MEFMI Trains Sovereign Asset Managers on Performance Measurement and Attribution

The measurement and attribution of investment performance results has gained prominence in the last two decades as quantitative analytical techniques evolved, and the Global Investment Performance Standards (GIPS) gained widespread acceptance. For Sovereign Asset Managers, measurement and reporting of portfolio risks and returns helps them in evaluating the soundness of their investment policies. Through performance attribution, a sovereign asset manager can identify the key decisions driving investment results. The Investment Committee and Board can also use the performance attribution to verify that managers are implementing their investment programmes effectively and prudently. Where this evidence suggests weaknesses either in the investment policy or its implementation, changes can be made to assist the institution in its efforts to achieve long-term objectives.  In this regard, it is critical that asset managers become knowledgeable about how to measure performance results and identify key investment decisions that generated those results.

As part of efforts to foster sound investment management practices in sovereign asset management institutions, MEFMI organised a virtual workshop on Performance Measurement and Attribution, from 6 – 10 June 2022. The workshop aimed at enhancing sovereign asset managers’ capacity to apply standard methodologies for measuring investment performance results and identify investment decisions and actions that generated those results.

A total of 36 officials from 10 MEFMI member countries, namely Angola, Botswana, Lesotho, Malawi, Mozambique, Namibia, Rwanda, Tanzania, Uganda, and Zambia participated in the workshop. The workshop enhanced their understanding of how investment portfolio returns, and risks are calculated given a specific time horizon, and to explain portfolio performance relative to a benchmark, identify the sources of excess returns, and relate them to active decisions by portfolio managers. This knowledge is expected to result in the adoption of sound practices for calculating and presenting investment performance results.

The course was facilitated by a team of seven (7) resource persons, namely Dr. Carl Bacon (Independent consultant), Dr. Ulrike Elsenhuber (BIS), Dr. Wolfgang Gehlen (BIS), Dr. Iain McAra (CFA Institute), Mr. Mzi Njamela (Independent consultant), Mr. Itai Chirume (MMC Capital Zimbabwe) and Mr. Alan Letwabe (Deposit Protection Fund Uganda).

Prepared by Tiviniton Makuve