• What performance attribution is and how it's used.

CONTRIBUTION

• As a form of attribution/alternative formulas.

EQUITY ATTRIBUTION

• The first two laws of attribution.

• A review of the common equity models:

Brinson Hood Beebower and Brinson-Fachler.

GEOMETRIC VS. ARITHMETIC

• What's the difference?

• Pros and cons of each.

HOLDINGS VS. TRANSACTIONS-BASED

• How do they differ?

• Pros and cons of each.

FIXED INCOME ATTRIBUTION

• Fixed income concepts and why equity models don't work for bonds.

• A review of various approaches to fixed income attribution.

AGENDA DAY 2

CURRENCY ATTRIBUTION

• A review of two approaches to global attribution, including the Karnosky-Singer model.

OTHER ATTRIBUTION CONCEPTS

• Additional ways to gain insights into the source of the return.

LINKING

• The third law of attribution.

• A review of five approaches to linking effects over time,

including the Cariño (Logarithmic) and Menchero (Optimized) approaches.

USING THE RESULTS

• How to use the attribution analysis.

OTHER FACTORS TO CONSIDER

• Daily vs. Monthly/Sector vs. Security.

• Attribution standards needed?

FINDING AN ATTRIBUTION SYSTEM

• The special needs of attribution.

THE FUTURE OF ATTRIBUTION

• To what do we look forward?

In addition to receiving a student guide that contains the details of the class presentation, each student receives supporting reference material to take back with them including:

• A complimentary copy of The Handbook of Performance Attribution by David Spaulding (TSG Publishing, 2009)
• Performance Attribution and Risk Measurement Reference Guide, a handy pocket reference.
• Copies of selected articles from The Journal of Performance Measurement^®.

and because this is a hands on class, with student excercises, you'll receive a calculator too

Upon completion of this course you will earn
15 CPE Credits
and/ or
12 PD Credits

The Spaulding Group, Inc. is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for 12 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.