Portfolio Performance Measurement & Attribution

Euromoney Learning Solutions

What are the topics?

Euromoney Learning Solutions


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Who should attend

  • Pension fund trustees
  • Portfolio managers
  • Senior management
  • Performance measurers
  • Risk controllers
  • Compliance staff
  • Sales and marketing staff and operations staff

About the course

Get ahead with market driven insights for performance measurement

A three day practical course, delivered remotely over 6 two-hour sessions, designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, benchmark construction, basic attribution analysis, advanced attribution for derivative instruments, alternative strategies, fixed income and multi-currency, to risk-adjusted performance measures.

Through remote lectures, interactive discussion, practical exercises, you will be able to:

  • Understand the concepts of performance measurement
  • Learn the different ways to derive returns (and why the results can vary)
  • Comprehend how cash flows affect the returns
  • Analyse the principles of benchmarking
  • Ascertain why risk measurement and control are important and what the measures mean
  • Discern the role of attribution, the challenges in getting it right, and how it should be used
  • Understand the impact and uses of derivative instruments
  • Appreciate the differences and difficulties of Fixed Income Attribution


Introduction and returns

  • What is performance measurement?
  • The performance measurement process
  • Basic Calculations
  • Currency effect
  • Time Weighted or Money weighted?
  • Timing of cash flow
  • The evolution of return methodologies
  • Practical exercise (Return calculations for an Emerging Markets portfolio)

Benchmarks, performance fees and standards

  • Benchmarks
  • Attributes of good benchmarks
  • Peer Groups, Indexes, Random Portfolios, Target Returns or ETFs?
  • Index construction
  • Customised Indexes
  • Excess Returns - Geometric or arithmetic?
  • Performance Fees
  • Standards
  • Background to GIPS
  • Why do it?
  • 2020 update   Basic Attribution

  • Basic Attribution

  • Attribution as a management tool

  • The Brinson Mode

    • Brinson, Hood & Beebowe
    • Brinson & Fachler
    • Interaction

Geometric Attribution

Practical exercise (Be a portfolio manager for a year attribution exercise)

  • Attribution issues
    • The evolution of attribution methodologies
    • Security level attribution
    • Transactions, holding and returns based attribution
    • Extremely large cash flows
    • Abnormal returns
    • Sector weights

Further Attribution

  • Multi-currency attribution
    • Karnosky & Singer
    • Bacon
  • Fixed Income Attribution
  • Duration
    • Macaulay
    • Macaulay-Weil
    • Modified
    • Effective
    • Convexity
  • Methodologies
    • Weighted Duration (Van Breukelen) Attribution
    • Campisi Framework
    • Yield curve decomposition

Practical Exercise (Weighted Duration attribution)

  • Derivatives
    • Forwards
    • Futures
    • Swaps
    • Options
    • “The Greeks”
  • Alternative Attribution
    • Market Neutral
    • 130/30 Funds
    • Leverage
    • Futures
  • Multi-asset Attribution

Simple Risk-adjusted Performance Measurement

  • Measuring Portfolio Risk
  • Risk types in asset management
  • Risk Control
  • Simple risk Measures
    • Ex-post, Ex-ante
    • Mean absolute deviation
    • Variance, standard deviation & tracking error
    • Annualised risk
    • Bessel’s correction
    • Sharpe ratio
    • Information Ratio
  • Regression Statistics
    • Jensen’s alpha
    • Beta
    • Covariance
    • Correlation
    • R2
    • Fama decomposition
    • Fama-French 3 factor model
  • Risk-adjusted Return
    • M2 & adjusted M2
    • GH1 & GH2

Practical Exercise (Portfolio Evaluation)

Advanced Risk Measures

  • Return Distributions
  • Skewness & Kurtosis
  • Bera- Jacque Test
  • Hurst Index
  • Bias Ratio
  • K ratio
  • Adjusted Sharpe Ratio


  • Sterling ratio
  • Calmar ratio
  • Burke ratio
  • Sterling-Calmar ratio
  • MAR ratio
  • Pain index
  • Ulcer index
  • Pain ratio
  • Martin ratio

Higher & Lower Partial Moments

  • Downside risk
  • Sortino ratio
  • Omega
  • Upside Potential ratio
  • Kappa (Sortino-Satchell ratio)
  • Volatility skewness
  • Farinelli-Tibiletti Ratio

Value at Risk

  • Historical simulation, Monte Carlo simulation or parametric
  • Modified VaR
  • Conditional VaR, Expected Shortfall, Tail loss
  • Tail risk
  • Return to VaR
  • Modified Sharpe Ratio
  • Conditional Sharpe Ratio
  • Tail ratio
  • Potential Upside
  • Rachev ratio

A Periodic Table of Risk measures


The Four Dimensions of Performance Concluding remarks


Carl Bacon

The Course Director joined StatPro Group plc as Chairman in April 2000. StatPro provides sophisticated data and software solutions to the asset management industry. He also runs his own consultancy business providing advice to asset managers on risk and performance measurement.Prior to that, he w...

Videos and materials

Portfolio Performance Measurement & Attribution at Euromoney Learning Solutions

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Full disclaimer.

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