Performance Measurement

Course participants will explore the fundamental concepts underlying performance measurement, including a brief introduction to essential statistical concepts.

25-Oct-2010 -- 26-Oct-2010New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Mon Tue Level: Basic

CPE CREDITS
14.0
Plan sponsors, consultants, wealth advisors and money managers.
No advance preparation required.
None.
"Instructor was able to explain complicated concepts."
"Joseph is a great instructor who did a great job of breaking down complicated theories."
"The examples and illustrations were detailed and described the materials precisely."
  • Probability and Statistics for the Finance Professional
    • Statistical concepts: probability distribution
    • Mean
    • Variance and standard deviation
    • Skewness
    • Kurtosis
    • Covariance
    • Correlation

    Statistical concepts: the relationship between a stock market and the market portfolio

    • Market portfolio
    • Characteristic line
    • Beta
    • Residual variance

    Performance measurement: using risk-adjusted returns

    • Sharpe's measure
    • Treynor's measure
    • Jesnen's measure

    Risk-adjusted performance (RAP)

    • Definitions and notation
    • Sigma as a measure of risk
    • RAP as a tool for optimal portfolio selection
    • RAP versus other measures of risk-adjusted performance
    • Application of the RAP measure

    Qualifications of the RAP approach

    • Historical versus future performance
    • Alternative measures of risk
    • Arithmetic versus geometric returns
    • Tracking error and the information ratio

    Determining a fund's effective asset mix

    • Thinking about asset allocation
    • Determining manager styles
    • Determining the effective asset mix
    • All-or-none versus mixed classification
    • Inferring manager style from historic returns
    • Applying the approach
    • Representative manager styles
    • Fund returns

    Returns-based style analysis

    • The theory
    • Using style indexes to build customized benchmarks
    • Testing style benchmarks
    • Style analysis for the total equity fund
    • Return based analysis for international managers

    Style briefs (using Zephyr software)

    • Selecting assets
    • Efficient frontier graph
    • Tracking a benchmark
    • Allocation table
    • Changing forecasts
    • Managers as asset classes
    • Comparing multiple portfolios

    Clients who register for this course will receive a complimentary 3 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscription, call 800-628-8088 or email uscirculation@ft.com. U.S. enrollees only. (All non-U.S. enrollees will receive a subscription to FT.com only.) Lunch included for all students taking day classes.

    Lunch included for all students taking day classes.