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Performance Measurement and Attribution Training Course

Three days of training with with numerous practical exercises

19 - 21 October 2020

Central London

Agenda Summary (access the full agenda to Performance Measurement and Attribution here)

  • Successfully Measuring Returns: The Methodologies and Industry Practices
    • What is Performance Measurement?
    • Money or Time-Weighted Returns
  • Benchmarks
    • What is a Good Benchmark?
    • Excess Returns
    • Attribution Analysis and its Importance to Ensure Effective Measurement Control
  • Globalisation of Presentation Standards
    • The Most Recent Developments and their Impact on Performance Measurement
    • Risk–Adjusted Performance Measurement
    • Further Attribution

Case Studies, Practical Exercises and Discussions

  • Calculate a range of time-weighted and money-weighted returns.
  • Discuss the implications and requirements of large cash flows
  • Calculate a range of customised indices
  • Calculate basic attribution effects. Discuss the impact of investment decisions. Debate typical attribution problems
  • Debate and resolve firm definition, composite allocation and discretion issues for a fictitious large global asset management firm
  • Calculate a range of risk-adjusted performance measures and use them to evaluate and rank the performance of five portfolios
  • Analyse and interpret fixed income attribution using the Van Breukelen method