Investment Strategies and Portfolio Analysis
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Investment Strategies and Portfolio Analysis
This course is part of Investment and Portfolio Management Specialization
Instructor: Arzu Ozoguz
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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.
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
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 videos•Total 66 minutes
- Introduction and Welcome to class•4 minutes
- Brief review of measuring returns•13 minutes
- Measuring dollar-weighted vs. time-weighted returns•6 minutes
- Computing excess returns over a benchmark•11 minutes
- Compounding excess returns: Geometric mean excess return•9 minutes
- Basic measures of risk•9 minutes
- Measuring bad variation•8 minutes
- Tracking error and residual risk•6 minutes
- Summary•1 minute
7 readings•Total 70 minutes
- Grading Policy•10 minutes
- How to use discussion forums•10 minutes
- Pre-Course Survey•10 minutes
- Lecture handouts: Comparing two portfolio returns•10 minutes
- Comparing two portfolio returns- Quiz Solutions•10 minutes
- Lecture handouts: Revisiting measures of risk•10 minutes
- Revisiting measures of risk- Quiz Solutions•10 minutes
2 assignments•Total 56 minutes
- Comparing two portfolio returns•26 minutes
- Revisiting measures of risk•30 minutes
1 peer review•Total 60 minutes
- Performance measurement and benchmarking•60 minutes
1 discussion prompt•Total 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 videos•Total 47 minutes
- Introduction•2 minutes
- Sharpe ratio - Introduction to general notion•5 minutes
- Constructing the Sharpe ratio•6 minutes
- Sortino ratio•3 minutes
- Treynor’s measure•3 minutes
- Jensen’s alpha•13 minutes
- Appraisal ratio and information ratio•6 minutes
- Comparing the risk-adjusted measures•7 minutes
- Summary•2 minutes
8 readings•Total 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. Sharpe•10 minutes
- The Sharpe ratio and the information ratio•10 minutes
- Lecture handouts: Risk-adjusted return measures•10 minutes
- Instructions for practice quiz•10 minutes
- Solutions•10 minutes
- Active vs. passive investing: Risk-adjusted return measures - Quiz Solutions•10 minutes
2 assignments•Total 150 minutes
- Risk-adjusted return measures•60 minutes
- Active vs. passive investing: Risk-adjusted return measures•90 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 videos•Total 40 minutes
- Introduction•3 minutes
- Style analysis•7 minutes
- Style Analysis - Part II•5 minutes
- Style analysis: How does it work?•8 minutes
- Performance attribution•7 minutes
- Performance attribution: Numerical illustration•7 minutes
- Summary•2 minutes
9 readings•Total 90 minutes
- Lecture handouts: Style Analysis•10 minutes
- Style Analysis: Accompanying Excel spreadsheet•10 minutes
- Asset allocation: Management style and performance measurement•10 minutes
- Style Analysis - Quiz solutions•10 minutes
- Lecture handouts: Performance attribution•10 minutes
- Total Portfolio Performance Attribution Methodology•10 minutes
- Performance attribution - Quiz Solutions•10 minutes
- Performance evaluation: Style analysis and performance attribution- Quiz Solutions•10 minutes
- End-Of-Course Survey•10 minutes
3 assignments•Total 210 minutes
- Style Analysis•60 minutes
- Performance attribution•60 minutes
- Performance evaluation: Style analysis and performance attribution•90 minutes
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Reviewed on Jul 30, 2017
A really good course that I would certainly recommend. The only thing that let it down was that some of the solutions to the final quiz were incorrect and led to some frustration on the forum!
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 Dec 5, 2018
I've tried a few courses that are similar and this one is better than average.
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