Portfolio Performance Measurement and Attribution Analysis
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Portfolio Performance Measurement and Attribution Analysis Course
Introduction:
Access to the right tools to measure and evaluate your portfolio’s performance is critical to your business decisions. With our portfolio performance measurement and attribution service, you’ll have the right solution to gain insight into your performance strategy and transparency into your investment performance drivers.
Course Objectives:
By the end of this Portfolio Performance Measurement & Attribution Analysis course you will be able to:
- Understand the concept of performance measurement
- Learn the different ways to derive returns (and why the results can vary)
- Understand how cashflows affect returns
- Analyze the principles of benchmarking
- Ascertain why risk measurement and management are important and what the measures mean
- Discern the role of attribution, the challenges in getting it right, and how it should be used
- Understand the differences and difficulties of fixed income attribution
- Learn the status and application of the different international performance measurement standards
Who Should Attend?
This Portfolio Performance Measurement & Attribution Analysis training course is especially suitable for professionals in the following areas:
- Portfolio managers
- Senior management
- Performance measures
- Risk controllers
- Compliance staff
- Sales and marketing staff
- Operations staff
Course Outlines:
Introduction
- Why measure portfolio performance?
- The measurement process
- A brief history of asset returns
- Review of quantitative tools
The Mathematics of Portfolio Returns
- Arithmetic vs. geometric rates of return
- Value (money) weighted rates of return
- ICAA, simple and modified Dietz methods
- Time-weighted rates of return
- Hybrid methodologies
- Linked modified Dietz and linked IRR
- Portfolio component returns
Benchmarking
- Desirable properties for benchmarks
- Index calculation methodologies
- Price weighted indices
- Market capitalization indices
- Equally weighted indices
- Benchmark selection
- Benchmark statistics
Adjusting for Risk
- Return distributions
- The market price of risk
- Risk measures (Drawdown, VaR, CVaR, etc.)
- Risk-adjusted returns
- Selecting a risk measure
- Risk-adjusted performance measures for equity and fixed-income
- Risk-adjusted performance measures for hedge funds
Performance Attribution: Foundations
- Active vs. passive portfolio management
- Attribution standards
- Arithmetic attribution techniques
- Geometric attribution techniques
- Multi-currency attribution
- Risk-adjusted attribution
Fixed Income Attribution
- Duration attribution
- Yield curve analysis and decomposition
- Yield curve attribution
Performance Measurement and Attribution for Derivatives
- Futures
- Swaps
- Options, warrants, and convertible bonds
- Market neutral attribution: 130/30 funds
- Multi-period Attribution
