Portfolio Performance Measurement and Attribution

New York Institute of Finance

How long?

  • 2 days
  • in person, online

What are the topics?

New York Institute of Finance

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Who should attend

  • Portfolio managers and support personnel
  • wealth managers
  • investors
  • private bankers and financial advisors.

About the course

Learn how to conduct portfolio performance measurement and attribution for portfolios comprising a wide variety of asset classes.

This course is a component of the Advanced Portfolio Management Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills (data tables, lookup functions, solver, etc.)
  • Basic probablility and statistics
  • Familiarity with fixed income instruments and concepts
  • Familiarity with equity valuation concepts

*CURRICULUM *

Day 1

MODULE 1: INTRODUCTION

  • Why measure portfolio performance?
  • The measurement process
  • A brief history of asset returns
  • Review of quantitative tools

MODULE 2: 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

MODULE 3: BENCHMARKING

  • Desirable properties for benchmarks
  • Index calculation methodologies
  • Price weighted indices
  • Market capitalization indices
  • Equally weighted indices
  • Benchmark selection
  • Benchmark statistics

MODULE 4: 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 2

MODULE 1: PERFORMANCE ATTRIBUTION: FOUNDATIONS

  • Active vs. passive portfolio management
  • Attribution standards
  • Arithmetic attribution techniques
  • Geometric attribution techniques
  • Multi-currency attribution
  • Risk-adjusted attribution

MODULE 2: FIXED INCOME ATTRIBUTION

  • Duration attribution
  • Yield curve analysis and decomposition
  • Yield curve attribution

MODULE 3: PERFORMANCE MEASUREMENT AND ATTRIBUTION FOR DERIVATIVES

  • Futures
  • Swaps
  • Options, warrants and convertible bonds
  • Market neutral attribution: 130/30 funds

MODULE 4: MULTI-PERIOD ATTRIBUTION

  • Smoothing algorithms
  • Multi-period geometric attribution

WHAT YOU'LL LEARN

  • Calculate portfolio returns using a number of techniques
  • Select appropriate benchmarks for portfolios
  • Understand active and passive portfolio management strategies
  • Conduct comprhensive performance attribution for portfolios of all asset classes

Portfolio Performance Measurement and Attribution at New York Institute of Finance

From  $2,695

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Disclaimer

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