MASTERING PERFORMANCE AND RISK MEASUREMENT

 

Objective of the training

In this intensive three-day training course, you will acquire solid expertise in performance calculations and risk measurement. You will study robust and rigorous methodologies, combining theory and practice through concrete Excel exercises. An in-depth analysis of results will be carried out by exploring case studies.

This course is specifically designed for people who analyze real investment portfolios, offering them concrete solutions to the challenges they face in measuring performance and risk.

 

Practical details 

Format: inter-company, face to face

Language: French

Fee: the cost of this course is €1800 Excl VAT. Training materials, lunch, and drinks are included in the price.

    Performance

    • Arithmetic, geometric and logarithmic returns
    • Return in local currency, reporting and hedged return
    • Money Weighted Returns, Time Weighted Returns and Internal Rate of Return
    • Contribution/withdrawal processing, Begin of Day, End of Day, Dietz and Modified Dietz
    • Transaction processing
    • Contribution to return and chaining of contributions
    • Returns from derivatives and sub-portfolios using derivatives
    • Benchmark returns, rebalancing and hedging
    • Fund returns, net NAV, gross NAV and TER

    Risk

    • Identification and measurement of different sources of risk
    • Normal distribution and standard deviation (volatility)
    • Specific and systematic risk
    • Downside risk
    • Maximum Drawdown and Time under water
    • Value at Risk
    • Expected Shortfall
    • Tracking error

    Ratios

    • Comparison with a universe
    • Total risk: Sharpe and Sortino ratios
    • Specific risks: Appraisal and Information ratios
    • Systematic risks: Jensen's Alpha, Treynor's ratio and Modigliani M²
    • Summary and interpretation

 

 

MASTER PERFORMANCE ATTRIBUTION MODELS: CONCEPTS, METHODS AND ADVANCED PRACTICES

 

Objective of the training

The aim of this two-day training is to provide participants with an in-depth understanding of the key concepts involved in performance attribution for diversified and bond portfolios. During the course, you will acquire advanced skills in performance attribution methods and techniques. This include Brinson-type models, rate factor models, the impact of Futures and Forex, and the integration of ESG criteria.

 

Practical details 

Format: inter-company, face to face

Language: French

Fee: the cost of this course is €1200 Excl VAT. Training materials, lunch and drinks are included in the price. 

    Contact support team: 

    Marine Leroy, Marketing Officer

     

 

 

Make sure to select the course you wish to register for. 

Interest for