Investment Strategies and Portfolio Analysis

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 3.5 stars Average User Rating 3.5See what learners said Coursework

Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.

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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 expand

1. Video: Introduction and Welcome to class
2. Reading: Grading Policy
3. Discussion Prompt: What is your motivation for taking this course?
4. Reading: How to use discussion forums
5. Reading: Pre-Course Survey
6. Video: Brief review of measuring returns
7. Video: Measuring dollar-weighted vs. time-weighted returns
8. Video: Computing excess returns over a benchmark
9. Video: Compounding excess returns: Geometric mean excess return
10. Reading: Lecture handouts: Comparing two portfolio returns
11. Practice Quiz: Comparing two portfolio returns
12. Reading: Comparing two portfolio returns- Quiz Solutions
13. Video: Basic measures of risk
14. Video: Measuring bad variation
15. Video: Tracking error and residual risk
16. Reading: Lecture handouts: Revisiting measures of risk
17. Practice Quiz: Revisiting measures of risk
18. Reading: Revisiting measures of risk- Quiz Solutions
19. 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, 7 readings, 1 practice quiz expand

1. Video: Introduction
2. Video: Sharpe ratio - Introduction to general notion
3. Video: Constructing the Sharpe ratio
4. Video: Sortino ratio
5. Video: Treynor’s measure
6. Video: Jensen’s alpha
7. Reading: Accompanying spreadsheet for "Jensen's alpha"
8. Video: Appraisal ratio and information ratio
9. Reading: Accompanying spreadsheet for "Appraisal ratio and information ratio"
10. Video: Comparing the risk-adjusted measures
11. Reading: “The Sharpe ratio”, by William F. Sharpe
12. Reading: The Sharpe ratio and the information ratio
13. Reading: Lecture handouts: Risk-adjusted return measures
14. Reading: Instructions for practice quiz
15. Practice Quiz: Risk-adjusted return measures
16. Video: Summary
17. 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 expand

1. Video: Introduction
2. Video: Style analysis
3. Video: Style Analysis - Part II
4. Video: Style analysis: How does it work?
5. Reading: Lecture handouts: Style Analysis
6. Reading: Style Analysis: Accompanying Excel spreadsheet
7. Reading: Asset allocation: Management style and performance measurement
8. Practice Quiz: Style Analysis
9. Reading: Style Analysis - Quiz solutions
10. Video: Performance attribution
11. Video: Performance attribution: Numerical illustration
12. Reading: Lecture handouts: Performance attribution
13. Reading: Total Portfolio Performance Attribution Methodology
14. Practice Quiz: Performance attribution
15. Reading: Performance attribution - Quiz Solutions
16. Video: Summary
17. Reading: Performance evaluation: Style analysis and performance attribution- Quiz Solutions
18. Reading: End-Of-Course Survey

Graded: Performance evaluation: Style analysis and performance attribution