Portfolio Analysis and Performance Attribution
About this event
Performance attribution is one of those tasks that looks straightforward until someone asks why the numbers do not add up to the total return.
This workshop addresses the arithmetic and interpretation of portfolio performance analysis, with emphasis on equity long-only strategies. Topics include Brinson attribution, factor-based attribution, and the practical complications that arise when benchmarks rebalance, currencies move, or transaction timing creates noise in the data.
What participants work through
Each session moves between concept explanation and spreadsheet-based exercises. Participants receive pre-built templates and then modify them to handle edge cases: cash drag, corporate actions, and benchmark mismatches. The goal is to leave with models that work on real data, not just the clean examples from textbooks.
Risk decomposition
The second half of the workshop covers risk attribution — separating active risk into factor and idiosyncratic components. Participants calculate tracking error, information ratio, and active share for a sample portfolio. These metrics appear in almost every institutional mandate and yet are frequently misread or misreported.
A short session on presenting attribution results to non-technical stakeholders rounds out the programme. Analytical rigour does not communicate itself; the format and framing of a report determines whether the right conclusions get drawn.
- Brinson-Hood-Beebower attribution model
- Geometric vs arithmetic attribution linking
- Tracking error and active share calculation
- Reporting design for investment committees
Programme
Workshop Programme
- Session 1 — Return Attribution Foundations
- Brinson model: allocation, selection, and interaction effects. Why the interaction term causes confusion and how to handle it. Linking single-period attribution across multi-period returns.
- Session 2 — Practical Complications
- Cash drag and its effect on attribution results. Handling corporate actions in the return series. Currency attribution for multi-currency portfolios.
- Session 3 — Risk Decomposition
- Calculating tracking error from position-level data. Active share: calculation, interpretation, and common misuse. Factor vs idiosyncratic risk split.
- Session 4 — Reporting and Communication
- Attribution report formats used by institutional managers. Presenting results to non-quantitative investment committees. Group exercise: critique and reformat a sample attribution report.
Template files are provided in Excel format. All exercises use a constructed 20-stock equity portfolio benchmarked against a Canadian index.Workshop facilitator
Quick assessment
A brief question to help us understand where attendees stand before the session begins. Your answer helps tailor the discussion.