Investment Performance Measurement & Analysis

This two-day course is designed to provide delegates with an in-depth understanding of investment performance measurement techniques. Special cases such as derivatives and long/short portfolios are included along with performance appraisal and risk management. Special emphasis is placed on spread sheet analysis, modeling and real examples including modeling alternatives, their economic interpretation and potential value in practical applications.

Available for in-house delivery. Call +44 (0)1483 573150

Duration: Two days (9.00am to 5.00pm)
Location: In-house
Trainer: Andreas Steiner
Please contact us for a quotation


Portfolio Accounting

+ Basic accounting relationships between ending and beginning market values
+ Selected issues: the net-of-fee and gross-of-fee perspectives, trade date versus value date, currency aspects

Simple Returns

+ Why percentage returns?
+ Calculation of simple returns
+ Single-period and multi-period returns (chain-linking)
+ Average returns: arithmetic and geometric averages

Returns with Contributions

+ The impact of contributions
+ Money-Weighted Return: IRR and approximations
+ Time-Weighted Return: True TWR, Dietz and Modified Dietz approximations
+ Clarifying the relationship between MWR and TWR

Selected topics in applied return measurement

+ Position-level return calculations
+ Aggregating portfolio returns
+ Derivatives: Futures, options and swaps
+ Leverage and short positions

Investment Return Reporting and Presentation

+ Reporting investment performance: Internal and external clients
+ Industry standards: GIPS and others
+ Regulations: MiFiD

Performance Attribution Basics

+ Return contributions: calculation, the impact of transactions, chain-linking contributions
+ Active return: arithmetic and geometric
+ The difference between contribution to attribution analysis
+ Active investment management decisions
+ Attributing time-weighted and money-weighted returns

Introduction to Brinson Attribution

+ Deriving the Brinson decomposition and its economic interpretation
+ Understanding the interaction effect
+ Allocation with a hurdle rate
+ Multi-period attribution: cumulative attribution effects and alternatives
+ Handling portfolio and benchmark investment universe mismatches
+ Evaluating hierarchical investment decisions
+ Evaluating non-hierarchical investment decisions
+ Evaluating pure selection decisions
+ Conditional attribution effects


Advanced Brinson attribution

+ Long/short attribution
+ Multi-Manager attribution
+ International portfolios: Spot currency effects, expected and unexpected currency return components, strategic and tactical currency hedging, Karnosky/Singer attribution, currency overlays

Factor attribution and style analysis

+ Introduction to factor models
+ Multi-factor attribution
+ Style attribution
+ Hybrid models

Fixed income attribution

+ Bond valuation basics
+ Introduction to the yield curve
+ Fixed income return components
+ Modeling duration
+ Brinson-style fixed income attribution (van Breukkelen)
+ Commercial fixed income attribution models

Risk attribution

+ Introduction to measuring investment risk: a) Dispersion-based risk: Volatility and Tracking Error; b) Loss-based risk measures: VaR, CVaR, Maximum Drawdown and Drawdown-At-Risk
+ Volatility and tracking error decomposition
+ Tail risk attribution: Measuring contributions from non-normality, contributions from excess kurtosis and skewness

Risk-adjusted performance and its attribution

+ The link between risk and return
+ Traditional risk-adjusted measures: Sharpe and Information ratio, Treynor ratio, Alpha
+ Alternative measures: Sortino, Modified Sharpe ratio, Omega, Farinelli/Tibiletti Ratio
+ Attributing risk-adjusted returns: Fama decomposition, Ankrim decomposition, decompositions of Information and Sharpe ratios

Performance Appraisal

+ The importance of appraisal: For investors, investment managers and other stakeholders
+ Benchmarking: Value-weighted indices and alternatives, characteristics of good benchmarks
+ Peer analysis: current practice and potential biases
+ Performance measurement in the context of an investment management organization