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					The Fundamentals of
Performance Measurement and Attribution
Monday 18th, Tuesday 19th & Wednesday 20th February 2008, Central London

A unique 3 day course designed to give a thorough understanding of the fundamentals
of performance measurement, ranging from basic return calculation, risk-adjusted
performance measurement, achieving GIPS® compliance to advanced multi-currency,
multi-period attribution techniques.

Key course objectives:
   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
   Understand the differences and difficulties of Fixed Income Attribution
   Learn the status and application of the different international performance measurement standards
The subject matter will be learned through class lectures, interactive discussion, practical examples and team
exercises.


Who should attend?
The programme is designed for staff in performance measurement teams, investment/portfolio managers,
equity and fixed income analysts, risk controllers, compliance staff, marketing managers, IT managers, fund
managers, portfolio managers and trustees and administrators, who would benefit from a good understanding
of performance measurement, risk and attribution.


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 practical sessions. It
is often within these practical sessions that the most useful information is re-enforced: 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 of Key Lime Events is that people
learn better when they are not bored!).
Course cost
The cost of the 3 day course is only £1495 + VAT per delegate (approximately €1,980 or €2320 including
VAT) or. Book before 10 February and receive a free copy of Carl Bacon’s excellent new book “Practical
Portfolio Performance Measurement and Attribution”


What you will learn
By the end of the course participants will be able to:
    1. Calculate performance returns
    2. Understand the difference between money and time-weighted returns and when one or the other might
        be appropriate
    3. Determine how large cashflows impact on performance returns
    4. Assess and calculate customised benchmarks
    5. Analyse what the attributes of a good benchmark are
    6. Comprehend the basics of performance attribution
    7. Interpret an attribution report
    8. Work out basic risk-adjusted returns
    9. Identify the different risk types in asset management
    10. Evaluate portfolios using risk measures
    11. Have a good working knowledge Know the benefits of the GIPS® and AIMR standards
    12. Understand the benefits and purpose of verification

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 u-shaped 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.


                                                                                  Certificate of Completion
Key Lime Philosophy
To provide the very best financial markets training courses and events by         Each person who
sticking to a simple formula:                                                     completes the
1) the course presenters should be the best available                             course will receive a
2) the content of the events should be topical, necessary and complete            certificate, signed
                                                                                  by the course
3) the events should be interactive: if there are no questions asked, people      presenter.
   are not learning
4) the events should be fun - people do not learn in a stale environment
Course Agenda
Day 1


Introduction and overview
       Understanding what Performance Measurement is and why it is important
       The Performance Measurement process
       An overview of the basic calculations
       How currency affects the calculations
       The difference between time weighted and money weighted returns

        Practical exercise: Return calculations for an Emerging Markets portfolio



Why Benchmarks are used and their importance
       The attributes of good Benchmarks
       The benefits and drawbacks of Peer Groups, Indexes and Random Portfolios?
       How to do Index Calculations

        Practical exercise: Customised Benchmark Calculations

       Excess Returns - Geometric or arithmetic?
       A guide to Performance Fees


An Introduction to Performance Attribution
       Attribution as a management tool
       The Brinson Model
       Geometric Attribution

        Practical exercise: Be a portfolio manager for a year attribution exercise



Day 2

Comprehending Performance Standards
       Background to performance standards
       “The Devil is in the Detail”
       Why have performance standards?
       How performance standards are verified
      Future Governance


       Practical exercise:       a)       Definition of Firm
                                 b)       Definition of Discretion
                                 c)       Composite allocation




Measuring Portfolio Risk
      The different risk types in asset management
      Currently used Risk Controls
      The difference types of risk: Ex-post, Ex-ante Risk
      Absolute, relative and regression risk measures
      Understanding the Sharpe ratio
      The Information Ratio
      M2 and its importance
      The different Regression Statistics
               - Jensen’s alpha
               - Beta
               - Covariance
               - Correlation
               - R2
      Fama decomposition
      GH1 & GH2

       Practical Exercise: Portfolio Evaluation



Risk-adjusted performance Measurement for hedge fund and hedge-type funds
      Skewness & Kurtosis
      Bera- Jacque Test
      Downside risk
               - Sortino ratio
               - Upside Potential ratio
               - VaR
               - Omega

       Practical Exercise: Detailed risk calculations from raw data

      Adjusted Sharpe Ratio
       Modified Sharpe Ratio
       Prospect Ratio
       Drawdown
                - Sterling ratio
                - Calmar ratio
                - Burke ratio
                - Sterling-Calmar ratio
                - Pain index
                - Ulcer index
                - Pain ratio
                - Marin ratio

        Practical Exercise: Risk-adjusted performance measurement for Hedge Funds

       Omega Excess Return
       Hurst Index
       Effective Risk Control actions
       Risk infrastructure




Day 3

Further Attribution
       Multi-currency attribution
           i.   Ankrim and Hensel
          ii.   Karnosky & Singer
         iii.   Bacon
       Practical Exercise (Multi-currency geometric attribution exercise)
       Attribution issues
       The evolution of attribution methodologies
       Security level attribution
       Multi-level Attribution
       Smoothing algorithms
           i.   Carino
          ii.   Menchero
         iii.   GRAP
         iv.    Frongello
        Practical exercise : Team discussion which is the best method using previous exercise data



Fixed Income Attribution
       Campesi Framework
       Weighted Duration (Van Breukelen) Attribution
       Yield curve decomposition

        Practical Exercise: Weighted Duration Attribution



Derivatives in Performance Measurement
       Forwards
       Futures
       Swaps
       Options


Alternative Attribution
       Market Neutral
       130/30 Funds
       Leverage
       Futures



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 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, and editor of “Advanced Portfolio Attribution Analysis”
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Description: Foundation course in