„Investment Performance" round tables

The "Investment Performance" round table is an independent forum for investment performance specialists in Switzerland, which pursues the following objectives:

• exchange experiences
• discussion of practical problems in the field of investment performance analysis and attribution
• discussion of developments and perspectives.

The round table is sponsored by PwC and the Swiss Bankers Association and is open for participation.

If you would like to attend a "Investment Performance" round table, please contact Dimitri Senik. 

Programmes and presentations of past round tables:

14 December 2011

•  Programme (PDF File 25 KB)
• Präsentation von Dr. Boris Neubert, IDS
   Präsentation von Dr. Boris Neubert, IDS (PDF File 851 KB)
• Präsentation von Dr. Stefan Illmer, IIPC
   Präsentation von Dr. Stefan Illmer, IIPC (PDF File 388 KB)

13 April 2011

•  Programme (PDF File 26 KB)
• Präsentation von Elske van de Burgt, Ortec Finance
   Präsentation von Elske van de Burgt, Ortec Finance (PDF File 874 KB)
• Präsentation von Stefan Illmer, Credit Suisse 
   Präsentation von Stefan Illmer, Credit Suisse (PDF File 521 KB)

20 May 2010

•  Programme (PDF File 29 KB)
• Präsentation von Roger Bühler, Pictet & Cie:
   Strategic Attribution – Methodology for multi-portfolio structures (PDF File 589 KB)
• Präsentation von Stefan Illmer, Credit Suisse:
   Decomposing MWR– An Update (PDF File 221 KB)

7 July 2009

•  Programme (PDF File 31 KB)
• Präsentation D. Crowley, Pictet Asset Management:
   Performance Analysis – are you made to measure? (PDF File 141 KB)
• Präsentation D. Senik, PwC:
   Measuring market risk of structured products and derivatives: Intra-day price movements problem (PDF File 62 KB)
• Präsentation A. Doswald, LGT Capital Management:
   Discussion: Delayed pricing of investments: Consequences for performance measurement (PDF File 193 KB)

20 May 2008

•  Programme (PDF File 28 KB)
• Presentation by Dr. Jose Vega, UBS:
   Taking the labor out of Libor (PDF File 224 KB)
• Presentation by Dr. Stefan Illmer, Credit Suisse:
   Investigating the Future of Global Performance Measurement (PDF File 504 KB)

6 February 2008

•  Programme (PDF File 27 KB)
• Presentation by Carl Bacon, Statpro:
   Risk-adjusted Performance Measurement (PDF File 182 KB)

31 May 2007

•  Programme (PDF File 84 KB)
• Presentation by Dimitri Senik, PwC:
   Neue Anforderungen an Risikomessung bei kollektiven Kapitalanlagen in der Schweiz (PDF File 188 KB)
• Presentation by D. Cintioli, Statpro:
   Integrated Risk, Decomposition and Attribution in Historical Simulation Model (PDF File 357 KB)

28 February 2007

•  Programme (PDF File 80 KB)
• Presentation by Dr S. Illmer, Credit Suisse, Head of Client Reporting:
   Investigating the case for MWR-Attribution (PDF File 269 KB)
• Presentation by Dimitri Senik, PwC:
   Performance fees: Some pitfalls and issues (PDF File 86 KB)

19 September 2006

•  Programme (PDF File 85 KB)
• Presentation by Dr S. Illmer, Credit Suisse Asset Management:
   Risikoanalyse mittels Spreadsheets (PDF File 342 KB)
• For the practical spreadsheets of workshop "Implementation of the return and risk attribution
  in the Excel environment" please contact Dr S. Illmer and Dr O. Gloor.

9 May 2006

•  Programme (PDF File 93 KB)
• Presentation by Blaise Roduit, Swisscanto Asset Management:
   Presentation of the FIPA Project: "Fixed Income Performance Attribution" Project (PDF File 421 KB)

25 January 2006

•  Programme (PDF File 85 KB)
• Presentation by Dr. Yücel Özkaya, VP Bank Liechtenstein:
   Risk Budgeting in the Asset Allocation Process (PDF File 357 KB)
• Presentation by Roger Buehler, Pictet & Cie.:
   Die neue Index Familie für Schweizer Pensionskassen (PDF File 1077 KB)

28 September 2005

•  Programme (PDF File 88 KB)
• Presentation by Dr. S. Illmer, Credit Suisse Asset Management:
   Applying the Brinson-Hoodbeebower method to the risk side – decision-oriented decomposition of ex-ante risk (PDF File 195 KB)

21 June 2005

•  Programme (PDF File 88 KB)
• Presentation by S. Ramaswamy, Bank for International Settlements:
   Fixed income performance attribution: Problems we faced when translating theory to practice (PDF File 384 KB)

9 March 2005

•  Programme (PDF File 84 KB)
• Presentation by Sven Hendrich, Factset:
   Verschiedene Ansätze zur Attributionsanalyse (PDF File 354 KB)

7 October 2004

•  Programme (PDF File 91 KB)
• Presentation by Dr S. Illmer, Credit Suisse Asset Management:
   Decomposing the return of absolute performance oriented multi asset class portfolios (PDF File 104 KB)
• Presentation by Dimitri Senik, PwC:
   Neue EIPC Initiative "Guidance for Recipients of Investment Reporting" (GRIP) (PDF File 55 KB)

23 June 2004

•  Programme (PDF File 88 KB)
• Presentation by C. Bacon, Statpro:
   Evolution of Performance Attribution Methodologies (PDF File 347 KB)

25 February 2004

•  Programme (PDF File 93 KB)
• Presentation by Dr F. Härtel, LGT Capital Management AG:
   Das LGT Fixed Income Risikomodell (PDF File 244 KB)
• Presentation by Dr S. Illmer, Credit Suisse Asset Management:
   Decomposing Money-Weighted Rate of Return (PDF File 102 KB)

16 September 2003

•  Programme (PDF File 90 KB)
• Presentation by S. Wehner, Barra International:
   Risikozerlegung und Risikoattribution (PDF File 368 KB)
• Presentation by D. Senik, PwC:
   EIPC Guidance on Performance Attribution Presentation (PDF File 232 KB)

12 March 2003

•  Programme (PDF File 110 KB)
• Presentation by Marc Heemskerk, Ortec International:
   Decision-Based Performance & Risk Evaluation (PDF File 1482 KB)

20 November 2002

•  Programme (PDF File 111 KB)
• Presentation by Dr P. Wild, Deutsche Asset Management:
   Performance Analysis for Fixed Income Portfolios (PDF File 376 KB)
• Presentation by Dr P. Wild, Deutsche Asset Management:
   Problematik der Berechnung der Sharpe-Ratio (PDF File 185 KB)
• Presentation by R. Bühler, Pictet & Cie.:
   Attribution Standards (PDF File 138 KB)
• Presentation by D. Senik, PwC:
   Attribution Standards (PDF File 170 KB)

21 August 2002

•  Programme (PDF File 113 KB)
• Presentation by Dr S. Illmer, Credit Suisse Asset Management:
   Performance Attribution Standards: Jüngste Entwicklungen (PDF File 110 KB)
• Presentation by D. Senik, PwC:
   Problematik der Berechnung der Sharpe-Ratio (PDF File 152 KB)
• Presentation by M. McCarthy, Wilshire Associates:
   Issues in Security Level Performance Attribution and Measurement (PDF File 220 KB)

26 April 2002

•  Programme (PDF File 109 KB)
• Presentation by Dr S. Illmer, Credit Suisse Asset Management:
   Pitfalls in Using Performace Attribution (PDF File 93 KB)
• Presentation by D. Senik, PwC:
   Performance Attribution (PDF File 171 KB)