Portfolio Management & Performance Measurement

Course Content:

Day One

Introduction to Portfolio Analysis – The Fund Management Process
 The key elements of a fund management process
• The client
• The portfolio manager’s role
• Portfolio analysis
 The decision making process
 Active vs. passive management
 Asset allocation vs stock selection

Portfolio Analysis – Returns and Risk
 The starting point, what does the client want? – investor indifference curves
 Fundamentals of calculating returns
• Money weighted returns
• Time weighted returns
• Unit pricing
• Dealing with currencies and fees
 Measuring risk (1)
• Variance and standard deviation as a measure of risk
 Normal distribution – beware the Black Swan
 Diversification in a portfolio – covariance and correlation
 Reducing risk
• Two-stock portfolio
• Multi-stock portfolio

Day Two

Portfolio Analysis – Returns and Risk (continued)
 Calculating risk (2) – Analysing portfolios for different types of risk
• Defining risk
• The various risk measures
 Absolute risk measures
 Relatives risk measures
 Downside risk measures

Portfolio Analysis – Performance Measurement
 Performance analysis – benchmarks
• Relatives and absolute benchmarks – how are each treated?
• Indices and composite indices – how are indices constructed?
• Peer groups – how to choose peer groups
• Excess returns
 Portfolio attribution
• Fama decomposition
• Portfolio attribution – sector/stock level analysis
 Presenting performance
• Global Investment Performance Standards (“GIPs”)

Dealing With Different Asset Classes
 Equity investments in private and institutional portfolios
• Key risk and return attributes of equities
• Equity portfolio analysis and performance measurement issues
 Bond investments in private and institutional portfolios
• Key risk and return attributes of bonds
• Bond portfolio analysis and performance measurement issues
 Alternative investments in private and institutional portfolios
• Key risk and return attributes of commodities and real estate
• Alternative investment portfolio analysis and performance measurement issues
 Using derivatives in private and institutional portfolios
• Why use derivatives?
• Derivative portfolio analysis and performance measurement issues

Delivery:	Classroom
Regions:	London
Category:	Asset Management