Portfolio Performance Measurement and Attribution

New York Institute of Finance

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

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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