PERFORMANCE MEASUREMENT ATTRIBUTION

AGENDA DAY 1

 

PERFORMANCE ATTRIBUTION CONCEPTS

• What performance attribution is and how it's used.

CONTRIBUTION

• As a form of attribution/ alternative formulas

EQUITY ATTRIBUTION

• The first two laws of attribution
• A review of the three common models, including Brinson, Hood, Beebower and Brinson, Fachler

GEOMETRIC VS. ARITHMETIC

• What's the difference?
• Pros and cons of each

HOLDINGS VS. TRANSACTIONS-BASED

• How do they differ?
• Pros and cons of each

FIXED INCOME ATTRIBUTION

• Fixed income concepts and why equity modles don't work for bonds
• A review of an approach to fixed income attribution

In addition to receiving a student guide that contains the details of the class presentation, each student receives supporting reference material to take back with them including:

• A complimentary copy of Investment Performance Attribution by David Spaulding (McGraw-Hill, 2003)
• Performance Attribution and Risk Measurement Reference Guide, a handy pocket reference.
• Copies of selected articles from The Journal of Performance Measurement®.
• and because this is a hands on class, with student excercises, you'll receive a calculator too!

AGENDA DAY 2

Receive 15 CPE Credits for attending this Two-day class

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