Background

In a low yield environment, pressure mounts on asset (sovereign reserves, wealth funds and deposit insurance fund) managers to look for alternative ways of enhancing returns on their portfolios through strategic asset allocation and diversification. For asset managers to effectively manage their portfolios, they must understand the drivers (i.e., the what, why and how) of their past performance. Performance measurement and attribution provides the answers to these questions. Attribution provides useful feedback about how investment actions played out relative to expected outcomes with respect to return and risk. Owing to the role they play, performance measurement and attribution have become an integral part of the investment decision-making process.

This e-learning course will provide an overview of the performance measurement and attribution as key ingredients in the investment decision-making process and engagement of external fund managers. In addition, it introduces the Global Investment Performance Standards (GIPS) as the international standard for investment performance measurement. Overall, the course is expected to improve the participants’ knowledge and help to strengthen the portfolio management process at their respective institutions.

Objectives

The course aims to enable participants to:

1. Select appropriate benchmarks for a portfolio of sovereign assets;
2. Be able to measure and review the performance of an external fund manager; and

• Undertake attribution and risk analysis for a portfolio of sovereign assets.

Course Content

1. Overview of performance measurement and attribution analysis;
2. The Global Investment Performance Standards (GIPS);

• The role of benchmarks and indices in performance measurement;

1. Calculating excess returns;
2. Types and approaches to performance attribution; and
3. Risk measurement and analysis.

Target Group

Junior, Mid-level and Senior officials responsible for management and investment of sovereign assets at central banks, sovereign wealth funds and deposit insurance schemes. Officials from securities and pension regulators are also encouraged to attend the workshop.