Об этом курсе: In this course, you will learn about latest investment strategies and performance evaluation. You will start by learning portfolio performance measures and discuss best practices in portfolio performance evaluation. You will explore different evaluation techniques such as style analysis and attribution analysis and apply them to evaluate different investment strategies. Special emphasis will be given to recent financial market innovations and current investment trends. After this course, learners will be able to: • Describe performance measurement measures • Evaluate portfolio performance • Describe and contrast different investment strategies • Propose investment strategy solutions
Автор: Rice University
Преподаватели: Arzu Ozoguz, Finance Faculty
Jones Graduate School of Business
| Основные сведения | Course 4 of 5 in the Investment and Portfolio Management Specialization |
| Выполнение | 4 weeks of study |
| Язык | English |
| Как пройти курс | Чтобы пройти курс, выполните все оцениваемые задания. |
| Оценки пользователей |
Программа курса
НЕДЕЛЯ 1
Performance measurement and benchmarking
In this module, we focus on the central problem of performance measurement: how do you assess the increase in your wealth over a given period and evaluate the risk that was involved? In this module, you will learn how to calculate different return and risk measures and how you use these measures to evaluate a portfolio’s performance relative to a benchmark.
9 видео, 7 материалов для самостоятельного изучения, 2 practice quizzes
- Видео: Introduction and Welcome to class
- Reading: Grading Policy
- Discussion Prompt: What is your motivation for taking this course?
- Reading: How to use discussion forums
- Reading: Pre-Course Survey
- Видео: Brief review of measuring returns
- Видео: Measuring dollar-weighted vs. time-weighted returns
- Видео: Computing excess returns over a benchmark
- Видео: Compounding excess returns: Geometric mean excess return
- Reading: Lecture handouts: Comparing two portfolio returns
- Practice Quiz: Comparing two portfolio returns
- Reading: Comparing two portfolio returns- Quiz Solutions
- Видео: Basic measures of risk
- Видео: Measuring bad variation
- Видео: Tracking error and residual risk
- Reading: Lecture handouts: Revisiting measures of risk
- Practice Quiz: Revisiting measures of risk
- Reading: Revisiting measures of risk- Quiz Solutions
- Видео: Summary
Оцениваемый: Performance measurement and benchmarking
НЕДЕЛЯ 2
Active vs. passive investing: Risk-adjusted return measures
In this module, we focus on constructing return-to-risk measures in order to compare investments in terms of their desirability. You are going to learn several different ways to calculate risk-adjusted return measures for an actively managed fund and understand how these measures differ from each other.
9 видео, 8 материалов для самостоятельного изучения, 1 practice quiz
- Видео: Introduction
- Видео: Sharpe ratio - Introduction to general notion
- Видео: Constructing the Sharpe ratio
- Видео: Sortino ratio
- Видео: Treynor’s measure
- Видео: Jensen’s alpha
- Reading: Accompanying spreadsheet for "Jensen's alpha"
- Видео: Appraisal ratio and information ratio
- Reading: Accompanying spreadsheet for "Appraisal ratio and information ratio"
- Видео: Comparing the risk-adjusted measures
- Reading: “The Sharpe ratio”, by William F. Sharpe
- Reading: The Sharpe ratio and the information ratio
- Reading: Lecture handouts: Risk-adjusted return measures
- Reading: Instructions for practice quiz
- Practice Quiz: Risk-adjusted return measures
- Reading: Solutions
- Видео: Summary
- Reading: Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions
Оцениваемый: Active vs. passive investing: Risk-adjusted return measures
НЕДЕЛЯ 3
Performance evaluation: Style analysis and performance attribution
In this module, you are going to learn to use two analytical tools that are widely used in practice to evaluate what the portfolio performance can be attributed to.
You will first learn about style analysis. Then, you will learn about attribution analysis, which has become a crucial component in internal evaluation system of investment managers and institutional clients in the industry. Focus will be placed on the practical applications.
7 видео, 9 материалов для самостоятельного изучения, 2 practice quizzes
- Видео: Introduction
- Видео: Style analysis
- Видео: Style Analysis - Part II
- Видео: Style analysis: How does it work?
- Reading: Lecture handouts: Style Analysis
- Reading: Style Analysis: Accompanying Excel spreadsheet
- Reading: Asset allocation: Management style and performance measurement
- Practice Quiz: Style Analysis
- Reading: Style Analysis - Quiz solutions
- Видео: Performance attribution
- Видео: Performance attribution: Numerical illustration
- Reading: Lecture handouts: Performance attribution
- Reading: Total Portfolio Performance Attribution Methodology
- Practice Quiz: Performance attribution
- Reading: Performance attribution - Quiz Solutions
- Видео: Summary
- Reading: Performance evaluation: Style analysis and performance attribution- Quiz Solutions
- Reading: End-Of-Course Survey
Оцениваемый: Performance evaluation: Style analysis and performance attribution
Часто задаваемые вопросы
Как это работает
Coursework
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Авторы
Rice University
Rice University is consistently ranked among the top 20 universities in the U.S. and the top 100 in the world. Rice has highly respected schools of Architecture, Business, Continuing Studies, Engineering, Humanities, Music, Natural Sciences and Social Sciences and is home to the Baker Institute for Public Policy.
Стоимость
| Приобрести курс | |
|---|---|
| Получить доступ к материалам курса | Доступен |
| Получить доступ к оцениваемым материалам курса | Доступен |
| Получить итоговую оценку | Доступен |
| Earn a shareable Course Certificate | Доступен |
Рейтинги и отзывы
Great course!!!
I think that this particular course could have a bit deeper dive into the topic, felt more like a general overview compared to previous courses in the specialization.
Super interesting course! It gave me the principles necessary to be aware of perform Portfolio analysis through Style analysis and Performance attribution.
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ME
Excellent course, unfortunately ruined by the lack of support from mentoring or teaching staff. Also getting a peer review assigned is very difficult, probably due to shortage of students.