WORKSHOPS

Over the workshop, attendees, will discuss selected topics and challenges related to Investment Performance Measurement practices, Identification of True Risk Exposure, and the requirements of Robust Quantification. The gaps and defects or wrong implementation of theoretical approaches that are almost mentioned in every academic book will be explained, which proved fundamental flaws when tried to apply them in practice.

The workshop is suitable for professionals working within the capital markets and financial services industry: different capital market institutions, regulators, stock exchanges and depository centers, as well as brokers and other entities related to capital markets.

Certificate of participation issued by the UASA & SCA Professional Training & Examinations Centre.

15:00 - 16:20 Session 1

16:20 - 16:30 Break

16:30 - 17:50 Session 2

17:50 - 18:00 Break

18:00 - 19:00 Session 3

Investment Performance Evaluation Challenges

Drawbacks of the most common Risk Measures 

Misapplications of Risk Adjusted Return Metrics

Wrong Benchmarking and Misunderstanding Value at Risk

Data Sampling and Forecasting Error

Common Reasons of Return Measurement Errors

Factor Attribution and what may go wrong

Learning Outcomes:

- Investment Classification and Risk Measurement Tool

- Common tools for measuring the returns and their drawbacks  

- Understanding Sources of Return

- Most used Quantitative Methods for Performance Evaluation and Drawbacks- 

- Returns Attribution and Measuring

- Detecting Overestimating IRR

- Data Gathering and Sample Selection 

- Measuring Return and Modeling Asset prices Volatilities

- Selecting Volatility Measures

- Confidence level and Fat Tail detecting for Hidden Risk

- Frequency Distribution for Modeling Probabilities

- Does CAPM Work?!

- Risk Adjusted Return Measures 

- Measuring Portfolio Risk and Returns and Optimization Errors

- Misunderstanding Beta, Covariance and Correlation 

Theory of Portfolio Management and the Practical constraints

Benchmarking and Investment Styles Detection

Performance Attribution: determine the main sources of Express Return

like Time Selection, Sector Selection and Security Selection 

Performance Appraisal and Fund/ manager selection based on Risk Adjusted Return metrics

like Sharpe Ratio, Sortino Ratio, Treynor Ratio and Information Ratio