040448 PR Performance-Analysis (MA) (2018W)

Performance analysis can be seen as one of the key tasks in asset management. Its aim is to measure performance and to break the selected performance measure down to the instrument or some aggregated level like countries, currencies, strategies, etc. in order to understand the risk- and performance drivers of a portfolio. Finally, when a portfolio is actively managed against a benchmark, attribution analysis explains the reasons and sources of out- and underperformance.

Course participants will learn to 1) measure performance, 2) perform a contribution analysis and 3) explain sources of out- and underperformance using state-of-the-art attribution methods. Moreover, students will learn how to link performance contributions over time, how to take derivatives such as forwards/futures and options into account, or how to calculate fx contributions. Other topics we will address might include: gross vs. net of fee performance, benchmarking & indexing issues, or performance reporting standards (GIPS).