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Performance Measurement

Contact us if you are interested in a description of this seminar in PDF format.

Seminar Description

The seminar provides a systemtatic introduction to investment performance measurement, touching as many practical problems as possible. This course is an excellent preparation for the CIPM Principles and Expert exams by the CFA Institute.

Agenda

  • 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

Trainer

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.

Target Audience

Investment 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 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.

Location

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
05:30pm Finish

Fee

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

Registration

Please contact us by email in order to receive the registration form.