Portfolio Performance Measurement & Attribution Analysis

Course Info

Date: Apr-25-2023

Length: 1 Week

City: Madrid

Fees: 4,300

Type: In Classroom

Available Dates

  • July-18-2022

    Madrid

  • Aug-08-2022

    Madrid

  • Sep-26-2022

    Madrid

  • Oct-10-2022

    Madrid

  • Oct-24-2022

    Madrid

  • Nov-07-2022

    Madrid

  • Nov-21-2022

    Madrid

  • Dec-12-2022

    Madrid

  • Dec-26-2022

    Madrid

  • Dec-27-2022

    Madrid

  • Jan-24-2023

    Madrid

  • Feb-28-2023

    Madrid

  • Mar-28-2023

    Madrid

  • Apr-25-2023

    Madrid

  • May-30-2023

    Madrid

  • June-13-2023

    Madrid

Dates in Other Venues

  • July-04-2022

    Kuala Lumpur

  • July-04-2022

    London

  • July-04-2022

    Dubai

  • July-11-2022

    Istanbul

  • July-11-2022

    Paris

  • July-11-2022

    Zurich

  • July-11-2022

    Amsterdam

  • July-11-2022

    Singapore

  • July-11-2022

    Barcelona

  • July-11-2022

    Munich

  • July-25-2022

    London

  • July-25-2022

    Dubai

  • Aug-08-2022

    London

  • Aug-08-2022

    Dubai

  • Aug-22-2022

    Zurich

  • Aug-22-2022

    Amsterdam

  • Aug-22-2022

    Singapore

  • Aug-29-2022

    Kuala Lumpur

  • Aug-29-2022

    Istanbul

  • Aug-29-2022

    Paris

  • Aug-29-2022

    London

  • Aug-29-2022

    Dubai

  • Aug-29-2022

    Barcelona

  • Aug-29-2022

    Munich

  • Sep-05-2022

    Paris

  • Sep-05-2022

    London

  • Sep-05-2022

    Dubai

  • Sep-05-2022

    Zurich

  • Sep-05-2022

    Amsterdam

  • Sep-05-2022

    Barcelona

  • Sep-05-2022

    Munich

  • Sep-12-2022

    Istanbul

  • Sep-19-2022

    Kuala Lumpur

  • Sep-26-2022

    London

  • Sep-26-2022

    Dubai

  • Sep-26-2022

    Singapore

  • Oct-03-2022

    Kuala Lumpur

  • Oct-03-2022

    Paris

  • Oct-03-2022

    Amsterdam

  • Oct-03-2022

    Barcelona

  • Oct-03-2022

    Munich

  • Oct-10-2022

    Istanbul

  • Oct-10-2022

    Dubai

  • Oct-10-2022

    Zurich

  • Oct-10-2022

    Singapore

  • Oct-17-2022

    Paris

  • Oct-17-2022

    London

  • Oct-17-2022

    Amsterdam

  • Oct-17-2022

    Barcelona

  • Oct-17-2022

    Munich

  • Oct-24-2022

    Kuala Lumpur

  • Oct-24-2022

    Singapore

  • Oct-31-2022

    Istanbul

  • Oct-31-2022

    London

  • Oct-31-2022

    Dubai

  • Oct-31-2022

    Zurich

  • Nov-07-2022

    Istanbul

  • Nov-07-2022

    Dubai

  • Nov-07-2022

    Singapore

  • Nov-14-2022

    Kuala Lumpur

  • Nov-14-2022

    Paris

  • Nov-14-2022

    London

  • Nov-14-2022

    Zurich

  • Nov-14-2022

    Amsterdam

  • Nov-14-2022

    Barcelona

  • Nov-14-2022

    Munich

  • Nov-21-2022

    Istanbul

  • Nov-21-2022

    Singapore

  • Nov-28-2022

    Kuala Lumpur

  • Nov-28-2022

    Paris

  • Nov-28-2022

    London

  • Nov-28-2022

    Dubai

  • Nov-28-2022

    Zurich

  • Nov-28-2022

    Amsterdam

  • Nov-28-2022

    Barcelona

  • Nov-28-2022

    Munich

  • Dec-05-2022

    Kuala Lumpur

  • Dec-05-2022

    Paris

  • Dec-05-2022

    London

  • Dec-05-2022

    Dubai

  • Dec-05-2022

    Zurich

  • Dec-05-2022

    Amsterdam

  • Dec-05-2022

    Barcelona

  • Dec-05-2022

    Munich

  • Dec-12-2022

    Istanbul

  • Dec-12-2022

    Singapore

  • Dec-19-2022

    Kuala Lumpur

  • Dec-19-2022

    Zurich

  • Dec-20-2022

    Paris

  • Dec-20-2022

    Kuala Lumpur

  • Dec-20-2022

    Zurich

  • Dec-20-2022

    Amsterdam

  • Dec-20-2022

    Singapore

  • Dec-20-2022

    Barcelona

  • Dec-20-2022

    Munich

  • Dec-26-2022

    Istanbul

  • Dec-26-2022

    Paris

  • Dec-26-2022

    London

  • Dec-26-2022

    Dubai

  • Dec-26-2022

    Amsterdam

  • Dec-26-2022

    Singapore

  • Dec-26-2022

    Barcelona

  • Dec-26-2022

    Munich

  • Dec-27-2022

    Istanbul

  • Dec-27-2022

    London

  • Dec-27-2022

    Dubai

  • Dec-27-2022

    Zurich

  • Dec-27-2022

    Amsterdam

  • Dec-27-2022

    Singapore

  • Jan-03-2023

    Kuala Lumpur

  • Jan-10-2023

    Istanbul

  • Jan-10-2023

    London

  • Jan-10-2023

    Dubai

  • Jan-17-2023

    Paris

  • Jan-17-2023

    Zurich

  • Jan-17-2023

    Amsterdam

  • Jan-17-2023

    Singapore

  • Jan-17-2023

    Barcelona

  • Jan-17-2023

    Munich

  • Jan-31-2023

    London

  • Jan-31-2023

    Dubai

  • Feb-07-2023

    Kuala Lumpur

  • Feb-07-2023

    London

  • Feb-07-2023

    Dubai

  • Feb-14-2023

    Istanbul

  • Feb-21-2023

    Paris

  • Feb-21-2023

    Zurich

  • Feb-21-2023

    Amsterdam

  • Feb-21-2023

    Singapore

  • Feb-21-2023

    Barcelona

  • Feb-21-2023

    Munich

  • Feb-21-2023

    Munich

  • Feb-28-2023

    London

  • Feb-28-2023

    Dubai

  • Mar-07-2023

    Kuala Lumpur

  • Mar-07-2023

    London

  • Mar-07-2023

    Dubai

  • Mar-14-2023

    Istanbul

  • Mar-21-2023

    Paris

  • Mar-21-2023

    Zurich

  • Mar-21-2023

    Amsterdam

  • Mar-21-2023

    Singapore

  • Mar-21-2023

    Barcelona

  • Mar-21-2023

    Munich

  • Mar-21-2023

    Munich

  • Mar-28-2023

    London

  • Mar-28-2023

    Dubai

  • Apr-04-2023

    Kuala Lumpur

  • Apr-04-2023

    London

  • Apr-04-2023

    Dubai

  • Apr-11-2023

    Istanbul

  • Apr-18-2023

    Paris

  • Apr-18-2023

    Zurich

  • Apr-18-2023

    Singapore

  • Apr-18-2023

    Amsterdam

  • Apr-18-2023

    Barcelona

  • Apr-18-2023

    Munich

  • Apr-18-2023

    Munich

  • Apr-25-2023

    London

  • Apr-25-2023

    Dubai

  • May-02-2023

    Istanbul

  • May-02-2023

    Paris

  • May-02-2023

    Zurich

  • May-02-2023

    Amsterdam

  • May-02-2023

    Barcelona

  • May-02-2023

    Munich

  • May-02-2023

    Munich

  • May-09-2023

    London

  • May-09-2023

    Dubai

  • May-30-2023

    Kuala Lumpur

  • May-30-2023

    London

  • May-30-2023

    Dubai

  • May-30-2023

    Singapore

  • June-06-2023

    London

  • June-06-2023

    Dubai

  • June-06-2023

    Singapore

  • June-13-2023

    Kuala Lumpur

  • June-20-2023

    Istanbul

  • June-20-2023

    Paris

  • June-20-2023

    Barcelona

  • June-20-2023

    Munich

  • June-27-2023

    London

  • June-27-2023

    Dubai

  • June-27-2023

    Zurich

  • June-27-2023

    Amsterdam

Course Details

Course Outline

5 days course

 

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

Course Video