Performance measurement and attribution analysis represent a critical part of the portfolio management process. It is an exciting and dynamic topic and its importance grows with the increased sophistication, maturity and awareness of the investing community. This increasingly-complicated task should be structured in a disciplined process.
Was the portfolio manager’s performance skillful, or lucky? This and many other questions are answered by attribution analysis. It plays a crucial role in identifying and quantifying the different factors behind any abnormal return, whether positive or negative. Factors including style, sector and stock allocation together with activity can be quantified over time in Excel spreadsheets. Other attributes related to industry, country, currency and more can be analyzed.
A disciplined performance measurement and attribution analysis is quite vital to many different participants. The following cases are just few examples:
- A fund manager investigating how well a particular strategy did over time.
- A pension fund or other clients examining different fund managers to manage its capital.
- Using attribution analysis as a fair basis for determining the level of performance fees.
- Trustees, advisors, or fund of funds monitoring the performance of different fund managers
- A fund manager using attribution analysis as a marketing tool for his fund.
The Global Investment Performance Standards (GIPS®) grew to be the benchmark in the investment community as far as the performance measurement is concerned. Yes, modeling these standards can be fairly complicated. It is imperative that market participants understand and apply these principles in the most practical way.
This intensive course will give you the hands-on experience of applying performance measurement and attribution analysis to 10 different hypothetical funds. The funds will be structured in a way that takes into account many different real life complications that participants face on a daily basis. The intention is to be in a position to apply all concepts by using the models, immediately upon completion of the program. For this reason we will start building our models from point zero where we will tabulate the data required for the analysis and then move all the way in the performance measurement process in the most dynamic way using advanced Excel tools and formulas. All models will have control points that allow retrieving performance reports for different months on a dynamic basis. Building and securing databases is an inherent part of the course. The course is based entirely on Excel models from the first to the last minute. You must bring your laptop.
- Understand different advanced Excel formulas and tools
- Building models from scratch and customize models to your needs
- Visualize and model the performance measurement cycle
- Build solid Equity attribution and GIPS models
- Have control cells that change the outcome of the whole model
WHO SHOULD ATTEND?
- Portfolio managers
- Pension fund trustees
- Performance and attribution analysts
- Fund of funds managers
- Fund accountants
- Personal finance advisors
- Risk controllers
- Financial modellers
- Compliance officers
- Operations managers in asset management
- Financial consultants
- Data analysts
- Client relationship managers in asset management
- Academic finance professors
- Financial attorneys
- Financial journalists
- Due diligence analysts
- Learn the necessary Excel tips for the performance measurement and attribution analysis
- Understand the meaning of dynamic modelling with examples
- Build a professional model to calculate returns of various funds over time dynamically
- Construct a model that will summarize a portfolio per time
- Understand the meaning and calculation of every globally-recognized risk measure
- Start from basic attribution to advanced attribution models
INTRODUCTION TO PERFORMANCE MEASUREMENT AND ATTRIBUTION ANALYSIS
Performance measurement process and the Excel flow chart from inputs to outputs
- Some useful advanced Excel formulas and tips
- Gathering and tabulating historical data inputs
- The Portfolio Monthly Summary Model
- Portfolio performancemodelling
- Performance database
- Risk management modeling
- Basic attribution modeling