Portfolio Performance Measurement & Attribution Analysis

Course Info

Length: 1 Week

City: Amsterdam

Type: In Classroom

Available Dates

  • Apr-15-2024

    Amsterdam

  • May-20-2024

    Amsterdam

  • June-17-2024

    Amsterdam

  • July-15-2024

    Amsterdam

  • Aug-19-2024

    Amsterdam

  • Sep-16-2024

    Amsterdam

  • Oct-21-2024

    Amsterdam

  • Nov-18-2024

    Amsterdam

  • Dec-16-2024

    Amsterdam

Dates in Other Venues

  • Apr-01-2024

    Paris

  • Apr-01-2024

    Singapore

  • Apr-08-2024

    Barcelona

  • Apr-08-2024

    Dubai

  • Apr-15-2024

    London

  • Apr-22-2024

    Paris

  • Apr-22-2024

    Istanbul

  • Apr-29-2024

    Singapore

  • Apr-29-2024

    Kuala Lumpur

  • May-06-2024

    Paris

  • May-06-2024

    Singapore

  • May-13-2024

    Barcelona

  • May-13-2024

    Dubai

  • May-20-2024

    London

  • May-27-2024

    Istanbul

  • May-27-2024

    Kuala Lumpur

  • June-03-2024

    Paris

  • June-03-2024

    Singapore

  • June-10-2024

    Barcelona

  • June-10-2024

    Dubai

  • June-17-2024

    London

  • June-24-2024

    Istanbul

  • June-24-2024

    Kuala Lumpur

  • July-01-2024

    Singapore

  • July-01-2024

    Paris

  • July-08-2024

    Dubai

  • July-08-2024

    Barcelona

  • July-15-2024

    London

  • July-22-2024

    Paris

  • July-22-2024

    Istanbul

  • July-29-2024

    Kuala Lumpur

  • July-29-2024

    Singapore

  • Aug-05-2024

    Paris

  • Aug-05-2024

    Singapore

  • Aug-12-2024

    Barcelona

  • Aug-12-2024

    Dubai

  • Aug-19-2024

    London

  • Aug-26-2024

    Kuala Lumpur

  • Aug-26-2024

    Istanbul

  • Sep-02-2024

    Paris

  • Sep-02-2024

    Singapore

  • Sep-09-2024

    Barcelona

  • Sep-09-2024

    Dubai

  • Sep-16-2024

    London

  • Sep-23-2024

    Paris

  • Sep-23-2024

    Istanbul

  • Sep-30-2024

    Singapore

  • Sep-30-2024

    Kuala Lumpur

  • Oct-07-2024

    Paris

  • Oct-07-2024

    Singapore

  • Oct-14-2024

    Barcelona

  • Oct-14-2024

    Dubai

  • Oct-21-2024

    London

  • Oct-28-2024

    Istanbul

  • Oct-28-2024

    Kuala Lumpur

  • Nov-04-2024

    Singapore

  • Nov-04-2024

    Paris

  • Nov-11-2024

    Dubai

  • Nov-11-2024

    Barcelona

  • Nov-18-2024

    London

  • Nov-25-2024

    Istanbul

  • Nov-25-2024

    Kuala Lumpur

  • Dec-02-2024

    Paris

  • Dec-02-2024

    Singapore

  • Dec-09-2024

    Barcelona

  • Dec-09-2024

    Dubai

  • Dec-16-2024

    London

  • Dec-23-2024

    Paris

  • Dec-23-2024

    Istanbul

  • Dec-30-2024

    Kuala Lumpur

  • Dec-30-2024

    Singapore

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