Investment and Portfolio Analysis
Portfolio Theory - Part 4
Overview
This course consists of two modules. Module 1 looks at indexing, a strategy adopted by the passive management community and then moves on to discuss the market timing mentality of active portfolio managers. It also examines alternative approaches that are blurring the traditional distinctions.
Module 2 looks at a number of well-known rules that are used to choose between risky investments. It is therefore imperative that you understand all these rules, any assumptions underlying them and their relative advantages and disadvantages.
Objective
On completion of this course, you will be able to:
- Identify the types and features of passive portfolio management
- Recognize the techniques used in active portfolio management
- Identify the investment strategies that are blurring the lines between passive and active portfolio management approaches
- Calculate the Treynor ratio and explain how it differs to the Sharpe ratio
- Compare Jensen's alpha measure with both the Sharpe and Treynor ratios
- Describe the Treynor-Black ratio and the RAROC measure
Content
Module 1: Portfolio Management - Passive vs. Active Approaches
Topic 1: Passive Portfolio Management
Topic 2: Active Portfolio Management
Topic 3: Variations on Active/Passive Management
Module 2: Portfolio Theory - Performance Measurement Models
Topic 1: The Sharpe Ratio
Topic 2: The Treynor Ratio
Topic 3: Jensen’s Alpha
Topic 4: Other Performance Measures