Investment Strategies and Portfolio Analysis

Investment Strategies and Portfolio Analysis

This course is part of Investment and Portfolio Management Specialization

Instructor: Arzu Ozoguz

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38,643 already enrolled

3 modules

Gain insight into a topic and learn the fundamentals.

280 reviews

2 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

3 modules

Gain insight into a topic and learn the fundamentals.

280 reviews

2 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

Skills you'll gain

Details to know

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Assessments

7 assignments¹

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Taught in English

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This course is part of the Investment and Portfolio Management Specialization

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There are 3 modules in 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.

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.

What's included

9 videos7 readings2 assignments1 peer review1 discussion prompt

9 videosTotal 66 minutes

Introduction and Welcome to class4 minutes
Brief review of measuring returns13 minutes
Measuring dollar-weighted vs. time-weighted returns6 minutes
Computing excess returns over a benchmark11 minutes
Compounding excess returns: Geometric mean excess return9 minutes
Basic measures of risk9 minutes
Measuring bad variation8 minutes
Tracking error and residual risk6 minutes
Summary1 minute

7 readingsTotal 70 minutes

Grading Policy10 minutes
How to use discussion forums10 minutes
Pre-Course Survey10 minutes
Lecture handouts: Comparing two portfolio returns10 minutes
Comparing two portfolio returns- Quiz Solutions10 minutes
Lecture handouts: Revisiting measures of risk10 minutes
Revisiting measures of risk- Quiz Solutions10 minutes

2 assignmentsTotal 56 minutes

Comparing two portfolio returns26 minutes
Revisiting measures of risk30 minutes

1 peer reviewTotal 60 minutes

Performance measurement and benchmarking60 minutes

1 discussion promptTotal 10 minutes

What is your motivation for taking this course?10 minutes

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.

What's included

9 videos8 readings2 assignments

9 videosTotal 47 minutes

Introduction2 minutes
Sharpe ratio - Introduction to general notion5 minutes
Constructing the Sharpe ratio6 minutes
Sortino ratio3 minutes
Treynor’s measure3 minutes
Jensen’s alpha13 minutes
Appraisal ratio and information ratio6 minutes
Comparing the risk-adjusted measures7 minutes
Summary2 minutes

8 readingsTotal 80 minutes

Accompanying spreadsheet for "Jensen's alpha"10 minutes
Accompanying spreadsheet for "Appraisal ratio and information ratio"10 minutes
“The Sharpe ratio”, by William F. Sharpe10 minutes
The Sharpe ratio and the information ratio10 minutes
Lecture handouts: Risk-adjusted return measures10 minutes
Instructions for practice quiz10 minutes
Solutions10 minutes
Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions10 minutes

2 assignmentsTotal 150 minutes

Risk-adjusted return measures60 minutes
Active vs. passive investing: Risk-adjusted return measures90 minutes

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.

What's included

7 videos9 readings3 assignments

7 videosTotal 40 minutes

Introduction3 minutes
Style analysis7 minutes
Style Analysis - Part II5 minutes
Style analysis: How does it work?8 minutes
Performance attribution7 minutes
Performance attribution: Numerical illustration7 minutes
Summary2 minutes

9 readingsTotal 90 minutes

Lecture handouts: Style Analysis10 minutes
Style Analysis: Accompanying Excel spreadsheet10 minutes
Asset allocation: Management style and performance measurement10 minutes
Style Analysis - Quiz solutions10 minutes
Lecture handouts: Performance attribution10 minutes
Total Portfolio Performance Attribution Methodology10 minutes
Performance attribution - Quiz Solutions10 minutes
Performance evaluation: Style analysis and performance attribution- Quiz Solutions10 minutes
End-Of-Course Survey10 minutes

3 assignmentsTotal 210 minutes

Style Analysis60 minutes
Performance attribution60 minutes
Performance evaluation: Style analysis and performance attribution90 minutes

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Instructor

Instructor ratings

(31 ratings)

Arzu Ozoguz

Rice University

4 Courses169,889 learners

Offered by

Rice University

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Reviewed on Jun 19, 2017

Quizzes and assignments have some errors. The forum response is slow, but the lectures are superb. I learned a lot!

Reviewed on Jul 1, 2020

Best course. I was able to apply what I learned to my job. My office loved the ideas I brought to the table from this course.

Reviewed on Feb 14, 2018

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.

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