INTRODUCTION TO PERFORMANCE MEASUREMENT

AGENDA DAY 1

 

BACKGROUND

• What is performance measurement?
• A brief history of performance

RATES OF RETURN

• Time-weighting vs. Money-weighting
• Internal Rate of Return
• ICAA Method
• Mid-point and Modified Dietz
• Unit Value Method
• "True" Daily Returns
• Geometric linking
• Annualization

BENCHMARKS

• Absolute, market indexes, peer groups and PODs
• Pros and cons

RISK

• What is Risk?
• A review of the common measures, including standard deviation, Sharpe Ratio, Treynor Ratio, Information Ratio, Tracking error and VAR
• Risk monitoring and management

In addition to receiving a student guide that contains the details of the class presentation, each student receives supporting reference material to take back with them including:

• A complimentary copy of Measuring Investment Performance by David Spaulding (McGraw-Hill, 1997)
• Performance Attribution and Risk Measurement Reference Guide, a handy pocket reference.
• Copies of both the AIMR and Global presentation standards.
• and because this is a hands on class, you'll receive a calculator too!

AGENDA DAY 2

Receive 15 CPE Credits for attending this Two-day class

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