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Performance Measurement

Seminar Description

We are currently in the progress of developing the content of this seminar. The event is supposed to provide a systemtatic introduction to performance measurement, touching as many practical problems as possible. Topics include....

  • Portfolio accounting
  • Return calculation
    • Simple returns
    • Returns with net contributions: Time-weighted & mony-weighted returns
    • Personal rate of returns and other alternative concepts
    • Contribution to returns
    • Relative returns
    • Security-, Portfolio- & Composite-Returns
    • Return calculation standards (GIPS and others)
    • The statistics of returns: distributional assumptions, hypothese testing and more, IID assumption
    • Practical issues
      • Daily returns
      • Multi-period calculations: averages and cumulative returns/contributions
      • Handling tricky securites: derivatives, short positions and others
      • Some return puzzles
  • Applications I: introduction to risk measurement
    • Volatility and Tracking Error, Beta
    • Drawdown risk concepts
    • Practical issues: scaling rules, the impact of leverage
    • Risk contributions
    • Limitations of the modern risk measures
  • Applications II: introduction to performance attribution
    • The Brinson model
    • Style and factor analysis
    • Limitations of performance attribution
  • Applications III: performance analysis
    • Benchmarking
    • Peer analysis
    • Performance reporting
    • From measurement to management
  • Working with Microsoft Excel
    • Many example calculations and templates
    • Spreadsheet risk management

Target Audience

Managers, Research Analysts, Risk Managers and Institutional Investors. The course is beginner to intermediate level; little previous knowledge is required, although we expect participants to have some exposure to the topics discussed in their daily work.

What Makes This Event Different

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

Will be defined at a later point; full-day

Key Topics

Work in progress; see seminar description above

Special Features

  • Binder with slides discussed, MS Excel illustrations
  • Personal atmosphere due to maximum of 10 participants

Fee

Zurich: 500 CHF for a fully day event, approx. 300 CHF for a half-day event.

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

Registration & Cancellation Policy

You can register using an online form if a date has been scheduled. You can also use the online form to place a non-binding reservation for a seat. Reservations will be reconfirmed upon announcement of a date.

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.