Performance Measurement & Attribution I
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Tuesday 9th March 2010, The Brewery, London, 08:15 - 12:45
£399.00/for 1 stream; £699/2 streams (per delegate)
08:15 Registration and coffee
08:50 Welcome from the Chairman
Anthony Howland, Independent Consultant
“The performance streams at TSAM are always well attended. They provide the interactive forum for peer-group discussion on which the industry thrives. I am delighted to be involved again this year”. Anthony Howland
09:00 Panel discussion: GIPS 2010 – is it really worth it?
n How is GIPS 2010 being received: practical implications and what’s already been done to address them internally
n How complexity and subsequent budgetary concerns could get in the way of GIPS 2010 Verification
n Beyond GIPS 2010 – forthcoming developments
Panellists:
Christopher Nimmick, Global Head, Performance, Baring Asset Management
Neil Mackay, Head, Performance Measurement, Standard Life Investments
Todd Juillerat, Managing Director, Head, Performance Measurement, State Street Global
09:45 Organisational issues and challenges our function has to take on after the crisis
n Expanding role of the performance function within the organisation
n Getting role of P&CR & its contribution to the firm recognised within the organisation
n Developing and building trust between the client reporting and the investment managers – how to best work together
n Publishing
Frederic Lalande, Director, Performance Analysis & Reporting, Europe Middle East & Africa, Russell Investments
10:15 Beyond Brinson: Using Barra Factors to understand fundamental drivers of risk and return
n Linking factor-based attribution and Brinson sector-based attribution
n Factors isolate industry and style returns
n Factors provide greater insight into Brinson Selection effect
n Attributing risk to the same factors as performance
Ben Davis, Vice President, Factor Modeling, MSCI Barra
10:45 Morning coffee
11:15 Globalising the performance function: how to merge different locations into a cohesive approach
n Regional versus national operating structures: how to function globally
n Cultural issues: accepting and embracing regional differences
n How to ensure effective communication across locations
n Collectively agreeing a global target operating model
Todd Juillerat, Managing Director, Head, Performance Measurement, State Street Global Advisors
11:45 Risk attribution: a new outlook
n A successive portfolio model for risk attribution
n Total risk versus tracking error attribution
n Allocation, selection and diversification effect
n How to monitor risk
Philip Gregoire, Head of Product Development, Orfival sa.
12:15 Roundtable Discussions
12:45 Networking lunch and registration for afternoon streams
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TSAM 2011
