Investment Performance Measurement and Analysis

LEVEL: INTERMEDIATE LEVEL

▪	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

▪	Calculating performance - Intermediate
▪	Performance attribution - Intermediate
▪	Performance presentation - Intermediate
▪	Interpreting a performance - Intermediate

▪	Thorough presentation of an essential skill
▪	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

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.