When:

August 10-14, 2020 (New Brunswick, NJ)

Attendees will experience a full week of intensive, real-world training designed to saturate new hires and staff with the tools of the performance profession, to help prepare them to handle numerous situations they will be sure to encounter. Class is extremely limited to allow for maximum interaction and attention to personalized training needs.

Agenda:

Monday (Investment Basics)

Investment Basics

• An introduction to the role of investment management
  • Active vs passive
  • Absolute return
  • Style management (growth, etc.)
  • SRI / Ethical / Goals Based
• An overview of the different types of securities
  • Stocks / Bonds / Alternatives / Derivatives / Mutual funds
• The Markets
  • Exchanges
  • Over the counter
• Users of performance within an investment firm
• Other participants and users of performance and the information they require
• How trading is done ("how the trade is made")
• The roles of the key players
  • Custodians
  • Plan sponsors
  • Consultants
  • Brokers
  • Prime brokers
• Domestic vs. Global Trading
  • Futures (the role of)
  • Hedging
• Compliance Basics

Monday Night: An informal welcome reception at the conclusion of class; we will host dinner at a local restaurant.

Tuesday

Performance Measurement - Rates of Return

• Background
  • What is performance measurement?
  • A brief history of performance measurement
• Money-weighted returns (MWR)
  • Calculating the IRR
  • The role of money-weighting
  • Why money-weighting isn’t always appropriate for judging the manager
• Time-weighted returns (TWR)
  • Estimated time-weighted return using Original Dietz, Modified Dietz, Modified IRR
  • True time-weighted return using Daily Valuation Method, Unit Value Method
  • Sub-portfolio returns
  • Returns with and without accruals
• Gross vs. net-of-fee returns
• Contrasting time- and money-weighting: when each should be used
• Multi-period performance measurement
  • Geometric linking (chain-linking) and annualization
• Modified Dietz as TWR and as MWR

Tuesday Night: Students are on their own to explore New Brunswick and the surrounding area.

Wednesday

Rates of Return - what do you recall?

Benchmarks

• Types (absolute, market indexes, peer groups, custom)
• Desirable traits of benchmarks
• Pros / Cons of different benchmarks
• Index construction of indexes

Attribution

• Contribution (Absolute Attribution)
• Equity Attribution
  • Brinson-Hood-Beebower
  • Brinson-Fachler
• Fixed Income Attribution
• Global Attribution
  • Naïve currency attribution
  • Karnosky-Singer
• Geometric vs. Arithmetic Attribution
• Holdings vs. Transaction-based Attribution
• Multi-period attribution
  • Cariño smoothing
  • Menchero smoothing
  • GRAP smoothing
  • Geometric linking
• Attribution guidelines

Wednesday Night: TBA

Thursday

Risk Measurement

• A review of risk measures
  • Standard Deviation
  • Downside Risk
  • Tracking Error
  • Beta
  • R-squared
• A review of risk-adjusted measures
  • Jensen’s alpha
  • Sharpe Ratio
  • Information Ratio
  • Treynor Ratio
  • M-squared
• Risk Management and Monitoring

GIPS

• History / Introduction of the standards
  • Why we have the standards
  • A review of the key milestones in the standards
  • GIPS organization (Executive Committee, etc.)
• Fundamentals of compliance
  • Steps to compliance
  • Firm Definition
• Composites
• Composite Calculations
  • Returns
  • Deviation

Thursday Night: Prize night - Performance Jeopardy! And Pizza Night!

Friday

GIPS (continued)

• Presentation Materials (presentations, disclosures, supplemental information)
• Advertising Standards
• Other Asset Classes
  • Private Equity
  • Real Estate
  • Wrap Fee / SMA
• After-tax
• Verification
• Guidance Statements
• The Performance Measurement Professional and the CIPM Program

Students will be given lots of materials, including:

• A handbook with all the PowerPoint slides
• Formula Reference Guide
• The Handbook of Investment Performance, by David Spaulding
• Readings in Fixed Income Attribution, edited by Stephen Campisi, CFA and David Spaulding, CIPM
• A digital life-time subscription to The Journal of Performance Measurement
• GIPS Standards
• A calculator.