Portfolio Performance Measurement Training Course

Participants can assess whether source data and valuation practices support reliable performance results.

• Position, transaction, valuation and cash-flow data required for return calculations
• Clean price, dirty price and accrued interest treatment for bonds
• Independent price verification and fair-value hierarchy for illiquid holdings
• Corporate actions adjusted for splits, dividends, rights issues and mergers
• Data lineage from custodian records through accounting systems to reports
• Reconciliations between portfolio accounting, custodian statements and investment books

Participants can calculate holding-period returns using beginning values, ending values and cash flows.

• Holding-period return calculated from opening value, closing value and income
• External cash flows distinguished from dividends, coupons and internal transfers
• Modified Dietz return applied when daily portfolio valuations are unavailable
• Daily valuation conventions for subscriptions, withdrawals and large cash movements
• Gross-of-fee and net-of-fee return calculation differences explained
• Return calculation audit trail documented with source values and assumptions

Participants can link periodic returns and present annualised results without misleading comparisons.

• Geometric linking used to combine daily, monthly and quarterly returns
• Arithmetic averages contrasted with geometric averages for investment performance
• Annualised returns calculated from cumulative performance over multiple years
• Calendar-year, fiscal-year and since-inception reporting periods defined consistently
• Compounding effects illustrated for gains, losses and recovery requirements
• Return series checked for missing valuations, outliers and discontinuities

Participants can select and calculate return measures appropriate to manager assessment and investor experience.

• Time-weighted return isolates manager decisions from client cash-flow timing
• Internal rate of return measures investor experience and capital deployment
• Modified internal rate of return assumptions tested against actual cash flows
• Private-market cash-flow patterns assessed using IRR and multiple metrics
• Return methodology selected according to mandate, asset class and reporting purpose
• Conflicting time-weighted and money-weighted results explained to stakeholders

Participants can apply consistent treatment of costs, taxes and currencies in reported performance.

• Management fees, performance fees and transaction costs classified correctly
• Gross, net and net-net returns defined for client reporting
• Withholding taxes and reclaimable taxes treated within return calculations
• Local-currency returns translated into base currency using appropriate exchange rates
• Currency hedging gains and costs separated from underlying asset returns
• Fee timing effects tested for pooled funds and segregated mandates

Participants can build a controlled workbook that calculates and documents core portfolio return measures.

• Workbook structure separates raw data, calculations, checks and management outputs
• Input controls flag missing valuations, duplicate flows and invalid dates
• Linked return calculations built for portfolio, benchmark and asset-class levels
• Assumption register records valuation timing, fee basis and currency conventions
• Exception log captures corrections, approvals and report restatement decisions
• Version control protects calculation integrity across reporting cycles

Participants can design benchmarks that reflect portfolio objectives, investable opportunity sets and mandate constraints.

• Benchmark purpose distinguished between manager evaluation, policy control and peer comparison
• Market indices assessed for coverage, liquidity, currency and reconstitution rules
• Custom benchmarks constructed from asset-class weights and approved market indices
• Policy benchmark rebalancing methods compared using periodic and tolerance approaches
• Benchmark changes governed through documented rationale, approval and effective dates
• Cash benchmark selection aligned with liquidity portfolio objectives and duration

Participants can calculate and interpret equity attribution results for sector and security decisions.

• Brinson attribution separates allocation, selection and interaction effects
• Top-down attribution compares portfolio and benchmark sector weights
• Bottom-up attribution traces security returns within sectors and industries
• Active return reconciled to allocation, selection and interaction components
• Sector classification consistency tested between portfolio and benchmark holdings
• Contribution analysis ranks holdings by return impact and active weight

Participants can interpret multi-period attribution without overstating the effect of individual periods.

• Single-period attribution limits identified when analysing extended reporting periods
• Carino linking combines periodic attribution effects into multi-period results
• Menchero linking preserves arithmetic attribution relationships across reporting periods
• Path dependency explained for changing weights, returns and benchmark composition
• Cumulative active return reconciled with linked attribution effect totals
• Multi-period commentary distinguishes persistent decisions from short-term market effects

Participants can explain fixed-income active returns using duration, curve, spread and selection analysis.

• Fixed-income return decomposed into income, price change and roll-down
• Duration contribution measures sensitivity to parallel yield curve movements
• Yield curve attribution separates level, slope and curvature positioning
• Spread contribution identifies credit, sector and security spread effects
• Carry and roll-down effects distinguished from active duration decisions
• Benchmark duration and maturity buckets tested against portfolio exposures

Participants can analyse returns across asset classes, policy weights and currency exposures.

• Strategic asset allocation compared with tactical asset allocation decisions
• Multi-asset attribution separates policy return from implementation return
• Currency attribution decomposes local asset, currency and hedging effects
• Overlay returns measured separately from underlying portfolio management returns
• Derivatives exposure incorporated using market-value and notional-based conventions
• Liquidity allocations assessed against policy weights and benchmark cash returns

Participants can assess whether portfolio returns were sufficient for the risks and active positions taken.

• Sharpe ratio compares excess return with total return volatility
• Information ratio relates active return to tracking error
• Jensen alpha estimated against systematic market exposure using regression
• Beta, R-squared and residual risk interpreted for manager evaluation
• Downside deviation and Sortino ratio assess harmful volatility separately
• Rolling periods used to test consistency of risk-adjusted performance

Participants can form evidence-based conclusions about portfolio manager results and mandate compliance.

• Performance appraisal integrates return, risk, attribution, fees and mandate compliance
• Peer groups selected cautiously using comparable objectives and risk profiles
• Style drift identified through holdings, exposures and benchmark-relative characteristics
• Manager skill distinguished from market beta, factor exposure and luck
• Capacity constraints considered when evaluating sustained historical outperformance
• Due diligence questions framed from performance anomalies and attribution evidence

Participants can explain composite reporting requirements and apply core GIPS principles to performance presentation.

• GIPS standards purpose, scope and ethical reporting principles explained
• Discretionary portfolios defined using documented investment management criteria
• Composite membership based on strategy, mandate and portfolio objectives
• Composite returns calculated using asset-weighted portfolio performance results
• Carve-outs, pooled funds and terminated portfolios treated under stated policies
• Required GIPS disclosures identified for composite and pooled fund presentations

Participants can produce concise performance reports that support informed investment oversight decisions.

• Performance report structure connects objectives, results, drivers and actions
• Executive summaries state active return, key attribution effects and implications
• Tables reconcile portfolio return, benchmark return and active return
• Charts selected for cumulative returns, drawdowns, attribution and risk trends
• Narrative commentary distinguishes fact, interpretation, uncertainty and recommendation
• Investment committee packs document decisions, challenges and follow-up actions

Participants can investigate performance exceptions and maintain documented controls over corrections and restatements.

• Tolerance checks identify implausible returns, benchmarks and attribution results
• Root-cause analysis traces exceptions through prices, transactions and classifications
• Material errors assessed for client notification and performance restatement
• Control evidence retained for reviews, audits and external verification
• Segregation of duties separates calculation, review, approval and publication
• Monthly control calendar assigns data, review and reporting accountabilities

Participants can build, review and present a complete performance measurement and attribution pack for a portfolio mandate.

• Portfolio mandate translated into return objectives, benchmarks and reporting definitions
• Validated valuations and cash flows used for period return calculations
• Benchmark-relative equity, fixed-income or multi-asset attribution prepared and reconciled
• Risk-adjusted measures assessed alongside returns, fees and mandate constraints
• Performance exceptions, assumptions and data limitations documented for review
• Investment committee report presented with findings, actions and governance recommendations