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
Este curso faz parte do Programa de cursos integrados Investment and Portfolio Management
Investment Strategies and Portfolio Analysis
oferecido por
Programa - O que você aprenderá com este curso
Semana
1Performance 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 videos (Total 66 min), 7 leituras, 3 testes
9 videos
Brief review of measuring returns12min
Measuring dollar-weighted vs. time-weighted returns5min
Computing excess returns over a benchmark11min
Compounding excess returns: Geometric mean excess return8min
Basic measures of risk8min
Measuring bad variation7min
Tracking error and residual risk6min
Summary1min
7 leituras
Grading Policy10min
How to use discussion forums10min
Pre-Course Survey10min
Lecture handouts: Comparing two portfolio returns10min
Comparing two portfolio returns- Quiz Solutions10min
Lecture handouts: Revisiting measures of risk10min
Revisiting measures of risk- Quiz Solutions10min
2 exercícios práticos
Comparing two portfolio returns26min
Revisiting measures of risk6min
Semana
2Active 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 videos (Total 47 min), 8 leituras, 2 testes
9 videos
Introduction2min
Sharpe ratio - Introduction to general notion4min
Constructing the Sharpe ratio6min
Sortino ratio3min
Treynor’s measure2min
Jensen’s alpha13min
Appraisal ratio and information ratio5min
Comparing the risk-adjusted measures6min
Summary1min
8 leituras
Accompanying spreadsheet for "Jensen's alpha"10min
Accompanying spreadsheet for "Appraisal ratio and information ratio"10min
“The Sharpe ratio”, by William F. Sharpe10min
The Sharpe ratio and the information ratio10min
Lecture handouts: Risk-adjusted return measures10min
Instructions for practice quiz10min
Solutions10min
Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions10min
2 exercícios práticos
Risk-adjusted return measuresmin
Active vs. passive investing: Risk-adjusted return measures30min
Semana
3Performance 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 videos (Total 40 min), 9 leituras, 3 testes
7 videos
Introduction2min
Style analysis7min
Style Analysis - Part II4min
Style analysis: How does it work?7min
Performance attribution7min
Performance attribution: Numerical illustration7min
Summary2min
9 leituras
Lecture handouts: Style Analysis10min
Style Analysis: Accompanying Excel spreadsheet10min
Asset allocation: Management style and performance measurement10min
Style Analysis - Quiz solutions10min
Lecture handouts: Performance attribution10min
Total Portfolio Performance Attribution Methodology10min
Performance attribution - Quiz Solutions10min
Performance evaluation: Style analysis and performance attribution- Quiz Solutions10min
End-Of-Course Survey10min
3 exercícios práticos
Style Analysismin
Performance attributionmin
Performance evaluation: Style analysis and performance attribution30min
Melhores avaliações
por MM•Aug 13th 2017
Very practical course. Highly recommended for someone pursuing a asset management role.
Instrutores
Arzu Ozoguz
Finance FacultyJones Graduate School of Business
Sobre 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.
Sobre o Programa de cursos integrados Investment and Portfolio Management
In this four-course Specialization, you’ll learn the essential skills of portfolio management and personal investing.
All investors – from the largest wealth funds to the smallest individual investors – share common issues in investing: how to meet their liabilities, how to decide where to invest, and how much risk to take on. In this Specialization, you will learn how to think about, discuss, and formulate solutions to these investment questions. You will learn the theory and the real-world skills necessary to design, execute, and evaluate investment proposals that meet financial objectives. You will begin with an overview of global financial markets and instruments that characterize the investment opportunities available to today’s investor. You will then learn how to construct optimal portfolios that manage risk effectively, and how to capitalize on understanding behavioral biases and irrational behavior in financial markets. You will learn the best practices in portfolio management and performance evaluation as well as current investment strategies. By the end of your Capstone Project, you will have mastered the analytical tools, quantitative skills, and practical knowledge necessary for long-term investment management success.
To see an overview video for this Specialization, click here!
Perguntas Frequentes – FAQ
Quando terei acesso às palestras e às tarefas?
Ao se inscrever para um Certificado, você terá acesso a todos os vídeos, testes e tarefas de programação (se aplicável). Tarefas avaliadas pelos colegas apenas podem ser enviadas e avaliadas após o início da sessão. Caso escolha explorar o curso sem adquiri-lo, talvez você não consiga acessar certas tarefas.
O que recebo ao me inscrever nesta Especialização?
Quando você se inscreve no curso, tem acesso a todos os cursos na Especialização e pode obter um certificado quando concluir o trabalho. Seu Certificado eletrônico será adicionado à sua página de Participações e você poderá imprimi-lo ou adicioná-lo ao seu perfil no LinkedIn. Se quiser apenas ler e assistir o conteúdo do curso, você poderá frequentá-lo como ouvinte sem custo.
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