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Investment Performance Measurement, Attribution & Risk (London, United Kingdom - October 5-6, 2020) -
[July 30, 2020]

Investment Performance Measurement, Attribution & Risk (London, United Kingdom - October 5-6, 2020) -

The "Investment Performance Measurement, Attribution & Risk" training has been added to's offering.

The course is very practical and conducted by an expert with over 20 years of practical experience. You will have a chance to work on real-life examples and participate in discussions and Q&As. You will receive a comprehensive set of course materials and course certificate on completion.

What will you learn

  • Calculate returns and use key metrics
  • Understand the benchmarks and indices and use them to measure performance
  • Calculate and measure risk
  • Track errors in performance
  • Apply portfolio attribution
  • Understand and apply Global Investment Performance Standards
  • Present performance results and prepare reports

This is a comprehensive, hands-on business introduction to the concepts and application of Investment Performance Reporting, Equity Attribution and Ex-Post Risk. Although it includes brief coverage of Fixed Interest Attribution, Multi-Currency Attribution and Ex-Ante Risk each of these more complex applications is given separate, dedicated one-day coverage in other workshops.

The workshop includes numerous case studies which work from raw data. It also includes coverage of the data management implications of Performance and Attribution implementations.

By attending this workshop you will gain an understanding of Performance, Attribution and Risk to allow to follow through from Portfolio Valuation to Performance Report. In addition, you will be able to take the applications forward to get to the next stage' performance analysis, client reporting and user problem-solving.

Pre-arrival requirements. It is assumed that prospective attendees will have:

  • A reasonable understanding of securities processing and client reporting, valuation reporting especially
  • Average competency with MS Excel (2003 version as a minimum).

Investment Performance, Attribution and Risk are complex topics. Each includes concepts distinct from, for example, Investment Reporting, Accounting or Fund Pricing. Accordingly, a simple spreadsheet with guide is made available for prospective attendees pre-workshop to attempt and gain initial familiarity with key concepts.

Key Topics Covered:

Day 1 - Performance Returns

Objectives and Scope

  • Middle Office' Environment
  • Portfolio Valuation to Performance Report
  • Evaluating Manager Performance - the Options
  • Performance Attribution - Deconstructing the Value Add
  • Risk - Ranking Portfolios with Equal Performance

Performance Returns

  • Simple Returns - Absolute and Percentage
  • Definition, Source (News - Alert), Relevance of Performance Flows
  • Data and Signage Implications for Flows
  • Modified Dietz Methodology
  • Money and Time - Weighted Returns
  • Flow Weighting
  • Returns Period to Date
  • Sector and Portfolio - Level Returns
  • Review Distance - Learning Exercise

Consolidation Case Study: Daily Security and Cash Returns

Alternative Methodologies

  • Internal Rate of Return
  • Linked Internal Rate of Return
  • Bank Administration Institute

Annualised vs Cumulative Returns

  • Annualised and Cumulative Reporting Options
  • Annualising Cumulative Returns

Impact of Fees

  • Regulatory Requirements
  • System Implications
  • Storing Returns Both Gross and Net of Fees

Currency impact

  • Local, Currency and Base Returns
  • Algorithms
  • Deriving the Third Return


  • Types of Benchmark
  • Relevant Benchmark
  • Excess Return
  • Arithmetic vs Geometric Comparison
  • Drifting
  • Price, Market Capitalisation and Equal Weighted Calculations

Case Study: Benchmark Creation from Indices

Contribution Analysis

  • Contribution as Position Weight * Position Return
  • Reconciliation - Total Contributions to Portfolio Return
  • Multi-Period Implications


  • Overview of Global Investment Performance Standards
  • Self-Regulatory with Independent Verification
  • 2020 Exposure Draft
  • Compliance - Musts' and Recommendations'
  • Day 1 Review, Questions and Close
  • Open Forum

Day 2 - Performance Attribution and Risk

Performance Attribution

  • Review of Day 1
  • Review of Performance Reporting


  • Concepts
  • Equity Attribution
  • Fixed Interest Attribution
  • Workshop Focus on Equity Attribution

Equity Attribution - Top-Down', Single Period

  • Deconstructing the Value Add
  • Brinson Additive Benchmark-Relative Methodology
  • Attribution Elements - Top-Down' Approach
  • Single Currency Approach
  • Total of Elements Reconciliation to Excess Return
  • Geometric Alternative
  • What if?' Analysis of Attribution Elements

Case Study Equity Attribution - Top Down

Equity Attribution - Bottom Up' Alternative, Single Period

  • Attribution Elements - Bottom-Up' Approach
  • Extend Case Study Equity Attribution to Bottom-Up Approach
  • Multi-Period Attribution
  • Bottom-Up Approach
  • Arithmetic vs Geometric Approach gives Variances
  • Attribution Smoothing' Removes Variances
  • Smoothing Algorithms

Case Study Attribution Smoothing: Frongello Algorithms

Introduction to Multi-Currency Attribution

  • Currency Attribution Element
  • Introduction to
  • Naiive' Currency Attribution
  • Full' Multi-Currency Attribution Options
  • Karnosky and Singer Methodology


  • Transactions Based vs Holdings Based Attribution
  • Source of Residuals
  • Smoothing for Residuals


  • Concepts
  • Ex-Post Risk
  • Ex-Ante Risk
  • Workshop Focus on Ex-Post Risk

Statistical Concepts

  • Standard Deviation
  • Correlation
  • The Capital Assets Pricing Model
  • Case Study Part 1 - Standard Deviation

Ex-Post - Key Absolute Measures

  • Sharpe Ratio
  • Treynor Measure
  • Jensen's Alpha
  • Drawdown
  • Case Study Part 2 - Absolute Measures

Ex-Post - Key Relative Measures

  • Tracking Error
  • Information Ratio

Case Study Part 3: Relative Measures

Questions and Close


Paul has over 25 years asset management industry business consultancy and professional training experience. This has encompassed all three of the traditional Offices' - Front, Middle and Back/Investment Accounting - so he has a unique understanding of the inter-Office dependencies and data flows.

Paul's cross-industry consultancy and training experience has encompassed more than a dozen major hands-on implementation projects involving organisations both large and small - such as BNP Paribas Securities Services, Swiss Re, AIMCo, Riyad and NCB Banks and AXA Wealth. He has designed and rolled out, across 6 of the 7 continents, a Middle Office Product Training Programme for a Global Software House involving both physical and virtual classrooms as delivery mediums

For more information about this training visit

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