Portfolio Performance Measurement and Attribution Analysis
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Portfolio Performance Measurement and Attribution Analysis Course
Introduction:
Having access to the right tools for measuring and evaluating the performance of your portfolio is crucial for making informed business decisions. That's why we offer a comprehensive portfolio performance measurement and attribution service that provides you with the ideal solution to gain valuable insights into your performance strategy and achieve transparency regarding the drivers of your investment performance.
In today's dynamic and competitive business environment, understanding how your portfolio is performing and identifying the factors that contribute to its success are essential. Our service equips you with powerful tools and analytics to accurately measure and assess the performance of your portfolio. By leveraging our sophisticated performance measurement framework, you can effectively track key performance indicators, identify trends, and evaluate the success of your investment strategies.
Furthermore, our attribution analysis capabilities allow you to delve deeper into the drivers of your portfolio's performance. You can identify the specific factors, such as asset allocation, security selection, and market timing, that influence your investment outcomes. This level of transparency empowers you to make data-driven decisions, refine your investment approach, and optimize the performance of your portfolio.
By partnering with us and utilizing our portfolio performance measurement and attribution service, you gain a competitive edge in the market. Our comprehensive tools and analytical capabilities provide you with a holistic understanding of your portfolio's performance, enabling you to make well-informed business decisions and drive success.
Don't miss out on the opportunity to access the right tools for measuring and evaluating your portfolio's performance. With our service, you can gain valuable insights, enhance transparency, and optimize your investment strategies for sustainable growth. Experience the difference our portfolio performance measurement and attribution service can make in your business decisions.
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 measurers
- 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
- 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