Portfolio Performance Attribution: TWR, Benchmarks & Brinson Allocation/Selection
Measure a fund's return the way professionals do (time-weighted with sub-period linking, money-weighted with XIRR), compare it with its benchmark through active return, tracking error and information ratio, and explain the difference with Brinson-Fachler allocation, selection and interaction: 8 graded labs on one fictional equity fund. Educational only, not investment advice.
The first lesson is free — no account needed.
About this course
A portfolio performance attribution course that measures and explains the returns of one fictional equity fund in a spreadsheet, for investment analysts, CFA candidates and anyone who reads a fund report. You link sub-period returns around every cash flow into a time-weighted return, calculate the money-weighted return with XIRR and see why it differs, compare monthly fund and benchmark returns with active return, tracking error and the information ratio, aggregate holdings into a sector table with SUMIF and SUMPRODUCT, measure the Brinson-Fachler allocation, selection and interaction effects until they explain the active return to the last basis point, link quarterly effects so the annual report ties out and finish with an attribution report and chart. GIPS® is a registered trademark of CFA Institute, which is not affiliated with this course. Educational only, not investment advice. The first lab is free.
Lessons
- Time-Weighted Return with Cash Flows: Sub-Period LinkingFree
- Money-Weighted Return (XIRR) and Why It Differs from TWR Pro
- Active Return vs the Benchmark, Tracking Error & Information Ratio Pro
- From Holdings to a Sector Table: Weights & Returns Pro
- Brinson-Fachler Allocation Effect: Did the Sector Bets Pay? Pro
- Selection & Interaction Effects: Stock Picking Inside Each Sector Pro
- Linking Attribution over Several Periods (Simplified) Pro
- The Attribution Report: Totals, Contributors & a Bar Chart Pro