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Description

Performance Measurement and Attribution: Calculate, Decompose and Comment

Calculate comparable performance and explain the gap to the benchmark, sleeve by sleeve

  • 2 days — 14 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

A client asks why the portfolio is still trailing its index. The portfolio manager points to the market. The relationship manager points to fees. Nobody can say how much of the gap comes from asset allocation and how much from security selection. Without a shared method, the discussion stays subjective.

These two days establish the foundations of performance measurement. You calculate time-weighted and then money-weighted returns. You select a benchmark that is consistent with the mandate. You decompose outperformance between allocation, selection and currency effects. Finally, you produce a management commentary supported by figures that stand up to scrutiny.

Learning objectives

  • Calculate time-weighted and money-weighted performance
  • Select a benchmark consistent with the investment mandate
  • Decompose a performance gap between allocation and selection
  • Interpret the main risk-adjusted performance ratios
  • Write a management commentary supported by attribution results

What makes this programme different

Step-by-step spreadsheet calculations based on real portfolio series
Full attribution of a multi-sleeve equity portfolio
Drafting of a client commentary reviewed collectively

Programme

1Measuring Performance

The right calculation depends on the question asked

  • Time-weighted performance
  • Money-weighted performance
  • Treatment of cash flows and fees
  • Annualisation and compounding of periods

2The Comparison Framework

Without a relevant index, the gap means nothing

  • Selecting and building a benchmark
  • Composite indices and weightings
  • Comparison universes and peer groups
  • Mandate constraints and benchmark consistency

3Performance Attribution

Break down the gap in order to explain it

  • Allocation effect and selection effect
  • Interaction effect and reading the results
  • Attribution on a fixed income portfolio
  • Currency effect on an international portfolio

4Risk and Reporting

Relating performance to the risk taken

  • Volatility, tracking error and information ratio
  • Risk-adjusted performance ratios
  • Standardised presentation of results
  • Management commentary and client education

Who is it for

Professionals in asset management firms and private banks, in particular performance analysts, risk controllers, portfolio managers and client reporting teams.

Prerequisites

A working knowledge of financial calculation basics and familiarity with the main asset classes.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.