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
Ce cours fait partie de la Spécialisation Investment and Portfolio Management
Investment Strategies and Portfolio Analysis
proposé par
Programme du cours : ce que vous apprendrez dans ce cours
Semaine
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 vidéos (Total 66 min), 7 lectures, 3 quiz
9 vidéos
Brief review of measuring returns12 min
Measuring dollar-weighted vs. time-weighted returns5 min
Computing excess returns over a benchmark11 min
Compounding excess returns: Geometric mean excess return8 min
Basic measures of risk8 min
Measuring bad variation7 min
Tracking error and residual risk6 min
Summary1 min
7 lectures
Grading Policy10 min
How to use discussion forums10 min
Pre-Course Survey10 min
Lecture handouts: Comparing two portfolio returns10 min
Comparing two portfolio returns- Quiz Solutions10 min
Lecture handouts: Revisiting measures of risk10 min
Revisiting measures of risk- Quiz Solutions10 min
2 exercices pour s'entraîner
Comparing two portfolio returns26 min
Revisiting measures of risk6 min
Semaine
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 vidéos (Total 47 min), 8 lectures, 2 quiz
9 vidéos
Introduction2 min
Sharpe ratio - Introduction to general notion4 min
Constructing the Sharpe ratio6 min
Sortino ratio3 min
Treynor’s measure2 min
Jensen’s alpha13 min
Appraisal ratio and information ratio5 min
Comparing the risk-adjusted measures6 min
Summary1 min
8 lectures
Accompanying spreadsheet for "Jensen's alpha"10 min
Accompanying spreadsheet for "Appraisal ratio and information ratio"10 min
“The Sharpe ratio”, by William F. Sharpe10 min
The Sharpe ratio and the information ratio10 min
Lecture handouts: Risk-adjusted return measures10 min
Instructions for practice quiz10 min
Solutions10 min
Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions10 min
2 exercices pour s'entraîner
Risk-adjusted return measures min
Active vs. passive investing: Risk-adjusted return measures30 min
Semaine
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 vidéos (Total 40 min), 9 lectures, 3 quiz
7 vidéos
Introduction2 min
Style analysis7 min
Style Analysis - Part II4 min
Style analysis: How does it work?7 min
Performance attribution7 min
Performance attribution: Numerical illustration7 min
Summary2 min
9 lectures
Lecture handouts: Style Analysis10 min
Style Analysis: Accompanying Excel spreadsheet10 min
Asset allocation: Management style and performance measurement10 min
Style Analysis - Quiz solutions10 min
Lecture handouts: Performance attribution10 min
Total Portfolio Performance Attribution Methodology10 min
Performance attribution - Quiz Solutions10 min
Performance evaluation: Style analysis and performance attribution- Quiz Solutions10 min
End-Of-Course Survey10 min
3 exercices pour s'entraîner
Style Analysis min
Performance attribution min
Performance evaluation: Style analysis and performance attribution30 min
4.1
Meilleurs avis
par MM•Aug 13th 2017
Very practical course. Highly recommended for someone pursuing a asset management role.
Enseignant
Arzu Ozoguz
Finance FacultyJones Graduate School of Business
À propos de 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.
À propos de la Spécialisation 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!
Foire Aux Questions
Quand aurai-je accès aux vidéos de cours et aux devoirs ?
Une fois que vous êtes inscrit(e) pour un Certificat, vous pouvez accéder à toutes les vidéos de cours, et à tous les quiz et exercices de programmation (le cas échéant). Vous pouvez soumettre des devoirs à examiner par vos pairs et en examiner vous-même uniquement après le début de votre session. Si vous préférez explorer le cours sans l'acheter, vous ne serez peut-être pas en mesure d'accéder à certains devoirs.
À quoi ai-je droit si je m'abonne à cette Spécialisation ?
Lorsque vous vous inscrivez au cours, vous bénéficiez d'un accès à tous les cours de la Spécialisation, et vous obtenez un Certificat lorsque vous avez réussi. Votre Certificat électronique est alors ajouté à votre page Accomplissements. À partir de cette page, vous pouvez imprimer votre Certificat ou l'ajouter à votre profil LinkedIn. Si vous souhaitez seulement lire et visualiser le contenu du cours, vous pouvez accéder gratuitement au cours en tant qu'auditeur libre.
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