Eagle is committed to helping financial institutions worldwide grow assets efficiently with its award-winning portfolio management suite of data management, investment accounting and performance measurement solutions that are delivered over its secure private cloud, Eagle ACCESSSM. Eagle deploys trusted solutions and services that create operational efficiencies and help reduce complexity and risk. Eagle Investment Systems LLC is a subsidiary of BNY Mellon. Additional information is available at www.eagleinvsys.com or follow us on Twitter @Eagleinvsys.
StatPro is a global provider of award winning portfolio analytics solutions for the investment community. The Group’s cloud-based platform provides vital analysis of portfolio performance, attribution, risk and compliance. This multi-asset class analytics platform helps StatPro’s clients increase assets under management, improve client service, meet tough regulations and reduce costs. The Group’s integrated and global data coverage includes over 3.2 million securities such as equities, bonds, mutual funds, FX rates, futures, options, OTCs, sector classifications and much else besides. StatPro also covers most families of benchmarks including MSCI, FTSE, Russell, NASDAQ and the open source Freedom Index. StatPro has grown its annualised recurring revenue from less than £1 million in 1999 to around £32 million today (including Investor Analytics on a pro forma basis). The Group has operations in Europe, North America, South Africa, Asia and Australia, with hundreds of clients in 38 countries around the world. Approximately 80% of recurring revenues are generated outside the UK. StatPro Group plc shares are listed on AIM.
CIPM, Head of Eagle Solutions EMEA/APAC, Eagle Investment Systems
DPS, CIPM, MD, Spaulding Group, US
CIPM, Non-Executive Chairman at StatPro, UK
CIPM PMP, Vice President, Global Head of GIPS®, State Street Global Advisors, USA
CARL BACON (CIPM, Non-Executive Chairman at StatPro, UK)
Carl Bacon CIPM, joined StatPro Group plc as Chairman in April 2000. StatPro is a platform for Portfolio Analytics, Valuation, Reporting and Research for the investment community. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues. Prior to joining StatPro Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management. Carl holds a B.Sc. Hons. in Mathematics from Manchester University and is a member of the Advisory Board of the Journal of Performance Measurement. A founder member of both the Investment Performance Council and GIPS®, Carl is a member of the GIPS Executive Committee, and ex-chair of both the Veriﬁcation and Interpretation Sub-Committees, and founder of “The Freedom Index Company”. Carl is also the author of “Practical Portfolio Performance Measurement & Attribution” part of the Wiley Finance Series, “Practical Risk-adjusted Performance Measurement”, numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”
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 portfolio return attribution.
Participants will be required to have a basic knowledge of how to use Excel spreadsheets If possible participants should bring their own laptop with excel loaded. Attendees will be asked to work in teams of two or three on excel based practical exercises.
- Why measure performance?
- Definition of attribution
- Attribution as a management tool
- Recap of the Brinson Model
Fixed Income attribution
- Why is Fixed Income attribution so different?
- Weighted Duration Attribution
- Campisi framework
- Yield Curve Decomposition
Attribution for Derivatives
- Futures, options and swaps
- Short positions
- Market Neutral
- 130/30 Funds
- Multi-level & balanced attribution
- Karnosky & Singer
- Naïve Currency Attribution
- Geometric multi-currency
- Forward Currency contracts
- Evolution of attribution methodologies
- Types of attribution
- Attribution issues
- Holdings, transaction and returns based attribution
- The role of attribution. Today and in the future
- Off-benchmark investing
- Security level attribution