Course description
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.
Portfolio performance measurement is the quality control element of the investment decision process. It provides the necessary information to enable asset managers and clients to assess exactly how their money has been invested and the results of the process. Performance measurement is a core part of the decision process providing essential information to several key stakeholders.
The Portfolio Performance Management & Attribution Analysis course brings all analysts, investors, risk managers and other stakeholders up to date with the latest developments, teaching you a number of skills that will enable you to achieve better results
Upcoming start dates
Upcoming start dates
Suitability - 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 measurers
- Risk controllers
- Compliance staff
- Sales and marketing staff
- Operations staff
Outcome / Qualification etc.
By the end of this Portfolio Performance Measurement & Attribution Analysiscourse 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
- Analyse 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
Training Course Content
Day 1
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
Day 2
Benchmarking
- Desirable properties for benchmarks
- Index calculation methodologies
- Price weighted indices
- Market capitalization indices
- Equally weighted indices
- Benchmark selection
- Benchmark statistics
Day 3
Adjusting for Risk
- Return distributions
- 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
Day 4
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
Day 5
Performance Measurement and Attribution for Derivatives
- Futures
- Swaps
- Options, warrants and convertible bonds
- Market neutral attribution: 130/30 funds
- Multi-period Attribution
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London Premier Centre
London Premier Centre is a UK leading training provider based in London and specialises in international short courses. Our inspiring, comprehensive portfolio of more than 400 professional development courses and seminars covers a wide range of professions from Administration, Leadership,...