Performance Measurement

Course description

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.

Course content

– 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
– IT-developers
– People involved in the GIPS compliance process
– Middle Office Employees

Prerequisites

A general knowledge of portfolio management will be beneficial.

Dates

15 Jun 2021 - 16 Jun 2021

Instructor on this course

Jørgen Just Andresen

Jørgen Just Andresen

Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.

He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.

Jørgen is also an external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planing) in 2016.

He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.

He holds an M.Sc. (international finance) and an HD (accounting).

Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income

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