Performance Measurement and Attribution

Start Dates: TBC

Duration: 1 Day

Full Fee: €500

Network Members Fee: €250

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Programme overview

This interactive two day programme is designed to offer an insight into the decision making processes undertaken daily by today’s Asset Managers. Theory will be at a minimum; the emphasis will be on the practical. It will incorporate an overview of the traditional & Alternative Investable Asset Classes, how to combine them into an appropriate Portfolio & also how to measure its Performance & inherent Risk.

Please contact info@ifsskillnet.ie for more information on course dates.

Learning outcomes:

  • Understand the objectives and constraints of individual investors and how they influence the Investment Policy Statement,  investment decisions, security selection and portfolio construction
  • How derivatives can be used for hedging
  • Understand the factors affecting equity and bond pricing
  • Understand key measures of portfolio Beta, CAPM, Treynor measure, the Sharpe measure, and Jensen’s alpha
  • Understand how and why to rebalancing portfolios

Who is the course for?

  • Regulators with responsibility for Asset Managers
  • Junior Fund Managers/new joiners
  • Asset Management Back and Middle office professionals (Compliance, Legal, Marketing)
  • Wealth Managers and Private Bankers
  • Independent Financial Advisors

Course Content:

Online Pre-work

  • Risk & Return – An Introduction
  • Risk & Return – Portfolios
  • Risk & Return – Efficient & Optimal Portfolios
  • Capital Asset Pricing Model (CAPM)
  • Factor-Based Investing – Primer
  • Efficient Markets
  • Portfolio Theory – Performance Measurement Models
  • Portfolio Management – Passive & Active Strategies

 

Workshop outline

  • The objectives and constraints of individual investors
  • The Investment Policy Statement, investment decisions, security selection and portfolio construction
  • Passive and active portfolio management
  • Equity and stock index options in portfolio management
  • Concepts and techniques of portfolio insurance
  • Calculation and interpretation of several measures of portfolio performance
  • Managing risk and return using options in equity portfolios, including strategies for income generation, put-call parity, and delta hedging
  • Using futures for hedging
  • Using swaps in equity portfolio management
  • Tax considerations of options and futures
  • Factors affecting bond yields
  • Duration and convexity, and managing fixed-income portfolios
  • Using interest rate futures in bond portfolio management
  • Investment Timing
  • Beta, security market line, the capital asset pricing model
  • Treynor measure, the Sharpe measure, and Jensen’s alpha
  • Arbitrage and empirical multifactor models
  • Returns-based style analysis models and portfolio-based style analysis
  • Portfolio monitoring, rebalancing, and Realignment
  • Rebalancing portfolios & Tracking error
  • Factors which cause portfolios to require rebalancing
  • The process of rebalancing portfolios
  • Circumstances which signal the need to rebalance
  • Summary and Close

Trainer Profile

Please contact info@ifsskillnet.ie for further information on training providers.