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					Introduction to

Performance Measurement and Attribution
Thursday 19th and Friday 20th February 2009, Central London
About the course
This course is designed to give a thorough understanding of the fundamentals of performance measurement and the ability to calculate both a return and absolute attribution. In particular, delegates will:  Understand the concepts of performance measurement  Learn the different ways to derive returns (and why the results can vary)  Comprehend how cashflows affect the returns  Analyse the principles of benchmarking  Ascertain why risk measurement and management are important and what the measures mean  Discern the role of attribution, the challenges in getting it right, and how it should be used  Learn the status and application of the different international performance measurement standards

Who should attend?
The programme is designed for staff in performance measurement teams, investment managers, equity and fixed income analysts, marketing managers, IT managers, fund managers, portfolio managers and trustees and administrators.

The learning process
The course will be taught through a mixture of presentation, discussion and team quizzes. To facilitate this, delegates will be seated round-table style and will be encouraged to work together in the quiz sections. It is often within the quiz sessions that the most useful information is re-enforced: practical application of what has been learned is often the best way of remembering. Delegates will work in small teams on specifically designed examples to help illustrate the points made in presentations and discussion. You will be encouraged to raise specific issues relevant to your company and share experiences with fellow delegates.

Course format
The course will be run in an interactive fashion. Delegates will be expected to ask and answer questions (it is one of Key Lime's core philosophies that if people are not asking questions they are not learning), participate in the round-table quizzes and enjoy the course (another core philosophy is that people learn better when they are not bored!).

Course cost
The cost of the 2 day course is only £1095 + VAT per delegate (approximately €1170 or $1590 plus VAT). Book before 1 February and receive a free copy of Carl Bacon’s excellent new book “Practical Portfolio Performance Measurement and Attribution” at the start of the course.

The learning process
Sitting in rows listening to someone at the front talk all day is not the most interesting way of learning (remember school?). Rather the course will be taught through a mixture of presentation, discussion and team quizzes. To facilitate this, delegates will be seated in a ushaped style and will be encouraged to work together in the quiz sections. It is often within the quiz sessions that the most useful information is re-enforced: practical application of what has been learned is often the best way of remembering.

Key Lime Philosophy To provide the very best financial markets training courses and events by sticking to a simple formula: 1) the course presenters should be the best available 2) the content of the events should be topical, necessary and complete 3) the events should be interactive: if there are no questions asked, people are not learning 4) the events should be fun - people do not learn in a stale environment

Certificate of Completion Each person who completes the course will receive a certificate, signed by the course presenter.

Course Programme
A working definition of performance measurement  Why have performance measurement - the need for monitoring  What needs to be monitored - the investment process and the return of the manager/management team  Data necessary for the measurement process: fund valuation, movements in cash, settlement dates etc. How the information is used and who uses it  Calculating fund value, monitoring investment processes and measuring value added  How investment managers use the information to aid investment decisions  How the performance measurement analysts fit in the organisation An overview of the different return methodologies  The Internal Rate of Return (IRR)  The daily time weighted return (TWR) and an outline of how it is calculated  Pros and cons of TWR  Money (or dollar) weighted returns: Simple Deitz and Modified Dietz  Net Asset Value and Cashflow return Why the Internal Rate of Return (IRR) is used  The limitations of IRR (timings)  Catching distortion in movements and returns  The calculation methods  How to interpret the IRR

Calculating a return using Simple Dietz, Modified Dietz and True Time Weighted Return Methodology In this session delegates will work through the examples on a spreadsheet, before going on to do the calculations themselves, thus cementing the theory and the practice  The data required - Market value at start and end of periods - Transaction (sales and purchase) details and timings - Income details  The calculations - Net investment - Time weighted purchases and sales - Time weighted net investment - Capital gains (losses) - Mean fund - Total return  The importance of these figures and how they are used Incorporating currency returns into the calculation  How base currency returns are incorporated into the above  Local currency returns - The 'constituent weight' and how it is calculated - The 'constituent local return' and how it is calculated - The local currency contribution  Calculating the mean fund for a particular region/group of countries  Calculating the total mean fund Money Weighted Return (MWR)  What MWR is used for  Data necessary for MWR  How to calculate transactions  How time affects return Understanding benchmarks  What is a benchmark  Why and when benchmarks are used for asset allocation strategy  Using benchmarks to measure an managers added value  The different attributes necessary for benchmarks  The indexes used: FTSE, S&P, MSCI, JP Morgan etc.  Finding a peer group  Advantages and disadvantages of peer groups  Evaluating benchmarks  Weighting methods  Fixed or dynamised benchmarks  The basic calculations of benchmarks  The pros and cons of the different calculation methodologies - Fixed weight - Market capitalisation - GDP weighted - Composite (nested)  How time differences affect benchmarks  Interpreting the returns from the benchmarking

Calculating benchmarks - a practical guide Again, in this session delegates will work through the examples on a spreadsheet, before going on to do the calculations themselves  The data needed to calculate a benchmark return  Calculating a benchmark return using market capitalisation - The constituent index return - The constituent weights - Calculating the contribution of each constituent to the total - The total benchmark return  Aggregating the benchmark returns Excess returns  Arithmetic vs geometric  Calculating compound excess returns  Convertible excess returns Performance fees – good or bad  The arguments for and against performance fees  Performance fee structures: symmetrical and asymmetrical  When asymmetrical performance fees are used  The advantages of symmetrical performance fees  Alternative performance fee structures Performance attribution  What is attribution and why it is used  How attribution is expressed  The different performance attribution methodologies, their strengths and weaknesses and main features - Karnosky Singer - WM/Callan - Brinson  Customising the attribution calculations  Geometric performance attribution Calculating attribution In this session delegates will again work through the examples on a spreadsheet, before going on to do the calculations themselves  The data required and how to use it  How to calculate the currency movement  Calculating the currency contribution  The category currency adjusted weight (using mean funds)  The contribution to return from market weightings  Determining the stock selection contribution  Using this information to calculate the relative return of the local portfolio and the contribution to return from stock selection

Overview and Evolution of Global Investment Performance Standards (GIPS)  Why standards are needed  Misleading advertising  GIPS as ethical standards  Why asset managers should use GIPS  The reasons clients demand GIPS  The continued evolution of GIPS Claiming compliance with GIPS  Claiming compliance with GIPS  Defining the firm and determining total firm assets  Implications from claiming compliance  CFA Institute oversight  Regulatory and client risk  Actual and discretionary portfolios Exercise: determining which circumstances are discretionary or non discretionary Composite criteria  Broad or narrow definitions  The timing of the inclusion  Changed portfolios  Composite maintenance  Composite minimums  Pooled funds  Carve outs Exercise: determining which strategies should be allocated to a firm’s Global Equity Composite  Significant cashflows  Composite redefinitions Portfolio Level Return  Portfolio level returns  Time weighted returns  Returns net of fees  Composite level return  Market  Changed portfolios  Composite maintenance  Composite minimums  Pooled funds  Carve outs Exercise: determining which strategies should be allocated to a firm’s Global Equity Composite  Significant cashflows  Composite redefinitions  Required disclosures for all presentations The verification process  Who performs verifications?  Verification test  Verification output

Risk types and risk management  Compliance Risk  Operational Risk  Counterparty Risk  Portfolio Risk Measuring portfolio risk  Risk measures ex-post and ex-anti  Simple risk measures  Variability  Standard deviation  Portfolio risk and returns  Sharpe ratio explained  Risk adjusted returns Guiding principles for efficient risk control  Senior Management awareness  Assertive attitude  Integration  Confidence in data  Lines of defence  Risk control actions  Risk management Practical risk management exercise Further Attribution  Evolution of Attribution  Attribution Issues  Multi-currency attribution

COURSE DIRECTOR:
Carl Bacon joined StatPro Group plc as Chairman in April 2000. StatPro develops and markets specialist middle office reporting software to the asset management industry. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues. Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management. Carl holds a B.Sc. Hons. in Mathematics from Manchester University and is an executive committee member of Investment-Performance.com. A founder member of both the Investment Performance Council and GIPS®, Carl is ex-chair of the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement. Carl is also the author of “Practical Portfolio Performance Measurement & Attribution” part of the Wiley Finance Series.

Booking form

Introduction to Performance Measurement and Attribution
Thursday 19 and Friday 20 February 2009, Central London
Company Delegate Name 1 Position Email Delegate Name 2 Position Email Delegate Name 3 Position Email Delegate Name 4 Position Email Please select payment method: Cheque  Bank Transfer  Bank transfer details: Key Lime Training, HSBC, 85 Chalk Hill, Oxhey, Watford, Herts WD1 4BP Account Number 51383329 Branch Sort Code 40 15 23 Authorised by: Position Email Address: Post Code: Telephone: Fax: Signature:
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Terms and conditions
Confirmation and Payment A confirmation letter and an invoice will be issued upon receipt of booking. Payments should be made by cheque payable to Key Lime Events. Cancellations Must be received in writing 10 working days before the event and will be subject to an administrative charge of 30%. It is regretted that no refunds will be made for invoices cancelled after this time and the full registration fee will be payable. A substitute delegate can be made at any time in which case no cancellation charges will apply. Data Protection Data is collected in accordance with the Data Protection Act. If you do not want your details passed on, please tick the box 


				
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