This course provides participants with comprehensive and detailed methods used in investment performance and risk analysis. Particular emphasis is placed on being able to handle the risk and return dimensions in an integrated manner using the latest quantitative concepts to handle non-normal and non-linear tail risks. The program finally focuses on applications like performance appraisal, risk management and operating a performance measurement function in an organization.
Program Description
In this intensive and highly practical 3-day training course, participants will learn the best practice techniques to
- Calculate time-weighted and money-weighted returns
- Perform security-level calculations
- Handle tricky asset like derivatives, private equity and short positions
- Understand the role of a performance measurement function in the investment process
- Analyse traditional and alternative investment portfolios with Brinson-style attribution methodologies
- Attribute currency effects for international portfolios, portfolios with currency overlay managers and strategic currency hedging
- Turn your attribution models into hybrid models by integrating results from factor models
- Learn about the latest risk indicators capturing tail risk, non-normal risks, tail risk and non-linear dependence
- Build and operate an internal performance measurement and control function
Target Audience
Investment analysts, asset managers and traders, mid-office personnel, system developers, risk managers, reporting specialists, institutional investors
