Investment Performance Measurement, Risk & Attribution (ONLINE EVENT: March 23-26, 2026)

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 you 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.

Participation in this workshop requires a Laptop with Excel 2003 or a later version. We can provide a laptop if requested for an additional fee.

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 as a guide is made available for prospective attendees pre-workshop to attempt and gain initial familiarity with key concepts.

Course Content

Day 1 - Performance Returns

Objectives and Scope

Middle Office’ Environment

Portfolio Valuation to Performance Report
Evaluating Manager Performance - Options
Performance Attribution - Deconstructing the Value Add
Risk - Ranking Portfolios with Equal Performance

Performance Returns

Simple Returns - Absolute and Percentage

Definition, Source, 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

Benchmarking

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

GIPS

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 RiskPerformance Attribution

Review of Day 1

Review of Performance Reporting

Attribution

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

Other

Transactions Based vs Holdings Based Attribution

Source of Residuals
Smoothing for Residuals

Risk

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

Speaker

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.

In recent years he has focused on the Middle Office and out of this has produced a set of comprehensive Training Workshops which cover the business requirements of Investment Performance, Equity/Fixed Interest Attribution and Ex-Post/Ex-Ante Risk. The modules embody a unique training approach, refined through his experience of working with users, operations, development and technical staff at all levels over the years. This approach includes the use of case studies which start from ‘real, raw’ market data, practical systems’ tips and a sympathetic view of audience needs/pre-requisite experience in these potentially complex application areas.

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.