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FINANCIAL MARKET COURSES

Portfolio Theory – Performance Measurement Models

Beginning with the Sharpe ratio, which is the seminal work in the area of portfolio performance, this course looks at a number of well-known rules that are used to choose between risky investments. In the securities markets, billions of dollars are shifted from one form of investment to another on the back of the results generated by these performance measures. It is therefore imperative that you understand all these rules, any assumptions underlying them and their relative advantages and disadvantages.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Calculate the Sharpe ratio and use it as a means of comparing alternative investments

    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

  • COURSE OUTLINE

    Topic 1: The Sharpe Ratio

    Topic 2: The Treynor Ratio

    Topic 3: Jensen’s Alpha

    Topic 4: Other Performance Measures

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    120 Minutes

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