Background

Asset managers must understand the drivers of their past performance in order to manage portfolios effectively. Performance measurement gives insight into how well investment decisions and strategies achieved the intended outcome, while attribution provides useful feedback about the drivers of portfolio performance 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.

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, re-engagement, and termination) by providing relevant information to assess how their funds have been invested and the results of the investment decisions. It also enables asset owners to quantify performance and risk contributions which 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 make available an E-learning course on Performance Measurement and Attribution to build capacity in these areas. The course will also highlight concepts of Environment, Social and Governance (ESG) and sustainable investing and will also touch on aspects of external asset manager programs.

Objectives

The course aims to enable participants to:

• Select appropriate benchmarks for a portfolio of sovereign assets.
• Explore the Global Investment Performance Standards.
• Be able to measure and review the performance of an external fund manager.
• Undertake attribution and risk analysis for a portfolio of sovereign assets.
• Understand ESG and sustainable investing.

Course Content

This course covers:

• Fundamentals of Performance Measurement.
• Performance benchmarks.
• Global Investment Performance Standards for asset owners.
• Performance Attribution.
• Risk-adjusted performance measurement and analysis.
• 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.