E-learning course on Performance Measurement and Attribution

BACKGROUND
Asset managers must understand the drivers of their past performance to manage portfolios effectively.
Performance measurement gives insight into how well investment decisions and strategies achieved the
intended outcomes while attribution provides useful feedback about the drivers of portfolio performance
concerning return and risk. Owing to the role they play; performance measurement and attribution have
become an integral part of the investment decision-making process.
These developments, together with the widespread acceptance of Global Investment Performance
Standards (GIPS), are making performance analysis (performance measurement and attribution) a central
component of effective sovereign asset management. Performance analysis provides an overall evaluation
of the success of an investment management process in achieving its expected objective. It facilitates
asset owners to make better decisions about investment managers (including selection, continuance, and
dismissal) by providing relevant information to assess how their funds have been invested and the results of
the investment decisions taken. It also enables asset owners to quantify performance and risk contributions
that stem from the active portfolio management decisions and assign them to exposures towards the
various risk factors relative to the benchmark.
Given the importance of these topics for sovereign asset management, MEFMI will roll out an e-learning
course on Performance Measurement and Attribution to build capacity in these areas.
OBJECTIVES
To enable participants to:
1. Select appropriate benchmarks for a portfolio of sovereign assets;
2. Explore the GIPS;
3. Be able to measure and review the performance of an external fund manager;
4. Undertake attribution and risk analysis for a portfolio of sovereign assets; and
5. Understand ESG and sustainable investing.
CONTENT
The course will cover the following areas:
1. Fundamentals of Performance Measurement;
2. Performance benchmarks;

3. Global Investment Performance Standards for asset owners;
4. Performance Attribution;
5. Risk adjusted performance measurement and analysis; and
6. External Manager programs and considerations for sustainable investing.
TARGET GROUP
This course targets junior, mid-level and senior officials responsible for management and investment of
sovereign assets, performance and risk analysts at central banks, sovereign wealth funds and deposit
insurance schemes. Officials from securities and pension regulators are also encouraged to participate in
this E-learning course.