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Training - Master performance attribution models: concepts, methods and advanced practices

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Specialized training in asset management

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Objective of the training

The aim of this two-day training is to provide participants with an in-depth understanding of the key concepts involved in performance attribution for diversified and bond portfolios. During the course, you will acquire advanced skills in performance attribution methods and techniques. This include Brinson-type models, rate factor models, the impact of Futures and Forex, and the integration of ESG criteria.

Topics covered during training

Performance attribution

  • Review of methods for calculating returns, TWR, MWR, and IRR
  • Reminder of the different active return chaining methodologies (GRAP, Carino, Menchero)
  • Brinson, Hood and Beebower model 
  • Brinson and Fachler model 
  • Singer and Karnowski model 
  • Factorial rate allocation models: 
    • Carry (Roll Down, accretion, and coupon) 
    • Curve effect (Shift - Twist) 
    • Credit effect (market - issuer) 

 

 

  • Integration of Futures and Forex in attribution models 
  • Impact of rebalancing strategies on attributions 
  • Impact of hedging strategies 
  • Impact of ESG strategies and Greenhouse gas (GHG) emissions 

 

 

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Who should attend?

  • Performance analysts
  • Customer reporting managers
  • Risk managers
  • Customer relationship managers and financial investment advisors 
  • Audit, inspection, control and compliance officers 
  • Middle office managers 
  • Portfolio managers 
  • Anyone interested in the impact of ratios on performance analysis. 

Practical details 

Format: inter-company, face to face

Language: English or French

Fee: the cost of this course is €1200 Excl VAT. Training materials, lunch and drinks are included in the price. 

Contact support team: Sophie Tahir, Marketing Manager | +32 (0) 497/50.11.92

Prerequisites

No need to bring your computer. To take full advantages of this training include: 

  • Concepts of different financial instruments
  • Concepts of portfolio management 
  • Professional experience in finance-related fields 

While not strictly required, these prerequisites enhance participants' understanding and maximize training benefits. Participants with limited experience in the financial field could also benefit from the training, although they may require more time to grasp fundamental concepts. 

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Upcoming sessions

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Master performance attribution models: concepts, methods and advanced practices

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Geneva

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June 17 and 18, 2024

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Brussels

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September 17 and 18, 2024

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Please note that

  • Your registration will be complete as soon as payment is received. As places are limited, payment must be done later than 15 days before the start date of the course for which you are registered. 
  • Cancellation with a full refund can be made up to one week before the start of the course. Cancellation received after this period of time will be charged €350 Excl VAT.