Risk Measurement, Risk Attribution, and Performance Appraisal

Learn risk measurement and attribution, as well as how to analyze portfolio characteristics to monitor managers’ implementation of their investment mandate, and about several performance appraisal measures for evaluating active manager’s skill. We strongly recommend you take the Performance Attribution course, which covers return measurement and return attribution, before taking this course.

As course content is derived from lessons in our Certificate in Investment Performance Measurement (CIPM^®) Program, it is not appropriate for those who have completed or are pursuing the CIPM designation.

• Learn the objectives of measuring and attributing risk
• Learn the common ways market risk is measured
• Learn about the relationship between risk attribution and return attribution
• Learn how to use portfolio characteristics analysis in performance evaluation
• Learn appraisal measures to use in evaluating active managers investment results

• Learn about the many aspects of risk and answers to the following questions:
  • How do non-financial and financial risks differ? What are their subtypes?
  • What are the objectives of risk measurement and risk attribution?
  • How can market risk be visually represented, and how are these representations interpreted?
  • What are the advantages of risk measures that quantify only downside risk?
  • How are drawdown and value at risk measures used?
  • What are the equity and bond characteristics related to risk?
  • How is risk attribution analysis interpreted?
  • How are risk and return attribution analyses related?
• Learn about useful techniques for examining an equity portfolio’s composition and relating the portfolio’s characteristics to its performance, three principal uses of portfolio characteristics analysis, and portfolio-level characteristic calculation issues.
• Learn how to assess whether an investment manager has generated sufficient returns to compensate for the risk taken, how the manager’s performance compares versus peers, and whether the manager’s performance displays investment skill, as opposed to luck, that can be sustained over time.

• Risk Measurement and Risk Attribution
• Equity Portfolio Characteristics in Performance Analysis
• Investment Performance Appraisal