Performance Evaluation III - DrWaleKesh

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Portfolio Performance Evaluation 17 Topics | 1 Quiz

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a. explain the following components of portfolio evaluation and their interrelationships: performance measurement, performance attribution, and performance appraisal

b. describe attributes of an effective attribution process

c. contrast return attribution and risk attribution; contrast macro and micro attribution

d. describe returns-based, holdings-based, and transactions-based performance attribution, including advantages and disadvantages of each

e. interpret the sources of portfolio returns using a specified attribution approach

f. interpret the output from fixed-income attribution analyses

g. discuss considerations in selecting a risk attribution approach

h. identify and interpret investment results attributable to the asset owner versus those attributable to the investment manager

i. discuss uses of liability-based benchmarks

j. describe types of asset-based benchmarks

k. discuss tests of benchmark quality

l. describe problems that arise in benchmarking alternative investments

m. describe the impact of benchmark misspecification on attribution and appraisal analysis

n. calculate and interpret the Sortino ratio, appraisal ratio, upside/downside capture ratios, maximum drawdown and drawdown durations

o. describe limitations of appraisal measures and related metrics

p. evaluate the skill of an investment manager

Curriculum Questions

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Investment Manager Selection 11 Topics | 1 Quiz

Lesson Content

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a. describe the components of a manager selection process, including due diligence

b. contrast Type I and Type II errors in manager hiring and continuation decisions

c. describe uses of returns-based and holdings-based style analysis in investment manager selection

d. describe uses of the upside capture ratio, downside capture ratio, maximum drawdown, drawdown duration, and up/down capture in evaluating managers

e. evaluate a manager’s investment philosophy and investment decision-making process

f. evaluate the costs and benefits of pooled investment vehicles and separate accounts

g. compare types of investment manager contracts, including their major provisions and advantages and disadvantages

h. describe the three basic forms of performance-based fees.

i. analyze and interpret a sample performance-based fee schedule.

Curriculum Questions

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Overview of Global investment Performance Standards (GIPS) 12 Topics | 1 Quiz

Lesson Content

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a. discuss the objectives and scope of the GIPS standards and their benefits to prospective clients and investors, as well as investment managers

b. explain the fundamentals of compliance with the GIPS standards, including the definition of the firm and the firm’s definition of discretion

c. discuss requirements of the GIPS standards with respect to return calculation methodologies, including the treatment of external cash flows, cash and cash equivalents, and expenses and fees

d. explain requirements of the GIPS standards with respect to composite return calculations, including methods for asset weighting portfolio returns

e. explain the meaning of “discretionary” in the context of composite construction and, given a description of the relevant facts, determine whether a portfolio is likely to be considered discretionary

f. explain the role of investment mandates, objectives, or strategies in the construction of composites

g. explain requirements of the GIPS standards with respect to composite construction, including switching portfolios among composites, the timing of the inclusion of new portfolios in composites, and the timing of the exclusion of terminated portfolios from composites

h. explain requirements of the GIPS standards with respect to presentation and reporting

i. explain the conditions under which the performance of a past firm or affiliation may be linked to or used to represent the historical performance of a new or acquiring firm

j. explain the recommended valuation hierarchy of the GIPS standards

k. discuss the purpose, scope, and process of verification

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About Instructor

Olawale Keshinro

33 Courses