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040448 PR Performance-Analysis (MA) (2019W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Termine inkludieren bereits Ausweichtermine.

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).

Details

max. 30 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Tuesday 08.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 15.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 22.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 29.10. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 05.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 12.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 19.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 26.11. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 03.12. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock
Tuesday 10.12. 18:30 - 21:30 Seminarraum 15 Oskar-Morgenstern-Platz 1 3.Stock

Information

Aims, contents and method of the course

Within the framework of asset management, the analysis of the investment performance of a portfolio is a central, challenging and responsible task as (risk-adjusted) performance is one of the key determinants of an asset manager's product quality.

Once investment performance has been measured using a suitable performance measure, contribution analysis helps to break performance down to individual portfolio positions, arbitrary groups of positions (ratings, countries, etc.) or down to the strategy-level.

If portfolios are managed against a benchmark, performance attribution analysis explains the reasons for particular out- or underperformance, i.e. the excess return.

The aim of this course is to familiarize students with the aforementioned central topics of performance analysis as well as with other related topics such as benchmarking, the design or calculation of performance-related fee structures, external performance analysis, risk-adjusted performance measurement or Global Investment Performance Standards (GIPS).

Assessment and permitted materials

Written and oral. At least 80% of course units must be attended. Exams will be closed-book exams.

Minimum requirements and assessment criteria

overall score =
25% * %-points written midterm exam +
25% * %-points classroom participation +
50% * %-points written final exam
A positive grade requires an overall score of at least 50%.

Examination topics

The topics are first explained by the lecturer from a theoretical point of view and then discussed with the students on the basis of practical examples and case studies. An active cooperation and participation of the students is not only desired, but also required.

Reading list


Association in the course directory

Last modified: Mo 07.09.2020 15:19