Performance Attribution and Risk-Adjusted Returns Training Course

Introduction

Performance attribution and risk-adjusted return analysis are crucial for investment professionals seeking to evaluate portfolio performance beyond absolute returns. This comprehensive training course is designed to equip participants with the skills to dissect portfolio returns, identify sources of alpha, and assess performance against appropriate risk benchmarks. By integrating both quantitative and qualitative analysis, this course ensures that participants can make informed, data-driven decisions to optimize investment outcomes.

Ideal for asset managers, portfolio analysts, investment advisors, and institutional investors, this five-day course delivers a deep dive into advanced attribution techniques and risk-return measurement tools. With practical sessions and case studies, attendees will learn to effectively apply frameworks such as Sharpe Ratio, Information Ratio, and multi-factor attribution models to real-world portfolios.

Duration: 5 days

Target Audience:

  • Portfolio managers and analysts
  • Asset and wealth management professionals
  • Risk and compliance officers
  • Investment strategists and advisors
  • Financial analysts in pension funds and endowments

Course Objectives:

  • Understand key concepts and methodologies of performance attribution
  • Measure and interpret risk-adjusted returns using industry standards
  • Differentiate between sources of portfolio performance (allocation vs. selection)
  • Utilize attribution results for portfolio strategy and client communication
  • Integrate risk attribution into performance analysis for more robust insights

Course Modules

Module 1: Introduction to Performance Attribution

  • Overview of portfolio performance evaluation
  • Understanding absolute vs. relative returns
  • Role of benchmarks and reference portfolios
  • Importance of attribution in investment analysis
  • Common challenges in attribution reporting

Module 2: Brinson Attribution Models

  • Allocation effect and selection effect explained
  • Interaction effect and geometric attribution
  • Single vs. multi-period attribution
  • Practical applications and limitations
  • Case study: equity portfolio attribution

Module 3: Fixed Income Attribution

  • Specific challenges in fixed income attribution
  • Yield curve and duration-based effects
  • Credit quality, spread, and sector attribution
  • Analytical vs. risk-based models
  • Case study: bond fund performance

Module 4: Multi-Factor and Style Attribution

  • Introduction to factor models in attribution
  • Style-based vs. holdings-based models
  • Risk factor exposures (size, value, momentum)
  • Regression techniques and data requirements
  • Evaluating manager skill with factor models

Module 5: Risk-Adjusted Return Measures

  • Sharpe Ratio, Treynor Ratio, and Information Ratio
  • Sortino and Omega ratios for downside risk
  • Comparing risk-adjusted metrics across portfolios
  • Limitations and assumptions of each measure
  • Communicating performance with risk context

Module 6: Advanced Attribution Techniques

  • Multi-asset and currency attribution
  • Derivatives and overlay strategy attribution
  • Performance attribution in alternative investments
  • Automation and software tools in attribution
  • Custom benchmarks and peer comparison

Module 7: Integrating Risk and Performance Attribution

  • Linking performance attribution with risk systems
  • Value-at-Risk (VaR) and Conditional VaR approaches
  • Marginal and component risk contribution
  • Scenario analysis and stress testing
  • Comprehensive performance-risk dashboarding

Module 8: Reporting and Stakeholder Communication

  • Designing intuitive attribution reports
  • Tailoring communication for different audiences
  • Compliance and GIPS reporting considerations
  • Using attribution in client presentations and reviews
  • Best practices in performance transparency and disclosure

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

 

Performance Attribution And Risk-adjusted Returns Training Course in Timor-Leste
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