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

38,444 already enrolled

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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

Shareable certificate

Add to your LinkedIn profile

Assessments

7 assignments¹

AI Graded see disclaimer

Taught in English

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This course is part of the Investment and Portfolio Management Specialization

When you enroll in this course, you'll also be enrolled in this 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 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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Instructor

Instructor ratings

(31 ratings)

Arzu Ozoguz

Rice University

4 Courses 169,075 learners

Offered by

Rice University

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Reviewed on Oct 19, 2022

Excellent Primer course for someone already working in Financial domain

Reviewed on Mar 26, 2021

Overall the course is good, but the course lacks teaching of practical questions and on how to solve the statistical problems in MS Excel.

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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