Carl Bacon

Carl runs a number of training courses throughout Asia, Europe and the United States. Carl is registered with CFA Institute as an approved Provider of professional development programs. Each course has identified the PD credit hours as granted by CFA Institute.

Advanced Attribution

Risk- adjusted Performance Measurement

Introduction to Performance Measurement

Advanced Performance

Fundamentals of Performance Measurement

GIPS

In-house Training

Carl offers in-house training to all our members.  This is an excellent way to meet the training needs of your staff with a world renowned expert..

Advanced Attribution

An intensive masterclass for Investment Professionals and other key players in the investment chain who wish to increase their technical knowledge and gain a detailing understanding of all aspects of performance return attribution.

Enquiries

Duration - 1 day (qualifies for 5hrs PD credits)

Level - Advanced

Prerequisites - A good understand of performance measurement and a basic awareness of performance attribution

Suitable for Senior managers, portfolio managers, performance measurers and risk controllers seeking an in depth understanding of performance attribution

Leaning Outcomes - By the end of the course participants will be able to

• Understand the evolution of attribution techniques
• Conduct multi-currency attribution
• Understand the differences between Fixed Income and Equity attribution
• Identify a variety of attribution issues
• Explain the issues of multi-period attribution

COURSE CONTENT

Basic attribution

• Why measure performance?
• Geometric or arithmetic excess returns
• Definition of attribution
• Attribution as a management tool
• The Brinson Models
• Geometric Attribution
• Practical exercise

Advanced Attribution

• Evolution of attribution methodologies
• Types of attribution
• Attribution issues
• Holdings or transaction based attribution
• Smoothing algorithms
  • GRAP
  • Carino
  • Menchero
  • Frongello
  • Geometric
• Practical exercise
• Multi-currency attribution
• Why is Fixed Income attribution so different?

Course Includes:

• Be a portfolio manager - attribution exercise
• Smoothing algorithm exercise

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Risk-adjusted Performance Measurement

A one day course designed to introduce delegates to the risk adjusted statistics they are likely to encounter in their day to day roles and how to use these measures for effective performance measurement, evaluation and risk control..

Enquiries

Duration - 1 day (qualifies for 5hrs PD credits)

Level - Intermediate

Prerequisites - A basic understanding of performance measurement

Suitable for Performance measurement and risk control staff, portfolio managers, sales/marking staff with some performance measurement experience and anyone with an interest in risk-adjusted performance measurement.

Leaning Outcomes - By the end of the course participants will be able to

• Calculate basic risk-adjusted returns
• Identify risk types in asset management
• Use risk measures to evaluate portfolios
• Understand the use of a wide variety of risk measu

COURSE CONTENT

• Risk Control
• Risk types in asset management
• Risk Control
• Ex post, Ex ante

Common risk measures

• Sharpe ratio
• Information Ratio
• M2
• Regression Statistics
  • Jensen's alpha
  • Beta
  • Covariance
  • Correlation
  • R2
• Fama decomposition
• Portfolio Evaluation – Practical Exercise

Less Common Risk measures

• Downside risk
  • Sortino ratio
  • Upside Potential ratio
  • VaR
• GH1 & GH2
• Hurst Index
• Sterling & Burke Ratios
• Detailed calculations – practical Exercise

Risk Infrastructure

• Practical exercise

Course Includes

• Portfolio Evaluation Exercise
• Detailed risk calculation exercise

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Introduction to Performance Measurement

An introductory level course exploring the fundamentals of performance measurement, and its key role in asset management firms, with a particular focus on the importance of performance attribution.

Enquiries

Duration - 1 day (Qualifies for 5 hrs PD credits)

Level - Introductory

Prerequisites - None

Suitable for anybody in an asset management firm or pension fund wanting a good understanding of performance measurement

Learning Outcomes - By the end of the course participants will be able to:

•  Calculate performance returns

•  Know the difference between money and time-weighted returns

•  Understand the impact of large cashflows on performance returns

•  Calculate customised benchmarks

•  Know the attributes of a good benchmark

•  Understand the basics of performance attribution

•  Interpret an attribution report

COURSE CONTENT

Introduction

• What is performance measurement?
• Basic Calculations
• Currency effect
• Time Weighted or Money weighted?
• Practical exercise

Benchmarks

• Attributes of good benchmarks
• Peer Groups or Indexes
• Index calculations
• Excess Returns
• Geometric or arithmetic
• Performance Fees

Basic Attribution

• Attribution as a management tool
• The Brinson Models
• Geometric Attribution
• Practical exercise

Performance Standards

• Background
• Detail   
• Why do it?
• Verification
• Future Governance
• Practical exercises

Course Includes:

• Return Calculation Exercise
• Customised benchmark exercise
• Be a portfolio manager attribution exercise

• Accompanying Free Book

Practical Portfolio Performance Measurement & Attribution, Carl Bacon, John Wiley & Sons

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Advanced Performance

An intensive masterclass for Investment Professionals and other key players in the investment chain who wish to increase their technical knowledge and gain a broader understanding of the more complex attribution models and advanced performance evaluation tools.

Enquiries

Duration - 1 day (qualifies for 5hrs PD credits)

Level - Advanced

Prerequisites - A good understand of performance measurement and a basic awareness of risk and performance attribution issues

Suitable for Senior managers, portfolio managers, performance measurers and risk controllers seeking an in depth understanding of performance measurement

Leaning Outcomes - By the end of the course participants will be able to

• Calculate basic risk-adjusted returns
• Identify risk types in asset management
• Use risk measures to evaluate portfolios
• Understand the evolution of attribution techniques
• Conduct multi-currency attribution
• Identify a variety of attribution issues
• Explain the issues of multi-period attribution

COURSE CONTENT

Risk

• Risk types in asset management
• Risk Control

Risk-adjusted Performance Measurement

• Ex post, Ex ante
• Common risk measures
  • Sharpe ratio
  • Information Ratio
  • M2
  • Jensen's alpha
  • Fama decomposition
• Portfolio Evaluation – Practical Exercise
• Downside risk
  • Sortino ratio
  • Upside Potential ratio
  • VaR

• Detailed calculations – practical Exercise

Advanced Attribution

• Evolution of attribution methodologies
• Attribution issues
• Smoothing algorithms

• GRAP
• Carino
• Menchero
• Frongello
• Geometric
• Practical exercise
• Multi-currency attribution
• Why is Fixed Income attribution so different?

Course Includes

• Portfolio Evaluation Exercise
• Detailed risk calculation exercise
• Smoothing algorithm exercise

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Fundamentals of Performance Measurement

This course is designed to give a thorough understanding of the fundamentals of performance measurement and the ability to calculate both a return and absolute attribution. In particular, delegates will:

•  Understand the concepts of performance measurement

•  Learn the different ways to derive returns (and why the results can vary)

•  Comprehend how cashflows affect the returns

•  Analyse the principles of benchmarking

•  Ascertain why risk measurement and management are important and what the measures mean

•  Discern the role of attribution, the challenges in getting it right, and how it should be used

•  Learn the status and application of the different international performance measurement standards

Enquiries

Duration - 2 Days (qualifies for 12hrs PD credits)

Level - Intermediary

Prerequisites - None

Suitable for Pension fund trustees, portfolio managers, senior management, performance measurers, risk controllers, compliance staff, sales and marketing staff and operations staff, all wanting a good understanding of performance measurement, risk and attribution.

Learning Outcomes - By the end of the course participants will be able to:

•  Calculate performance returns

•  Know the difference between money and time-weighted returns

•  Understand the impact of large cashflows on performance returns

•  Calculate customised benchmarks

•  Know the attributes of a good benchmark

•  Understand the basics of performance attribution

•  Interpret an attribution report

•  Calculate basic risk-adjusted returns

•  Identify risk types in asset management

•  Use risk measures to evaluate portfolios

•  Understand the benefits of the GIPS ® standards

•  Understand the benefits and purpose of verification

COURSE CONTENT

Introduction

• What is performance measurement?
• Basic Calculations
• Currency effect
• Time Weighted or Money weighted?
• Practical exercise

Benchmarks

• Attributes of good benchmarks
• Peer Groups or Indexes
• Index calculations
• Excess Returns
• Geometric or arithmetic
• Performance Fees

Basic Attribution

• Attribution as a management tool
• The Brinson Models
• Geometric Attribution
• Practical exercise

Performance Standards

• Background
• Detail
• Why do it?
• Verification
• Future Governance
• Practical exercises

Measuring Portfolio Risk

• Ex-post, Ex-ante Risk
• Absolute, relative and regression risk measures
• Downside risk
• Portfolio Evaluation – Practical Exercise
• Detailed calculations – practical Exercise

Further Attribution

• Multi-currency attribution
• Attribution issues
• Smoothing algorithms
• Fixed Income
• Derivatives

Course Includes

• Return Calculation Exercise
• Customised benchmark exercise
• Be a portfolio manager attribution exercise.
• Portfolio evaluation exercise
• Case Study - Massive Asset Manager Inc.
• Definition of Firm
• Discretion exercise
• Composite allocation exercise

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GIPS

To achieve a good understanding of Global Investment Performance Standards (GIPS ® ) including; how to achieve compliance, how to maximise the claim of compliance and understand the ongoing implications of the claim of compliance.

Enquiries

Duration - 1 day (qualifies for 5hrs PD Credits)

Level - Introductory

Prerequisites - None

Suitable for Pension fund trustees, senior managers and sales/marketing staff of any firm already compliant or considering compliance and performance measurers seeking an update of current GIPS ® status

Leaning outcomes - By the end of the course participants will be able to:

•  Describe the components of the standards essential for compliance       

•  Understand the benefits of the standards

•  Understand the benefits and purpose of verification

•  Understand the governance structure of GIPS ®

•  Understand how to influence the future standards

COURSE CONTENT

Introduction

• Why have performance standards?
• Who are the standards aimed at?
• History of the Standards

GIPS® Detail

• Defining the Firm
• Calculation   
• Composites
• Disclosures
• Presentation
• Practical exercise

Future Governance

• Structure
• Sub-committees
  • Interpretations
  • Verification
  • Country Standards

Guidance Statements

• Supplemental Information
• Calculations
• Advertising
• Carve-outs

Why do it?

• Asset managers
• Pension Funds
• Verification

Course Includes:

• Case Study - Massive Asset Manager Inc.
• Definition of Firm
• Discretion exercise
• Composite allocation exercise

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