Course Outline:

Module 1: Introduction to Portfolio Performance Measurement

• Overview of Portfolio Performance Measurement
  • Importance and objectives
  • Performance measurement vs. performance attribution
• Performance Measurement Metrics
  • Time-weighted vs. money-weighted returns
  • Total return, annualized return, and other performance metrics
• Data Sources and Calculation Methodologies
  • Data requirements and sources
  • Calculation methodologies for portfolio returns

Module 2: Benchmark Selection and Benchmarking Techniques

• Importance of Benchmarking
  • Role of benchmarks in performance evaluation
  • Benchmark selection criteria
• Benchmarking Methodologies
  • Absolute vs. relative benchmarks
  • Construction and characteristics of common benchmarks
• Performance Evaluation Frameworks
  • Risk-adjusted performance measures (Sharpe ratio, Treynor ratio)
  • Peer group analysis and relative performance evaluation

Module 3: Performance Attribution Models

• Introduction to Performance Attribution
  • Definition and objectives
  • Types of performance attribution models (ex-post vs. ex-ante)
• Decomposition of Portfolio Returns
  • Brinson-Fachler decomposition
  • Equity attribution models (style, sector, security selection)
• Fixed Income Attribution Models
  • Duration-based attribution
  • Yield curve and spread-based attribution

Module 4: Advanced Performance Attribution Techniques

• Multi-Asset Class Attribution
  • Attribution models for mixed asset portfolios
  • Challenges and considerations in multi-asset attribution
• Risk Factor Attribution
  • Risk factor models and risk decomposition
  • Factor-based attribution analysis
• Attribution for Alternative Investments
  • Hedge fund attribution models
  • Private equity and real estate attribution techniques

Module 5: Regulatory Environment and Compliance Considerations

• Regulatory Requirements for Performance Measurement
  • Compliance with GIPS standards
  • SEC regulations and reporting requirements
• Ethical Considerations in Performance Measurement
  • Accuracy, transparency, and fairness in performance reporting
  • Avoiding conflicts of interest and misrepresentation