Investment Performance Measurement & Attribution
| Course Provider |  |
| Dates Duration | 5-6 October 2010 2 Days |
| Venue | Maldron Hotel, Cardif Lane, Dublin 2 |
| Course Fees | Full Fee: €1200 Network Members Fee: €720 |
The Investment Performance Measurement and Attribution Programme is a professional programme designed to develop the performance evaluation expertise of investment professionals.
The training will be delivered as a 2 day interacitve classroom workshop which is supported by a number of online eLearning modules. The classroom sessions will involve practical briefings, short case studies (bring a calculator) and electronic polling. Before and after the classroom workshop you will also have access to an on-line Intuition tutor to help with any learning questions you may have.
Programme Overview
The aim of the programme is to give you a clear and confident understanding of the key issues in measuring the success of an investment portfolio and it's management.
The programme will cover traitional equity and fixed income asset classes, as well as alternatives like property, commodities, private equity and hedge funds. Topics covered include investment portfolio returns, attribution analysis., risk and performance measures for traditional and hedge fund portfolios, portfolio performance and GIPS standards as outlined below.
Course Content
Portfolio Management Strategies Workshop
- The objectives and constraints of individual investors
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Investor appetite in a post-crisis world
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The Investment Policy Statement, investment decisions, security selection and portfolio construction
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Passive and active portfolio management
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The role of structured notes and EFTs
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Equity and stock index options in portfolio management
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Concepts and techniques of portfolio insurance
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The meaning and importance of correlation
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Calculation and interpretation of several measures of protfolio performance
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Managing risk and return using options in portfolios, including yield enhancement, leveraged investing and hedging
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Using futures for hedging
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Using swaps in portfolio management
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Factors affecting bond yields
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Duration and convexity and managing fixed income portfolios
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Using interest rate futures in bond portfolio manangement
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Investment Timing
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Strategic and tactical asset allocation
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Beta, security market line, the capital asset pricing model
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Treynor measure, the Sharpe measure and Jensen's alpha
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Arbitrage and empirical multifactor models
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Return-based style analysis models and portfolio-based style analysis
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Portfolio monitoring, rebalancing and realignment
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Rebalancing portfolios and tracking error
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The process of rebalancing portfolios
Supporting eLearning Tutorials
Portfolio Theory
- Market Efficiency - The Concept
- Market Efficienct - The Evidence
- Portfolio Theory - The Markowitz Model
- Portfolio Theory - The Capital |Asset Pricing Model (CAPM)
- Portfolio Theory - Arbitrage Pricing Theory (APT)
- Portfolio Theory - Perofmance Measuremetn Modeils
- Portfolio Management - Passive & Active Strategies
Asset Allocation
- Asset Allocation - An Introduction
- Asset Classes (Part I)
- Asset Calasses (Part II)
- Strategic Asset Allication
- Tactical Asset Allocation
- Deriving the Optimal Portfolio
The online tutorials are available to support your learning both before and for a period of 3 months after the workshop.
The Instructor led workshop will recap and apply practical knowlegde to concepts that have been studied.
At each stage of the programme and Intuition tutor will be available via email and telephone to support you through your study.
Who Should Attend?
The programme is suitable for thises working within the funds industry at all levels, from managers to to new participantsin the business, including those dealing institutional investors, client facing staff, financial consultants or those reporting back and middle office staff.
ON COMPLETION OF THIS PROGRAMME YOU WILL BE ABLE TO:
- Understand the difference between passive and active portfolio management
- Understand portfolio insurance techniques and amanage risk and return using options and swaps in portfolios, including yield enhancement, leveraged investing and hedging
- The meaning and importance of correlation
- Be able to calculate and interpret several measures of portfolio performance
- Understand the process of monitoring and rebalancing portfolios