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Portfolio Performance Measurement & Attribution Analysis
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.
Performance return attribution is defined as quantifying the excess returns of the active decisions of the investment management process. In recent years the developments in performance measurement, standards, risk and attribution (particularly Fixed Income Attribution) have accelerated considerably. The Portfolio Performance Management & Attribution Analysis course brings all analysts, investors, risk managers and other stakeholders up to date with current developments.
Summary of course content
• 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
Who should attend this course?
• Pension fund trustees
• Portfolio managers
• Senior management
• Performance measurers
• Risk controllers
• Compliance staff
• Sales and marketing staff and operations staff
You will receive comprehensive course notes as well as copies of the Excel spreadsheet exercises for use after the course.
Computer Based Exercises
Delegates are required to bring their laptops to facilitate in-class studies and exercises.
- What is performance measurement?
- The performance measurement process
- Basic calculations
- Currency effect
- Time weighted or money weighted?
- Attributes of good benchmarks
- Peer groups, indexes or random portfolios?
- Index calculations
- Practical exercise: customised benchmark calculations
- Excess returns - geometric or arithmetic?
- Performance fees
- Attribution as a management tool
- The Brinson model
Practical exercise: be a portfolio manager for a year attribution exercise
- Why do it?
- Future governance
Measuring Portfolio Risk
- Risk types in asset management
- Risk xontrol
- Ex-post, ex-ante risk
- Absolute, relative and regression risk measures
- Sharpe ratio
- Information ratio
- Regression statistics
- Jensen’s alpha
- Fama decomposition
- GH1 & GH2
Practical exercise: portfolio evaluation
Risk-Adjusted Performance Measurement for Hedge Funds
- Skewness & kurtosis
- Bera- Jacque test
- Downside risk
- Sortino ratio
- Upside potential ratio
Practical exercise: detailed risk calculations from raw data
- Adjusted sharpe ratio
- Modified sharpe ratio
- Prospect ratio
- Sterling ratio
- Calmar ratio
- Burke ratio
- Sterling-calmar ratio
- Pain index
- Ulcer index
- Pain ratio
- Marin ratio
Practical exercise: risk-adjusted performance measurement for hedge funds
- Omega excess return
- Hurst index
- Effective risk control actions
- Risk infrastructure
- Multi-currency attribution
- Ankrim and Hensel
- Karnosky & Singer
- Practical exercise: multi-currency geometric attribution exercise
- Attribution issues
- The evolution of attribution methodologies
- Security level attribution
- Multi-level Attribution
- Smoothing algorithms
Practical exercise: team discussion which is the best method using previous exercise data
Fixed Income Attribution
- Campesi framework
- Weighted duration (Van Breukelen) attribution
- Yield curve decomposition
Practical exercise: weighted duration attribution
- Market neutral
- 130/30 funds
Accompanying free book: practical portfolio performance measurement & attribution, Carl Bacon, John Wiley & Sons Ltd
Course summary and close
Our Tailored Learning Offering
Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.
If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.
We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.
We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.
We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:
- Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
- Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
- Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
- Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
- Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
BiographyThe Course Director joined StatPro Group plc as Chairman in April 2000. StatPro provides sophisticated data and software solutions to the asset management industry. He also runs his own consultancy business providing advice to asset managers on risk and performance measurement.Prior to that, he was Director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.A founder member of both the Investment Performance Council and GIPS®, he is ex-Chair of the GIPS Executive Committee, ex-Chair of both the Verification and Interpretation sub-Committees. He is a member of the UK Investment Performance Committee and a member of the Advisory Board of the Journal of Performance Measurement. He is also the founder of “The Freedom Index Company”.He is also the author of “Practical Portfolio Performance Measurement & Attribution” (Wiley), “Practical Risk-Adjusted Performance Measurement” (Wiley), numerous articles and papers and editor of “Advanced Portfolio Attribution Analysis”. He holds a B.Sc. Hons. in Mathematics from Manchester University.