Curriculum

20 Topics
Introduction and Welcome to class
Brief review of measuring returns
Measuring dollar-weighted vs. time-weighted returns
Computing excess returns over a benchmark
Compounding excess returns: Geometric mean excess return
Basic measures of risk
Measuring bad variation
Tracking error and residual risk
Summary
Grading Policy
How to use discussion forums
Pre-Course Survey
Lecture handouts: Comparing two portfolio returns
Comparing two portfolio returns- Quiz Solutions
Lecture handouts: Revisiting measures of risk
Revisiting measures of risk- Quiz Solutions
Comparing two portfolio returns
Revisiting measures of risk
Performance measurement and benchmarking
What is your motivation for taking this course?

19 Topics
Introduction
Sharpe ratio - Introduction to general notion
Constructing the Sharpe ratio
Sortino ratio
Treynor’s measure
Jensen’s alpha
Appraisal ratio and information ratio
Comparing the risk-adjusted measures
Summary
Accompanying spreadsheet for "Jensen's alpha"
Accompanying spreadsheet for "Appraisal ratio and information ratio"
“The Sharpe ratio” by William F. Sharpe
The Sharpe ratio and the information ratio
Lecture handouts: Risk-adjusted return measures
Instructions for practice quiz
Solutions
Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions
Risk-adjusted return measures
Active vs. passive investing: Risk-adjusted return measures

19 Topics
Introduction
Style analysis
Style Analysis - Part II
Style analysis: How does it work?
Performance attribution
Performance attribution: Numerical illustration
Summary
Lecture handouts: Style Analysis
Style Analysis: Accompanying Excel spreadsheet
Asset allocation: Management style and performance measurement
Style Analysis - Quiz solutions
Lecture handouts: Performance attribution
Total Portfolio Performance Attribution Methodology
Performance attribution - Quiz Solutions
Performance evaluation: Style analysis and performance attribution- Quiz Solutions
End-Of-Course Survey
Style Analysis
Performance attribution
Performance evaluation: Style analysis and performance attribution

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Investment Strategies and Portfolio Analysis

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