Performance Attribution
Start date |
End date |
| February 10, 2012 | February 10, 2012 |
Time
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Seminar Description
An intense full-day workshop dedicated to Performance
Attribution, which aims at providing an overview over available techniques as
well as news from the research frontier. Quantitative techniques will be
illustrated with worked Excel examples. While quantitative in nature, the focus
will be on underlying qualitative concepts (“what”, “why”) and providing
guidance with qualitative arguments to assess that various techniques
available.
Target Audience
Investment managers, research analysts, performance analysts,
risk managers and institutional investors. Basic knowledge of qualitative and
quantitative concepts in financial modeling is recommended.
What Makes This Event Different
The event is neither a conference nor an solutions exhibition.
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
- Overview available methodologies: the evolution from Brinson to hybrid
models- Selected asset class - specific issues (e.g. fixed income, currency,
alternative asset classes)- Selected asset - specific issues (e.g. derivatives)
- Tricks and traps in practical attribution analysis: compounding effects, to
model the investment process (or not to), strategic/tactical/implementation
layers- Performance attribution reporting: internal versus external clients
- Alternative approaches: style analysis, decompositions based on factor
models, random portfolios- Reintroducing risk: risk decomposition, risk-adjusted performance
attributionSpecial Features
- Binder with slides discussed, including a CD-ROM with MS Excel illustrations
- 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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