iPARM-2016
28Nov
November 28, 2016 - November 30, 2016 Grace Hotel Sydney , 77 York street, Sydney, NSW Australia

Gain Insights from performance through leaders & brainstorming on best practices in the performance measurement space

28th November 2016 - Day 1

08:20 – Registration

Participants registration and refreshments.

08:55– Welcome address

Chairman’s address to the gathering.

09:00 – Session 1: The Evolution, Role And Future Of Performance Attribution.

The Evolution, Role And Future Of Performance Attribution.

  • Defining Performance Attribution (Risk & Return)
  • The Evolution of Attribution – Fama Decomposition to Yield Curve Decomposition
  • Types of Attribution
    • – Returns Based
    • – Holdings Based
    • – Transaction Based
  • Why is fixed income attribution so different, so difficult?
  • How and who should use attribution analysis?
  • The future development of attribution
Speaker:
  1. CARL BACON, CIPM, Non-Executive Chairman at StatPro, UK

09:40 – Session 2: Defining A Risk Frame Work

Defining A Risk Frame Work

  • Explore the difference between risk management and risk measurement
  • Look at why data is critical to a risk framework
  • Understand how risk and performance can be presented together
Speaker:
  1. MARC RUBENFELD, CIPM, Head of Performance Measurement Engineering, Eagle Investment Systems

10:10 – Tea break

Refreshments and Networking opportunity for participants.

10:50 – Session 3: The Time Has Come For Risk-Adjusted Performance Attribution

The Time Has Come For Risk-Adjusted Performance Attribution

  • Why it makes sense to include risk in attribution
  • Why ignoring the impact of risk provides misleading results
  • Why prior attempts have failed to work
  • Introducing a method that provides meaningful results
  • We will do a step-by-step review of the process, to show how it should be part of your attribution

How the method is asset class neutral (i.e., it will work with equities, bonds, etc

Speaker:
  1. DAVID D. SPAULDING, DPS, CIPM, MD, The Spaulding Group (USA)

11:30 – Session 4: Merging Rates Of Return And Risk: What Are The Practicalities, Benefits, And Costs

Merging Rates Of Return And Risk: What Are The Practicalities, Benefits, And Costs

  • What should best practice in performance measurement and analysis look like?
  • How does current market practice compare to best practice?
  • What are the main challenges facing performance teams and how are these affecting the ability of teams to enhance the services they deliver?
Panel Members:
  1. CARL BACON, CIPM, Non-Executive Chairman at StatPro, UK
  2. DAVID D. SPAULDING DPS, CIPM, MD, The Spaulding Group (USA)
  3. DAVID KOSCH, Regional Product Manager, Investment Analytics, Citi Investor Services

12:10 – Session 5: A Risk Contribution Framework Consistent With Performance Decomposition

A Risk Contribution Framework Consistent With Performance Decomposition

  • The complexity of modern portfolios requires sophisticated portfolio analytics
  • Portfolios performance depends on a large number of risk factors
  • Risk should be measured consistently with performance
  • Non-linear portfolio require special tools to be handled
  • Risk exposures, even for non-linear portfolios, can and should be used for hedging purposes
Speaker:
  1. MARCO MARCHIORO, Chief Research Advisor, StatPro

12:40 – Lunch break

Lunch and Networking opportunity for participants.

13:40 – Session 6: Performance And Portfolio Holdings Disclosure - An Ethical Perspective

Performance And Portfolio Holdings Disclosure – An Ethical Perspective

  • Performance methodologies and conventions, a fairness test
  • Data for vested interests vs irrelevant info. to the silent majority
  • Are overseas trends a guide?
  • What about derivatives?
  • Is the Responsible Investment sector a leader in this instance?
Speaker:
  1. MICHAEL WALSH, Chief Executive Officer, UCA Funds Management

14:10 – Session 7: An Interactive Session - Bring Your Opinion

An Interactive Session – Bring Your Opinion

  • 1. Client Reporting
  • 2. Data – how to ensure it’s right

This session will discuss the challenges in using standard reports or building custom and making sure the client understands the results you are sharing. Data management & how to ensure it’s correct.

Moderator:
  1. DAVID D. SPAULDING , DPS, CIPM, MD, The Spaulding Group (USA)

15:00 – Tea break

Refreshments and Networking opportunity for participants.

15:30 – Session 8: Cash Flow Timing: What Are The Alternatives, What Make Sense, How Most Firms Get It Wrong

Cash Flow Timing: What Are The Alternatives, What Make Sense, How Most Firms Get It Wrong

16:00 – Session-9 :Performance Measure For Alts

Performance Measure For Alts

  • Zero and Negative NAV Situations
  • Benchmarking
  • Traditional + Alternative combined performance reporting
  • Treatment of management and performance fees
  • Standards for performance of alternatives
Speaker:
  1. NICOLAS LE CLECH, Head of Product & Transformation, Asset and Funds Services Australia & New Zealand, BNP Paribas Securities Services

16:00 – Session-10 :Market Practices and Trends in Investment Performance Analysis

Performance Measure For Alts

  • What should best practice in performance measurement and analysis look like?
  • How does current market practice compare to best practice?
  • What are the main challenges facing performance teams and how are these affecting the ability of teams to enhance the services they deliver?
Panel Members:
  1. CARL BACON, CIPM, Non-Executive Chairman at StatPro, UK
  2. DAVID D. SPAULDING, DPS, CIPM, MD, The Spaulding Group (USA)

17:10 – End of Day-1

Vote of thanks by the Chairman.

17:15 – Gala dinner

Drinks and networking reception.

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