Workshop 1 – Day1 

Introduction to Performance Measurement & Attribution

Workshop 1 – Registration time: 8:30 am  |  Workshop time: 9:00am – 5:00 pm

Each Course is limited to 30 participants.

Course objective

This course is designed as an introduction to new performance analysts and for those requiring a refresher of the basic principles.

Pre-requisites

Participants will be required to have a basic knowledge of how to use Excel spreadsheets.

If possible participants should bring their own laptop with excel loaded. Attendees will be asked to work in teams of two or three on excel based practical exercises.

Course agenda

Introduction

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

Benchmarks

• Attributes of good benchmarks
• Peer Groups, indexes, random portfolios, ETFs or Target returns
• Index calculations
• Practical exercise (Customised benchmark calculations)
• Excess Returns Geometric or arithmetic
• Performance Fees

Basic Attribution

• Attribution as a management tool
• The Brinson Models
• Geometric Attribution
• Practical exercise (Be a portfolio manager for a year attribution exercise)

Performance Standards

• Background
• Detail
• Why do it?
• Verification