Master Portfolio Performance Measurement & Attribution

Course Description

This comprehensive 5-day course provides in-depth knowledge and practical skills in portfolio performance measurement and attribution analysis. Participants will learn advanced techniques for evaluating investment performance, conducting attribution analysis, and effectively communicating results to stakeholders. The course covers key concepts, methodologies, and best practices in performance measurement and attribution across various asset classes.

Learning Objectives

• Master portfolio return calculation methodologies and performance metrics
• Understand and apply various attribution models for different asset classes
• Learn to select appropriate benchmarks and conduct meaningful performance comparisons
• Develop skills in interpreting and presenting performance and attribution results
• Gain insights into industry standards and regulatory requirements for performance reporting
• Explore advanced topics in multi-asset class attribution and risk-adjusted performance analysis

Course Modules

Day 1: Foundations of Performance Measurement

• Introduction to performance measurement and its importance
• Time-weighted vs. money-weighted returns
• Calculating and interpreting various performance metrics
• Data management and quality control in performance measurement

Day 2: Attribution Analysis Fundamentals

• Overview of attribution analysis and its objectives
• Single-period vs. multi-period attribution
• Brinson models and their variations
• Attribution analysis for equity portfolios

Day 3: Fixed Income and Multi-Asset Attribution

• Fixed income attribution models
• Yield curve analysis in attribution
• Multi-asset class attribution challenges and solutions
• Currency effects in global portfolios

Day 4: Risk-Adjusted Performance and Advanced Topics

• Risk-adjusted performance measures (Sharpe ratio, Information ratio, etc.)
• Factor-based attribution analysis
• Attribution for alternative investments
• Performance attribution for derivatives and complex instruments

Day 5: Benchmarking, Reporting, and Industry Standards

• Benchmark selection and customization
• Effective presentation of performance and attribution results
• Global Investment Performance Standards (GIPS) overview
• Regulatory requirements and best practices in performance reporting

Practical Wins for Participants

• Ability to implement robust performance measurement processes
• Skills to conduct detailed attribution analysis across various asset classes
• Expertise in interpreting and communicating performance results effectively
• Knowledge to ensure compliance with industry standards and regulations