This comprehensive course provides detailed coverage of investment performance measurement and attribution techniques, focusing on the methodologies used to evaluate portfolio returns and identify the sources of performance. Participants will learn to calculate and interpret performance metrics, conduct attribution analysis, and implement Global Investment Performance Standards (GIPS). The curriculum covers time-weighted and money-weighted returns, risk-adjusted performance measures, and multi-level attribution frameworks across various asset classes. Through practical exercises and case studies, learners will develop the skills to provide accurate performance reporting and meaningful insights to investment stakeholders.
Performance Measurement and Attribution
Banking, Insurance and Financial Services
October 25, 2025
Introduction
Objectives
Upon completion of this course, participants will be able to:
- Calculate and interpret performance returns using different methodologies
- Conduct performance attribution analysis across asset classes
- Implement Global Investment Performance Standards (GIPS)
- Analyze risk-adjusted performance measures
- Develop comprehensive performance reports
- Identify sources of portfolio outperformance and underperformance
- Apply performance measurement to different investment strategies
- Navigate regulatory requirements for performance reporting
- Utilize performance measurement software and systems
Target Audience
- Performance Measurement Analysts
- Portfolio Managers
- Investment Operations Staff
- Compliance Officers
- Wealth Managers
- Investment Consultants
- Financial Analysts
- Risk Management Professionals
Methodology
- Performance calculation exercises
- Attribution analysis case studies
- GIPS compliance scenarios
- Reporting design workshops
- System implementation exercises
- Peer review sessions
Personal Impact
- Enhanced performance measurement skills
- Improved analytical capabilities
- Stronger technical knowledge
- Better reporting abilities
- Enhanced compliance understanding
Organizational Impact
- Improved performance reporting accuracy
- Enhanced regulatory compliance
- Better investment decision support
- Increased client confidence
- Reduced reporting errors
Course Outline
Unit 1: Performance Measurement Fundamentals
Basic Concepts- Time-weighted vs money-weighted returns
- Modified Dietz method calculation
- Daily valuation principles
- Composite construction guidelines
Unit 2: Return Calculation Methods
Methodologies- Arithmetic vs geometric returns
- Linked internal rate of return
- Simple and modified Dietz methods
- Daily time-weighted returns
- Cash flow impact on returns
- Handling corporate actions
- Foreign currency considerations
- Fee and expense calculations
Unit 3: Risk-Adjusted Performance
Performance Ratios- Sharpe ratio and variations
- Information ratio calculation
- Treynor measure application
- Jensen's alpha analysis
- Standard deviation and volatility
- Downside risk measures
- Value at risk applications
- Maximum drawdown analysis
Unit 4: Performance Attribution
Equity Attribution- Brinson model framework
- Allocation and selection effects
- Interaction effect analysis
- Multi-currency attribution
- Yield curve effects
- Spread change analysis
- Sector allocation effects
- Security selection impact
Unit 5: GIPS Standards
Compliance Requirements- GIPS standards overview
- Composite construction rules
- Disclosure requirements
- Verification process
- Firm definition considerations
- Performance presentation guidelines
- Record keeping requirements
- Marketing and reporting compliance
Unit 6: Reporting and Analysis
Report Development- Performance report design
- Benchmark selection and construction
- Peer group analysis
- Presentation best practices
- Style analysis techniques
- Performance persistence testing
- Attribution over multiple periods
- Contribution analysis
Unit 7: Technology and Systems
Implementation Framework- Performance system selection
- Data quality management
- Automation opportunities
- System integration considerations
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