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040448 PR Performance-Analysis (MA) (2021W)

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

Termine inkludieren bereits Ausweichtermine.
Tu 19.10. 11:30-13:00 Digital

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

The dates already include reserve dates. The course will be held purely digitally.

Tuesday 12.10. 11:30 - 13:00 Digital
Friday 22.10. 11:30 - 13:00 Digital
Tuesday 09.11. 11:30 - 13:00 Digital
Tuesday 16.11. 11:30 - 13:00 Digital
Tuesday 23.11. 11:30 - 13:00 Digital
Friday 26.11. 11:30 - 13:00 Digital
Tuesday 30.11. 11:30 - 13:00 Digital
Tuesday 07.12. 11:30 - 13:00 Digital
Tuesday 14.12. 11:30 - 13:00 Digital
Friday 17.12. 11:25 - 13:00 Digital
Tuesday 11.01. 11:30 - 13:00 Digital
Tuesday 18.01. 11:30 - 13:00 Digital
Tuesday 25.01. 11:30 - 13:00 Digital

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).

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. Students are expected to participate actively in virtual classroom discussion.

The course will be held in English. Plesae note that due to the COVID-19 pandemic no physical presence will be required. Lectures will be held in moodle within BBB-meeting rooms.

Assessment and permitted materials

1) homework assignments
2) virtual classroom participation
3) oral exam

Minimum requirements and assessment criteria

overall score =
40% * virtual oral exam +
40% * homework assignments +
20% * active classroom participation

A positive grade requires an overall score of at least 50%.

Examination topics

All topics covered and discussed during course sessions.

Reading list


Association in the course directory

Last modified: Su 10.10.2021 15:48