CFA Society Melbourne

Return Attribution and Ex-post Risk-adjusted Performance Measurement Course

When: Wednesday, 18 October, 2017
Where: Intercontinental Melbourne The Rialto, 495 Collins Street, Melbourne
Time: 9.00am – 5.00pm (this is a full day course)
Cost: $999 inc. GST (morning tea, lunch & afternoon tea included)
RSVP: Friday, 13 October, 2017. Places are limited

Register here now

We ask that you please pass this on to any of your colleagues involved in investment performance measurement.


– Portfolio managers
– Performance analysts
– Risk controllers
– Compliance officers
– Sales, marketing and operations staff.
– Pension fund trustees


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.


Morning Agenda – Return Attribution

Return Attribution

Attribution as a management tool

The Brinson Model
– Brinson, Hood  & Beebower
– Brinson & Fachler
– Interaction

Geometric Attribution

Practical exercise (Be a portfolio manager for a year attribution exercise)

Attribution issues:
– The evolution of attribution methodologies
– Security level attribution
– Transactions, holding and returns based attribution
– Why is Fixed Income Attribution different?
– Multi-asset Attribution
– Attribution for alternative strategies

– Futures
– Swaps
– Options
– “The Greeks”

Afternoon – Risk-adjusted Performance Measurement

Risk types in asset management & Risk Control

Simple risk Measures
– Ex-post, Ex-ante
– Mean absolute deviation
– Variance, standard deviation & tracking error
– Annualised risk
– Bessel’s correction
– Sharpe ratio
– Information Ratio

Regression Statistics
– Jensen’s alpha
– Beta
– Covariance
– Correlation
– R2
– Fama decomposition
– Fama-French 3 factor model

Risk-adjusted Return
– M2 & adjusted M2
Carl Bacon

Carl 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 chair of the GIPS Executive Committee, and ex-chair of both the Verification and Interpretation Sub-Committees, a member of the UK Investment Performance Committee 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”