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
本课程是 Investment and Portfolio Management 专项课程 专项课程的一部分
Investment Strategies and Portfolio Analysis
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教学大纲 - 您将从这门课程中学到什么
周
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 个视频（共 66 分钟）, 7 个阅读材料, 3 个测验
9 个视频
Brief review of measuring returns12分钟
Measuring dollar-weighted vs. time-weighted returns5分钟
Computing excess returns over a benchmark11分钟
Compounding excess returns: Geometric mean excess return8分钟
Basic measures of risk8分钟
Measuring bad variation7分钟
Tracking error and residual risk6分钟
Summary1分钟
7 个阅读材料
Grading Policy10分钟
How to use discussion forums10分钟
Pre-Course Survey10分钟
Lecture handouts: Comparing two portfolio returns10分钟
Comparing two portfolio returns- Quiz Solutions10分钟
Lecture handouts: Revisiting measures of risk10分钟
Revisiting measures of risk- Quiz Solutions10分钟
2 个练习
Comparing two portfolio returns26分钟
Revisiting measures of risk6分钟
周
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 个视频（共 47 分钟）, 8 个阅读材料, 2 个测验
9 个视频
Introduction2分钟
Sharpe ratio - Introduction to general notion4分钟
Constructing the Sharpe ratio6分钟
Sortino ratio3分钟
Treynor’s measure2分钟
Jensen’s alpha13分钟
Appraisal ratio and information ratio5分钟
Comparing the risk-adjusted measures6分钟
Summary1分钟
8 个阅读材料
Accompanying spreadsheet for "Jensen's alpha"10分钟
Accompanying spreadsheet for "Appraisal ratio and information ratio"10分钟
“The Sharpe ratio”, by William F. Sharpe10分钟
The Sharpe ratio and the information ratio10分钟
Lecture handouts: Risk-adjusted return measures10分钟
Instructions for practice quiz10分钟
Solutions10分钟
Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions10分钟
2 个练习
Risk-adjusted return measures分钟
Active vs. passive investing: Risk-adjusted return measures30分钟
周
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 个视频（共 40 分钟）, 9 个阅读材料, 3 个测验
7 个视频
Introduction2分钟
Style analysis7分钟
Style Analysis - Part II4分钟
Style analysis: How does it work?7分钟
Performance attribution7分钟
Performance attribution: Numerical illustration7分钟
Summary2分钟
9 个阅读材料
Lecture handouts: Style Analysis10分钟
Style Analysis: Accompanying Excel spreadsheet10分钟
Asset allocation: Management style and performance measurement10分钟
Style Analysis - Quiz solutions10分钟
Lecture handouts: Performance attribution10分钟
Total Portfolio Performance Attribution Methodology10分钟
Performance attribution - Quiz Solutions10分钟
Performance evaluation: Style analysis and performance attribution- Quiz Solutions10分钟
End-Of-Course Survey10分钟
3 个练习
Style Analysis分钟
Performance attribution分钟
Performance evaluation: Style analysis and performance attribution30分钟
4.1
热门审阅
创建者 MM•Aug 13th 2017
Very practical course. Highly recommended for someone pursuing a asset management role.
讲师
Arzu Ozoguz
Finance FacultyJones Graduate School of Business
关于 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.
关于 Investment and Portfolio Management 专项课程
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!
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