Portfolio Performance Measurement and Attribution
Learn how to conduct portfolio performance measurement and attribution for portfolios comprising a wide variety of asset classes.
CPE Credits: 14
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 probability and statistics
- Familiarity with fixed income instruments and concepts
- Familiarity with equity valuation concepts
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
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
- Futures
- Swaps
- Options, warrants and convertible bonds
- Market neutral attribution: 130/30 funds
Module 4: Multi-Period Attribution
- Smoothing algorithms
- Multi-period geometric attribution