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Advanced Portfolio Analytics: Performance Appraisal, Risk Measurement and A...
Mon, Oct 9, 2017, 9:00 AM – Wed, Oct 11, 2017, 5:00 PM CEST
This course provides participants with comprehensive and detailed methods used in investment performance and risk analysis. Particular emphasis is placed on being able to handle the risk and return dimensions in an integrated manner using the latest quantitative concepts to handle non-normal and non-linear tail risks. The program finally focuses on applications like performance appraisal, risk management and operating a performance measurement function in an organization.
Attend this intensive 3-day training and learn to:
- Understand time-weighted and money-weighted return calculations
- Handle derivatives, short positions and perform security-level calculations
- Learn about performance measurement industry standards
- Conduct performance appraisals with benchmark and peer groups
- Analyse traditional and alternative investment portfolios with Brinson-style attribution methodologies
- Understand the peculiarities of fixed income attribution models
- Attribute currency effects for international portfolios, portfolios with currency overlay managers and strategic currency hedging
- Understand the use of factor models in portfolio analysis
- Use style analysis to attribute performance when no constituent data is available
- Learn about the latest risk indicators capturing tail risk, non-normal risks, tail risk and non-linear dependence
- Calculate risk attribution consistent with your performance attribution
- Enhance your practical skills with spreadsheet example calculations for various quantitative methods discussed
- Put into perspective some of the more recent industry trends (smart beta, factor-based investing)
The training consists of classroom-based teaching combined with selected group exercises and spreadsheet-based example calculations.