This comprehensive course will take you through all the major aspects of Performance Measurement. We will go through the pitfalls of calculating return and constructing a benchmark. Risk adjusted performance measures such as Sharpe, Jensen and Treynor will be defined, and pros and cons will be looked closer at through a workshop. Relative performance measures will be analysed and you will learn the methodology behind breaking down portfolio return and how derivatives influence performance measurement. Finally, we will present in detail the road for an organisation to be GIPS compliant.
– Problems with Performance Measurement
– Return Calculation in Practice
– Implementing Risk Adjusted Measures
– Sharpe, Jensen and Treynor
– Attribution Analysis
– Derivatives and Return Measurement
– Implementing GIPS
The course is relevant to
– Portfolio Managers
– Account Managers
– Risk Managers
– Financial Consultants
– People involved in the GIPS compliance process
– Middle Office Employees
A general knowledge of portfolio management will be beneficial.