Performance Measurement & Attribution AB Maximus Training
  • Location Kuala Lumpur, Malaysia

Workshop Overview & Objectives

This practical course is designed to give a thorough understanding of the fundamentals of performance measurement, ranging from basic return calculation, choosing appropriate benchmarks, and attribution techniques.

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.

Who should attend?

  • Performance Measurers
  • Risk controllers
  • Compliance Officers
  • Portfolio Managers
  • Operations Staff, Pension Fund Trustees

The primary target is the middle office of asset management firms ‐ but anybody involved in the asset management industry including pension funds and hedge funds would find this of value

Training Methodology

  • Workshop style, with exercises and case studies

Workshop Outline

Introduction to Performance Measurement

  • What is Performance Measurement?
  • Basic Calculations
  • Currency effect
  • Time Weighted or Money Weighted?
  • The Evolution of Return Methodologies

Benchmarks

  • Attributes of good benchmarks
  • Peer Groups or Indexes
  • Index calculations

Excess Returns

  • Geometric or Arithmetic
  • Performance Fees
  • Basic Attribution

Attribution as a Management Tool

  • The Brinson Models
  • Geometric Attribution
  • Advanced Attribution
  • Attribution issues
  • The evolution of attribution methodologies
  • Security level attribution

Why is Fixed Income Attribution different?

  • Transactions, holding and returns based attribution
  • Smoothing algorithms
  • Carino
  • Menchero
  • GRAP
  • Frongello

AB Maximus & Co Pte Ltd was founded in 1996 as a training consultancy specialising in Chartered Financial Analyst (CFA) preparatory classes. Our company is one of the leading providers of professional training and continuing education programmes for capital markets professionals in Southeast Asia. We also organise investor education and financial literacy programmes in the region.

See all AB Maximus Training courses

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