Investment Strategies and Portfolio Analysis

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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 str…

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Didn't find what you were looking for? See also: Portfolio Management, Retail (Management), Project Management, Risk Analysis, and Planning.

When you enroll for courses through Coursera you get to choose for a paid plan or for a free plan

  • Free plan: No certicification and/or audit only. You will have access to all course materials except graded items.
  • Paid plan: Commit to earning a Certificate—it's a trusted, shareable way to showcase your new skills.

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
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