Performance Measurement Attribution

Module 2 - Equity Attribution, Day 2 and Fixed Income Attribution

Virtual learning classes, approximately 4 hours each

Module 2: Equity Attribution, Day 2 & Fixed Income Attribution

• We will explain the difference between arithmetic and geometric excess returns, in basis points and money.
• We will also discuss the pros and cons of arithmetic vs. geometric excess returns.
• A conversion of the arithmetic Brinson-Fachler model to a geometric form will be covered, with comparison of results.
• We will contrast holdings-based and transaction-based attribution, including operational considerations.
• An in-depth look at why fixed income attribution models need to be different from equity attribution models will be covered, and we will distill the differences between stocks and bonds into five critical concepts that shape the attribution approaches used.
• A framework for classifying fixed income attribution models into three broad categories will be covered.
• Three fixed income attribution models will be covered:  Campisi, van Breukelen and McLaren.
• Detailed exercises and examples will be used to reinforce the concepts and math of all models covered.