040448 PR Performance-Analysis (MA) (2018W)
Continuous assessment of course work
Labels
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Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Mo 10.09.2018 09:00 to Th 20.09.2018 12:00
- Registration is open from Mo 24.09.2018 09:00 to We 26.09.2018 12:00
- Deregistration possible until Mo 15.10.2018 23:59
Details
max. 30 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
- Tuesday 09.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 16.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 23.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 30.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 06.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 13.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 20.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 27.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 04.12. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
- Tuesday 11.12. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Information
Aims, contents and method of the course
Performance analysis can be seen as one of the key tasks in asset management. Its aim is to measure performance and to break the selected performance measure down to the instrument or some aggregated level like countries, currencies, strategies, etc. in order to understand the risk- and performance drivers of a portfolio. Finally, when a portfolio is actively managed against a benchmark, attribution analysis explains the reasons and sources of out- and underperformance.Course participants will learn to 1) measure performance, 2) perform a contribution analysis and 3) explain sources of out- and underperformance using state-of-the-art attribution methods. Moreover, students will learn how to link performance contributions over time, how to take derivatives such as forwards/futures and options into account, or how to calculate fx contributions. Other topics we will address might include: gross vs. net of fee performance, benchmarking & indexing issues, or performance reporting standards (GIPS).
Assessment and permitted materials
class-room participation (presence in at least 80% of courses required) and discussion required.
two written exams.
two written exams.
Minimum requirements and assessment criteria
at least 50% (weighted average of class room participation and written exams) are required to get a positive grade
Examination topics
all contents and topics discussed in course units
Reading list
course slides.
Association in the course directory
Last modified: Mo 07.09.2020 15:29