Risk-Adjusted Performance
Start date |
End date |
| February 3, 2012 | February 3, 2012 |
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Seminar Description
This workshop will provide participants with an overview of the
latest risk-adjusted performance measures like the Rachev or Farinelli-Tibiletti
Ratios or Omega, how they relate to traditional measures such as the Sharpe
Ratio, how they can be calculated in MS Excel and how they can be used in ex
post portfolio analysis and ex ante portfolio construction. The focus is on
concepts and practical applications and not mathematical proofs.
Click here for a sample analysis discussed in the seminar
Target Audience
Investment Managers, Research Analysts, Risk Managers and
Institutional Investors interested in the latest research in risk and return
analysis. Previous knowledge of qualitative and quantitative concepts in
financial modeling is recommended.
What Makes This Event Different
As the number of participants is limited to 10 the seminar will
be conducted in personal atmosphere, allowing interaction with the speaker and
one another. Participants can submit data sets or specific questions four weeks
before the workshop and if suitable, some of these “real world” inputs will be
used as illustrations, examples or case studies during the presentation.
Key Topics
- Traditional Risk-Adjusted Performance Measures
- Traditional RAPM: Sharpe, Treynor, Jensen, Information Ratio
- Implementation issues: calculation of mean return, volatility, dealing with
negative values - Simple extensions: M2, M3, Appraisal Ratio
- Relationship between the classical measures, the impact of leverage, Sharpe
Ratio attribution, the role of the riskfree asset
- Alternative Risk-Adjusted Performance Measures
- Alternative risk and return concepts: LPM/UPM, drawdown, quantile
risk
measures (VaR, conditional value-at-risk), stochastic dominance /
economic
risk index - Various RAPM: Conditional Sharpe Ratio, Omega & its relatives,
Sortino,
Burke, Rachev
- Alternative risk and return concepts: LPM/UPM, drawdown, quantile
- Practical Applications
- MS Excel: Custom functions in VBA, matrix formulas, time series
data
management - Dynamic analysis: Rolling statistics, EWMA, Weighted Least Squares
- Evaluation and presentation of ranking
- Bootstrapping, Autocorrelation, Contributions: Decomposition of Sharpe
Ratio. - Trade Profiles, RAPM-based portfolio construction
- Avoiding pitfalls and known limitations
- MS Excel: Custom functions in VBA, matrix formulas, time series
Special Features
- Binder with slides discussed, including a CD-ROM with MS Excel illustrations
and a fully functional Excel custom function library with limited access to
source code - Case studies and data submitted prior to the workshop will be used as
examples - Post-workshop access to online discussion groups
- Personal atmosphere due to maximum of 10 participants
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