Risk-Adjusted Performance

Seminar Description

This workshop will provide participants with an overview of the latest risk-adjusted performance measures like the Rachev or Farinelli-Tibiletti Ratios or Omega, how they relate to traditional measures such as the Sharpe Ratio, how they can be calculated in MS Excel and how they can be used in ex post portfolio analysis and ex ante portfolio construction. The focus is on concepts and practical applications and not mathematical proofs.

Click here for a sample analysis discussed in the seminar

Target Audience

Investment Managers, Research Analysts, Risk Managers and Institutional Investors interested in the latest research in risk and return analysis. Previous knowledge of qualitative and quantitative concepts in financial modeling is recommended.

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

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

Key Topics

Traditional Risk-Adjusted Performance Measures
- Traditional RAPM: Sharpe, Treynor, Jensen, Information Ratio
- Implementation issues: calculation of mean return, volatility, dealing with negative values
- Simple extensions: M2, M3, Appraisal Ratio
- Relationship between the classical measures, the impact of leverage, Sharpe Ratio attribution, the role of the riskfree asset
Alternative Risk-Adjusted Performance Measures
- Alternative risk and return concepts: LPM/UPM, drawdown, quantile risk
  measures (VaR, conditional value-at-risk), stochastic dominance / economic
  risk index
- Various RAPM: Conditional Sharpe Ratio, Omega & its relatives, Sortino,
  Burke, Rachev
Practical Applications
- MS Excel: Custom functions in VBA, matrix formulas, time series data
  management
- Dynamic analysis: Rolling statistics, EWMA, Weighted Least Squares
- Evaluation and presentation of ranking
- Bootstrapping, Autocorrelation, Contributions: Decomposition of Sharpe Ratio.
- Trade Profiles, RAPM-based portfolio construction
- Avoiding pitfalls and known limitations

Special Features

Binder with slides discussed, including a CD-ROM with MS Excel illustrations and a fully functional Excel custom function library with limited access to source code
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.