Investment Performance Training Workshops 2016

Transcription

1 HKSFA is pleased to have invited Mr. Carl Bacon, CIPM, Non- Executive Chairman at StatPro, to conduct the Investment Performance Training Workshops (A) ADVANCED ATTRIBUTION (22 nd August 2016, Monday) Course Objective An intensive masterclass for investment professionals and other key players in the investment chain who wish to increase their technical knowledge and gain a detailed understanding of all aspects of performance return attribution. Pre-Requisites Participants will be required to have a basic knowledge of how to use MS Excel spreadsheets. Participants should bring their own laptop with MS Excel loaded. Attendees will be asked to work in teams of two or three on MS Excel based practical exercises. Course Agenda Basic attribution Why measure performance? Definition of attribution Attribution as a management tool Recap of the Brinson Model Date: (A) - 22 nd, Aug (Mon) (B) - 23 rd Aug (Tue) Venue: 14/F, BOC Group Life Assurance Tower, 136 Des Voeux Road Central, Hong Kong Time: Registration - 8:45am Presentation - 9:00am 5:00pm Language: English *Fee per full-day workshop: HKSFA CFA Candidate (2016) & 6.5 CPT / CPD / CE hours each workshop Advanced Attribution Evolution of attribution methodologies Types of attribution Attribution issues Holdings, transaction and returns based attribution Off-benchmark investing Security level attribution

2 Multi-currency attribution Karnosky & Singer Naive Currency Attribution Geometric multi-currency Forward Currency contracts Practical Session multi currency attribution including forward currency contracts Fixed Income attribution Why is Fixed Income attribution so different? Weighted Duration Attribution Campisi framework Yield Curve Decomposition Practical Session weighted duration attribution emphasizing the differences between Fixed Income and equity style (Brinson) attribution Attribution for Derivatives and Alterative Assets Futures, options and swaps Market Neutral 130/30 Funds Multi-level & multi-asset attribution Attribution issues for alternative assets (*Rating: Intermediate) (B) RISK-ADJUSTED PERFORMANCE MEASUREMENT (23 rd August 2016, Tuesday) Course Objective An intensive masterclass for investment professionals and other key players in the investment decision process who wish to increase their technical knowledge and gain a broader understanding of the complete range of risk-adjusted performance measures. Pre-Requisites Participants will be required to have a basic knowledge of how to use MS Excel spreadsheets. Participants should bring their own laptop with MS Excel loaded. Attendees will be asked to work in teams of two or three on MS Excel based practical exercises. Course Agenda Risk Risk types in Asset Management Compliance Risk Operational Risk Liquidity Risk Counterparty Risk Portfolio Risk Guidelines for effective risk control in an asset management firm. What is the ideal control infrastructure?

3 Risk-Adjusted Performance Measurement Ex-post, Ex-ante Common Risk Measures (Absolute, relative & regression measures) - Sharpe - Information Ratio (original & modified) - M 2 - Jensen s alpha, Beta, Co-variance, Correlation and R 2 - Appraisal ratio - Fama Decomposition - GH1 and GH2 - Practical session Performance Evaluation Calculate a range of risk measures for five portfolios and rank in order of preference. Advanced Risk Measures Descriptive Statistics - Skewness - Kurtosis - Excess Kurtosis - Hurst Index - Bias Ratio - Bera-Jacque Test - Adjusted Sharpe Ratio Drawdown - Sterling ratio - Calmar ratio - Burke ratio - Sterling-Calmar ratio - MAR ratio - Pain index - Ulcer index - Pain ratio - Martin ratio Higher & Lower Partial Moments - Downside risk - Sortino ratio - Omega - Upside Potential ratio - Kappa (Sortino-Satchell ratio) - Volatility skewness - Farinelli-Tibiletti Ratio

4 Value at Risk - Historical simulation, Monte Carlo simulation or parametric - Modified VaR - Conditional VaR, Expected Shortfall, Tail loss, Average VaR - Tail risk - Return to VaR - Modified Sharpe Ratio - Conditional Sharpe Ratio - Tall ratio - Upside Potential - Rachev ratio - Tail ratio - Upside Potential - Rachev ratio - Practical Exercise (Calculation of advanced risk measures) A Periodic Table of Risk Measures (*Rating: Intermediate) *Workshop Ratings 1. General - Material presented will be basic and of interest to a general audience having no background in the area. 2. Intermediate - Material presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation. 3. Advanced - Highly focused technical presentations of interest to participants with a high level of technical knowledge in the subject area. 4. Unrated - HKSFA has yet to receive sufficient information to grade the content of these workshops.

5 About the Speaker Mr. Carl Bacon, CIPM Chairman StatPro Carl Bacon, CIPM, joined StatPro Group plc as Chairman in April StatPro is a platform for Portfolio Analytics, Valuation, Reporting and Research for the investment community. 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 a member of the Advisory Board of the Journal of Performance Measurement. A founder member of both the Investment Performance Council and GIPS, Carl is a member of the GIPS Executive Committee, and ex-chair of both the Verification and Interpretation Sub-Committees, and founder of "The Freedom Index Company". Carl is also the author of Practical Portfolio Performance Measurement & Attribution part of the Wiley Finance Series, "Practical Risk-adjusted Performance Measurement", numerous articles and papers and editor of Advanced Portfolio Attribution Analysis. HKSFA is recognized by The Securities and Futures Commission as an institution for providing Continuous Professional Training. Each full-day workshop is qualified for 6.5 CPT hours. As the recognized institution approved under SFC s CPT Program, the 6.5 CPT hours of each full-day workshop are to receive due recognition from the Mandatory Provident Fund Scheme Authority (MPFA) as non-core CPD hours. Each full-day workshop is also qualified for 6.5 Continuing Professional Development (CPD) Hours for Registered Business Valuers (RBV) of Business Valuation Forum (BVF). CFA Candidates may find this workshop useful practice for Candidate Body of Knowledge (CBOK) skills in Fixed Income (VII), Derivatives (VIII), Portfolio Management and Wealth Strategies (X), with light coverage of Quantitative Methods (II). As a participant in the CFA Institute Approved-Provider of Continuing Education Program, the Hong Kong Society has determined that the above event qualifies for credit for the CFA Institute Continuing Education Program. Each full-day workshop is eligible for 6.5 CE credit hours, or 13 CE credit hours per two full-day workshop.

6 Registration: 1. Interested parties are requested to register online at 2. Registration is only confirmed upon receipt of payment. 3. For cheque payment, cheques should be crossed and made payable to HKSFA and posted to 14/F, BOC Group Life Assurance Tower, 136 Des Voeux Road Central, Hong Kong. 4. A place will be reserved for registrant upon successful online registration with notification of registration details. 5. After completing the online registration and payment process, registrants will receive notifications with registration details. A reminder will also be sent before the event begins. If you have not received the notification and reminder from HKSFA, it is the delegate s responsibility to contact HKSFA to confirm their place. Policy for Substitutions, Cancellations and No Show: 1. Registrations should be paid in full before the commencement of the event. Immediate payment is required upon confirmation. Should the registration fee remains outstanding, HKSFA reserves the right to disallow entrance to the event. 2. Full amount will still be charged for no show or enrolment made after Monday, 15 th August 2016, this would include those whose payment mode is by cheque but have not sent in the cheque to complete the payment process. 3. An administration fee HK$50 will be charged for any cancellation of confirmed enrollment made on or before Monday, 15 th August All cancellation requests must be made in writing and be confirmed by from HKSFA. 4. Refund of the event fee (less an administration fee of HK$50 per person) will be given for cancellation received on/before Monday, 15 th August For payment made by credit card, refund will be handled through the bank, please allow 4 to 6 weeks for processing. The amount will be refunded to the paid credit card account. - For registrants whose payment mode is by cheque, even if the cheque has not been sent to HKSFA in full amount, the HK$50 administration fee is also applicable and must be settled by registrants. - For payment made by cash, HKSFA will arrange the refund cheque sending to registrants by mail, the amount will be the event fee less the administration fee HK$ No refund will be given for cancellation received after Monday, 15 th August For registrant whose payment mode is by cheque but have not sent in the cheque to complete the payment process, will still have to settle the event fee in full amount. 6. Substitutions are allowed. Please notify us prior to the event. Non-member rate applies if the substitute is not an HKSFA member. Early-bird rate is non-transferrable. 7. The Society reserves the right to change the venue, date or speaker of the event due to unforeseen circumstances. 8. To be awarded CPT/CPD/CE credit hours, full attendance of all parts of the event is required. No pro-rata credit hours will be awarded. 9. Participants who only register on the event day will have to collect the CPT certificates one week after the event.