and if suitable, some of these “real world” inputs will be used as illustrations, examples or case studies during the presentation.
The event will take place in our office in Hinwil (approx. 30 minutes from Zurich).
09:00am Welcome Coffee
09:30am Start Presentation
12:00am Sandwich Lunch
03:00pm Coffee Break
600 CHF. The fee includes snacks, refreshments, lunch and all seminar materials.
Please contact us by email in order to receive the registration form.