About this course: 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
Created by: Rice University
Taught by: Arzu Ozoguz, Finance Faculty
Jones Graduate School of Business
| Basic Info | Course 4 of 5 in the Investment and Portfolio Management Specialization |
| Commitment | 4 weeks of study |
| Language | English |
| How To Pass | Pass all graded assignments to complete the course. |
| User Ratings |
Syllabus
WEEK 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 videos, 7 readings, 2 practice quizzes
- Reading: Grading Policy
- Discussion Prompt: What is your motivation for taking this course?
- Reading: How to use discussion forums
- Reading: Pre-Course Survey
- Video: Brief review of measuring returns
- Video: Measuring dollar-weighted vs. time-weighted returns
- Video: Computing excess returns over a benchmark
- Video: 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
- Video: Basic measures of risk
- Video: Measuring bad variation
- Video: 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
- Video: Summary
Graded: Performance measurement and benchmarking
WEEK 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 videos, 8 readings, 1 practice quiz
- Video: Sharpe ratio - Introduction to general notion
- Video: Constructing the Sharpe ratio
- Video: Sortino ratio
- Video: Treynor’s measure
- Video: Jensen’s alpha
- Reading: Accompanying spreadsheet for "Jensen's alpha"
- Video: Appraisal ratio and information ratio
- Reading: Accompanying spreadsheet for "Appraisal ratio and information ratio"
- Video: 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
- Video: Summary
- Reading: Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions
Graded: Active vs. passive investing: Risk-adjusted return measures
WEEK 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 videos, 9 readings, 2 practice quizzes
- Video: Style analysis
- Video: Style Analysis - Part II
- Video: 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
- Video: Performance attribution
- Video: Performance attribution: Numerical illustration
- Reading: Lecture handouts: Performance attribution
- Reading: Total Portfolio Performance Attribution Methodology
- Practice Quiz: Performance attribution
- Reading: Performance attribution - Quiz Solutions
- Video: Summary
- Reading: Performance evaluation: Style analysis and performance attribution- Quiz Solutions
- Reading: End-Of-Course Survey
Graded: Performance evaluation: Style analysis and performance attribution
FAQs
How It Works
Coursework
Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.
Help from Your Peers
Connect with thousands of other learners and debate ideas, discuss course material, and get help mastering concepts.
Certificates
Earn official recognition for your work, and share your success with friends, colleagues, and employers.
Creators
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.
Pricing
| Purchase Course | |
|---|---|
| Access to course materials | Available |
| Access to graded materials | Available |
| Receive a final grade | Available |
| Earn a shareable Course Certificate | Available |
Ratings and Reviews
Week 2 could be explained a bit better.
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.
Great course!!!
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AA
great short course