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
· Choose between different portfolios or financial assets
· · Evaluate the risk of portfolios and financial assets
· · Optimize the financial investment strategy
• Bacon, C., “Practical Risk-Adjusted Performance Measurement”, Wiley Finance, 2012.
• Baker and Filbeck (eds). “Investment Risk Management”. Oxford University Press, 2015.
• Fisher and Wermers. “Performance Evaluation and Attribution of Securities Portfolios”, Elsevier, 2013.
· · Portfolio management
· · Risk measurement
· · Risk management practices
Lectures: 18 h.