Financial Services

Annual Performance Attribution Risk Measurement Forum

Performance Attribution Risk Measurement Forum is an intensive, practical forum for investment professionals who wish to increase their technical knowledge and gain a detailed understanding of performance analytics and risk measurement functions and techniques.

Performance Attribution Risk Measurement Forum 2010 will provide you with expert presentations including technical sessions and case studies, address critical performance, attribution, risk and measurement issues and provide opportunities to meet and network with your peers.

Featuring presentations from:

  • John Peterson, Principal, Sovereign Investment Research
  • Simon Elimelakh, Head of Strategy, Intech
  • Tim Svenson, Senior Performance and Reporting Analyst, Funds SA
  • Lindsay Skardoon, Director, Spectrum Asset Management
  • Geoffrey Brianton, Director, BlackRock Investment Management
  • Jonathan Ramsay, Director, Glennon Capital
  • Stephen Campbell, Senior Manager, Financial Risk Management, Advisory, KPMG
  • Alan Laubsch, Head, RiskMetrics Labs Asia

and many more...

Key focus areas will include:

  • Market volatility and the impact on performance and risk management
  • Effective strategies for performance analytics and measurement
  • Maximising returns through performance attribution and analytics
  • After tax performance measurement
  • GIPS compliance and updates
  • Risk management models and practice
  • Quantitative versus qualitative investment methods
  • Developing effective performance analysis tools
  • Performance and risk reporting strategies
  • Fixed income attribution
  • Asset allocation and alternative investments


Volatility Before, During and After the Global Financial Crisis
  • Volatility as an analytical tool
  • Which asset classes surprised during the crisis?
  • Is volatility going back to "normal" levels after the GFC?
  • Going beyond volatility: correlations and betas

The Challenges of Measuring the Performance of Alternative and Diverse Asset Classes
  • The performance measurement issues for Alternative Investments (Private Equity, Hedge Funds, Infrastructure and Real Assets)
  • Increasing performance measurement accuracy in Alternative Investment portfolios
  • Real risks and returns in Alternative Investments

Maximising Returns through Performance Attribution and Analytics
  • Analysing current performance attribution and analytics systems
  • Tips to overcome the pitfalls of attribution
  • Comparing and contrasting the different attribution methodologies
  • Adapting the performance and risk function to industry demands and trends

The Multi-period Attribution Problem: Solved!

  • As is well known, there is no universally accepted method for computing multi-period attribution from single-period results. There are two underlying problems that prevent multi-period attribution from working as well as we would like
  • Multi-period attribution is intended as a decomposition of multi-period outperformance. Unfortunately and somewhat surprisingly, the standard and obvious fund return minus benchmark return is a poor measure of outperformance. A better formula for outperformance will be presented, which is already well known to the investment community by another name
  • Attribution factors should not be compounded, since they are not returns. A better approach than compounding will be presented, resulting in a neat and intuitive decomposition of the multi-period outperformance
  • Our clients insist on the standard measure of outperformance, despite its inadequacy. A simple method for meeting this commercial reality will be presented, that the author believes to be optimal

How to Best Manage the Client for a Long Term Beneficial Relationship with the Fund Manager
  • What information does the client want to know?
  • Presenting performance results
  • Skills needed in handling clients
  • Different models to present the results
  • What happens after the performance attribution is presented?

  • The myths of benchmarking
  • The power of the benchmark
  • The difficulties in choosing the appropriate benchmark
  • How benchmarking can lead to suboptimal performance

Risk Modelling - Lessons from the GFC
  • Liquidity matters - particularly when its gone
  • The risks of complexity and opacity
  • Model assumptions are just that - assumptions
  • Changes in the source of market risk
  • Coping with black swan events

Hedge Funds, Performance Measurement and Risk Analysis
  • Setting a new standard for hedge fund performance measurement and risk attribution
  • Benchmarking hedge fund performance
  • Hedge fund performance measurement issues
  • Risk adjusted performance measurement for hedge funds

Implementing and Complying with the GIPS Standards
  • Implementing GIPS and the first time verification
  • GIPS compliance
  • Changes to GIPS 2010
  • Valuation issues with unlisted asset classes
  • Applying GIPS standards to hedge funds and alternative asset strategies
Performance and Risk Reporting Strategies
  • Tailoring reporting to the needs of the target audience
  • Driving efficiency in performance analytics and reporting
  • Integrating risk into performance reports
  • Producing high level reporting and tackling data integrity
  • Enhancing client communication

Back to the Future: Valuation as a Primary Risk Management Metric in Institutional Portfolio Management
  • Lessons from the recent past
  • Modern portfolio theory in context
  • Maintaining objectivity in valuation based risk metrics
  • Portfolio integration and client communication

Risk Management Models and Practices
  • Scrutinising risk models: risk control vs risk management
  • Examining implications on investment performance - performance risk attribution
  • Reducing risk using qualitative analysis
  • Risk-return considerations in a volatile market

Risk Management 2.0
  • In light of the Global Financial Crisis, institutions are radically redefining risk management to take a broader and more integrated view of risk. We will highlight areas of growing focus, including systemic risk, crash forecasting and early warning signals. We will also provide a framework for holistic risk management, taking into account short and long term risk factors, and give an overview of organisational risk management best practices

Stress Testing: Black Swans or Shades of Grey?
  • Extreme events and their impact on risk management
  • Methodology and incorporation into the risk process
  • Supplement to risk measures – tracking error, VaR, expected shortfall

This conference will be held on the 15-16 March 2010 at Sydney Harbour Marriott Hotel -- (costs $ 2744.50 AUD + 250 WYEA admin fee). You are welcome to attend. The Information posted on this page is only meant to provide you an insight on knowledge and skills transfer opportunities available within the Australian financial services sector. In collaboration with IIR, we can design a specific program for you and your group, providing an opportunity for you to meet with Australian leading professionals in a friendly and highly rewarding environment.