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Fundamentals of Performance Measurement
This course will provide all attendees with a core grounding in the tools and techniques used to calculate investment performance. Students will be taken through practical examples and given ample opportunity to form specific questions. The class is conducted over two full days. Students will walk away with a working knowledge of the concepts that define performance measurement.
2011-2012 Training Calendar
LOCATION DATES VENUE
Los Angeles, CA February 21-22, 2012 L.A. Downtown Marriott
Boston, MA March 13-14, 2012 - TBA -
Toronto, Ontario April 17-18, 2012 - TBA -
New Brunswick, NJ May 21-22, 2012 The Heldrich Hotel
San Francisco, CA July 10-11, 2012 - TBA -
Boston, MA September 18-19, 2012 - TBA -
Chicago, IL October 23-24, 2012 - TBA -
New Brunswick, NJ December 11-12, 2012 The Heldrich Hotel
CLICK HERE TO PURCHASE TRAINING
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
AGENDA DAY 2
ATTRIBUTION
• The Three Laws of Attribution.
• A review of the models Brinson Hood Beebower and Brinson-Fachler.
• Currency attribution.
• Arithmetic vs. Geometric.
• Multi-period Attribution.
• Fixed Income Attribution.
PERFORMANCE PRESENTATION STANDARDS
• Detailed review of the Global Investment Performance (GIPS®) Standards.
• Composite construction.
• Calculations.
• Discretion.
• Points of confusion.
THE PERFORMANCE MEASUREMENT PROFESSIONAL/ THE PERFORMANCE
MEASUREMENT ORGANIZATION
• Staff / Organization characteristics / trends
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 The Handbook of Investment Performance by David Spaulding (TSG Publishing, 2005)
- 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!
Upon completion of this course you will earn
15 CPE Credits and/ or 12 PD Credits
The Spaulding Group, Inc. is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for 12 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.
Course Content:
This two-day course builds upon David Spaulding's popular book Measuring Investment Performance, (out-of-print) published by McGraw-Hill. (Students receive a complimentary copy of David's most recent book: The Handbook of Investment Performance).
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