Make sure this course is right for you.
Get unbiased reviews and personalized recommendations.
Who should attend
- Portfolio managers and support personnel
- wealth managers
- 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.
- 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
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
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
- 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
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.