Performance Attribution

Seminar Description

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.

Target Audience

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 10 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.

Location

Downtown Zurich, details will be communicated approximatively 2 weeks before the event.

If the number of participants is small, then the event will take place in our office in Hinwil (approx. 30 minutes from Zurich).

Schedule

09:00am Welcome Coffee
09:30am Start Presentation
12:00am Sandwich Lunch
03:00pm Coffee Break
05:00pm Finish

Key Topics

Overview available methodologies: the evolution from Brinson to hybrid models
Selected asset class - specific issues (e.g. fixed income, currency, alternative asset classes)
Selected asset - specific issues (e.g. derivatives)
Tricks and traps in practical attribution analysis: compounding effects, to model the investment process (or not to), strategic/tactical/implementation layers
Performance attribution reporting: internal versus external clients
Alternative approaches: style analysis, decompositions based on factor models, random portfolios
Reintroducing risk: risk decomposition, risk-adjusted performance attribution

Special Features

Binder with slides discussed, including a CD-ROM with MS Excel illustrations
Case studies and data submitted prior to the workshop will be used as examples
Post-workshop access to online discussion groups
Personal atmosphere due to maximum of 10 participants

Fee

Zurich: 500 CHF

The fee includes snacks, refreshments, sandwich lunch and all seminar materials.

Registration & Cancellation Policy

You can register using an online form.

The seminar can be cancelled or rescheduled. In case of a cancellation on behalf of the organizer, payments will be returned in full. Cancellations on behalf of participations will be returned in full up to 20 business days before the event.