• 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