Investment and Portfolio Analysis

Portfolio Theory - Part 8


This eCourse consists of two modules. Module 1 provides practical information and guidance on the measurement of portfolio performance.

Module 2 looks at the differences between arithmetic and geometric attribution and explains why performance attribution effects are typically calculated over several periods.


On completion of this course, you will be able to:
- Identify the key behavioral biases that lead to suboptimal investment decisions
- Recognize the different explanations of markets given by behavioral finance and modern portfolio theory.

On completion of this course, you will be able to:
- Identify the developments and innovations in this area of portfolio theory, beginning with the Sharpe ratio
- Recognize the limitations of the major performance assessments
- Measure portfolio performance based on the mechanisms provided by each of the methods discussed in the tutorial
- List the differences between each of the methods and identify the uses of each
- Recognize the role of attribution analysis in total return decomposition
- Calculate the excess performance due to asset allocation and security selection

Content Highlight

Module 1: Portfolio Performance – Measures
Topic 1: The Sharpe Ratio
Topic 2: The Treynor Ratio
Topic 3: Jensen's Alpha
Topic 4: Other Performance Measures

Module 2: Portfolio Performance – Attribution Analysis
Topic 1: Performance Attribution Analysis
Topic 2: Calculating Total Active Return

Administrative Details

Relevant Subject
Type 9 - Asset management
SFC:2.00, PWMA:2.00
All Member: HKD640
Chinese Securities Association of Hong Kong (HKCSA): HKD670
Non-Member: HKD960
Staff of Corporate Member: HKD640