Investment Performance Measurement and Analysis

Accounting Principles and taxes
  • Accrued and collected income
  • Realized and unrealized capital gains
  • Expenses
  • Taxes and stamp duties
  • Elements of performance
Types of Performance Measurement
  • For the investor: money-weighted rate of return (MWRR)
  • For the fund manager: time-weighted rate of return (TWRR)
  • Processing intermediary flows: Dietz methods
Calculation and Performance Analysis Principles
  • Linking rates of return
  • Geometric average, Compound Annualised Growth Rate
  • Risk, annualisation
Benchmarking
  • Necessary qualities of a benchmark
  • Composite benchmarks, statistics and dynamics
  • Regression in relation to a benchmark: beta, alpha, R2
  • Relative risk: tracking error
  • Implied benchmark and style analysis
Synthetic Ratios: Definition, Calculation and Uses
  • Sharpe ratio
  • Treynor ratio
  • Information ratio
  • Calmar, Sortino, Omega and Sterling ratios
Principles of Performance Attribution
  • Brinson methodology
  • Impacts of allocation and selection
  • Managing residuals and chaining
  • Limitations and practical concerns
Methods and Principles of Performance Presentation
  • Survivorship bias, attrition
  • Reporting bias, backfill
  • GIPS performance presentation standards
  • Internal dispersion of composites and investment discipline

UCITS

  • NAV and dividends, performances and chaining
  • Front end/Back end load
  • Databases and comparison universes
  • Template Fund Factsheet
  • Practical Workshop
  • The seminar is supported throughout by practical exercises
  • and mock situations based on the methods explained

  • Calculate an investment’s performance and risk
  • Compare this performance to a benchmark and other investments
  • Analyse a performance and attribute it to active management factors
  • Present a performance following the best practices for institutional orders and unit trusts
  • Learn the practical applications of each concept discussed
  • Close attention paid to interpreting results and their uses
  • Operational advice that will help you optimise the quality of your results
  • Performance analysts, reporting, back-and
  • middle-office staff
  • Client relationship managers
  • Fund managers
  • Institutional investors
  • Financial consultants
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