IMAC Lecture - Portfolio Performance Measurement & Attribution

Nadima El-Hassan  |  University of Technology Sydney

About this Lecture

This lecture instructs IMAC candidates on the fundamentals of investment portfolio performance measurement and attribution, including:

  • calculating investment returns - time-weighted and dollar-weighted returns, and arithmetic and geometric mean;
  • risk-adjusted returns and return ratios;
  • risk measures including variance and standard deviation, beta and downside deviation;
  • peer group comparison;
  • benchmark comparisons using performance attribution analysis;
  • Portfolio Opportunity Distribution (POD);
  • calculating the total risk of a portfolio usi...

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