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*For virtual courses ran through our Asia office, VAT may be applicable to HK and Singapore residents only. Find out more by contacting learning@euromoney.com

 

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Essentials of Portfolio Performance Measurement & Attribution

Get ahead with market driven insights for performance measurement
  • A 3-day practical course, delivered remotely over 6 two-hour sessions, designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, benchmark construction, basic attribution analysis, advanced attribution for derivative instruments, alternative strategies, fixed income and multi-currency, to risk-adjusted performance measures.

    Through remote lectures, interactive discussion, practical exercises, you will be able to:

    • Understand the concepts of performance measurement
    • Learn the different ways to derive returns (and why the results can vary)
    • Comprehend how cash flows affect the returns
    • Analyse the principles of benchmarking
    • Ascertain why risk measurement and control are important and what the measures mean
    • Discern the role of attribution, the challenges in getting it right, and how it should be used
    • Understand the impact and uses of derivative instruments
    • Appreciate the differences and difficulties of Fixed Income Attribution

     

    Who should attend this course?
    • Pension fund trustees
    • Portfolio managers
    • Senior management
    • Performance measurers
    • Risk controllers
    • Compliance staff
    • Sales and marketing staff and operations staff

     

     

  • This course will be delivered using video conferencing technology.

    Please contact learning@euromoney.com for more information

    Each day will comprise of two distinct sessions, starting at 9am GST (Gulf Standard Time) 
     
    Introduction and returns
    • What is performance measurement?
    • The performance measurement process
    • Basic Calculations
    • Currency effect
    • Time Weighted or Money weighted?
    • Timing of cash flow
    • The evolution of return methodologies
    •  Practical exercise (Return calculations for an Emerging Markets portfolio)

    Benchmarks, performance fees and standards
    • Benchmarks
    • Attributes of good benchmarks
    • Peer Groups, Indexes, Random Portfolios, Target Returns or ETFs?
    • Index construction
    • Customised Indexes
    • Excess Returns - Geometric or arithmetic?
    • Performance Fees
    • Standards
    • Background to GIPS
    • Why do it?
    • 2020 update

    Basic Attribution
    • Basic Attribution
    • Attribution as a management tool
    • The Brinson Mode
      - Brinson, Hood & Beebowe
      - Brinson & Fachler
      - Interaction

    Geometric Attribution

    Practical exercise (Be a portfolio manager for a year attribution exercise)
    • Attribution issues
      - The evolution of attribution methodologies
      - Security level attribution
      - Transactions, holding and returns based attribution
      - Extremely large cash flows
      - Abnormal returns
      - Sector weights

    Further Attribution

    • Multi-currency attribution
      - Karnosky & Singer
      - Bacon
    • Fixed Income Attribution
    • Duration
      - Macaulay
      - Macaulay-Weil
      - Modified
      - Effective
      - Convexity
    • Methodologies
      - Weighted Duration (Van Breukelen) Attribution
      - Campisi Framework
      - Yield curve decomposition

    Practical Exercise (Weighted Duration attribution)
    • Derivatives
      - Forwards
      - Futures
      - Swaps
      - Options
      - “The Greeks”
    • Alternative Attribution
      - Market Neutral
      - 130/30 Funds
      - Leverage
      - Futures
    • Multi-asset Attribution

    Simple Risk-adjusted Performance Measurement
    • Measuring Portfolio Risk
    • Risk types in asset management
    • Risk Control
    • Simple risk Measures
      - Ex-post, Ex-ante
      - Mean absolute deviation
      - Variance, standard deviation & tracking error
      - Annualised risk
      - Bessel’s correction
      - Sharpe ratio
      - Information Ratio
    • Regression Statistics
      - Jensen’s alpha
      - Beta
      - Covariance
      - Correlation
      - R2
      - Fama decomposition
      - Fama-French 3 factor model
    • Risk-adjusted Return
      - M2 & adjusted M2
      - GH1 & GH2

    Practical Exercise (Portfolio Evaluation)

    Advanced Risk Measures
    • Return Distributions
    • Skewness & Kurtosis
    • Bera- Jacque Test
    • Hurst Index
    • Bias Ratio
    • K ratio
    • Adjusted Sharpe Ratio

    Drawdown
    • Sterling ratio
    • Calmar ratio
    • Burke ratio
    • Sterling-Calmar ratio
    • MAR ratio
    • Pain index
    • Ulcer index
    • Pain ratio
    • Martin ratio

    Higher & Lower Partial Moments
    • Downside risk
    • Sortino ratio
    • Omega
    • Upside Potential ratio
    • Kappa (Sortino-Satchell ratio)
    • Volatility skewness
    • Farinelli-Tibiletti Ratio

    Value at Risk
    • Historical simulation, Monte Carlo simulation or parametric
    • Modified VaR
    • Conditional VaR, Expected Shortfall, Tail loss
    • Tail risk
    • Return to VaR
    • Modified Sharpe Ratio
    • Conditional Sharpe Ratio
    • Tail ratio
    • Potential Upside
    • Rachev ratio

    A Periodic Table of Risk measures

    Conclusion

    The Four Dimensions of Performance
     
    Concluding remarks


  • Our Tailored Learning Offering

    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
    • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
This course can be run as an In-house or Tailored Learning programme

Instructor

  • Carl Bacon

    Biography

    The Course Director joined StatPro Group plc as Chairman in April 2000. StatPro provides sophisticated data and software solutions to the asset management industry. He also runs his own consultancy business providing advice to asset managers on risk and performance measurement.Prior to that, he was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.A founder member of both the Investment Performance Council and GIPS®, he is ex-Chair of the GIPS Executive Committee, ex-Chair of both the Verification and Interpretation sub-Committees. He is a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement. He is also the founder of “The Freedom Index Company”.He is also the author of “Practical Portfolio Performance Measurement & Attribution” (Wiley), “Practical Risk-Adjusted Performance Measurement” (Wiley), numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”. He holds a B.Sc. Hons. in Mathematics from Manchester University.