1) Goals:
Numerous methods are used by academics and practitioners for measuring and comparing funds or portfolio’s manager performances. These methods are mainly based on the concept of risk-adjusted performances and they differ in how risk is measured. This course presents a review of these methods with numerous examples and practical cases.
2) Course outline:
I. Regression-based performance measures : one factor model, time-varying parameters, multifactor models
II. Performance measurement based on usual risk measures : Sharpe, Roy and extensions
III. Performance measurement based on alternative risk measures : Sharpe-VaR, Omega, Kappa, Sortino, Calmar,…
IV. Performance attribution