Investment Analysis and Portfolio Management

  1. Portfolio Performance Evaluation
    1. Measures of Portfolio Return
      1. Time-Weighted Rate of Return
        1. Geometric Linking
          1. Sub-Period Returns
          2. Money-Weighted Rate of Return
            1. Internal Rate of Return
              1. Cash Flow Timing Effects
              2. Annualized Returns
                1. Gross vs. Net Returns
                2. Risk-Adjusted Performance Measures
                  1. Sharpe Ratio
                    1. Calculation and Interpretation
                      1. Limitations
                      2. Treynor Ratio
                        1. Beta-Adjusted Returns
                          1. Systematic Risk Focus
                          2. Jensen's Alpha
                            1. CAPM-Based Measure
                              1. Abnormal Returns
                              2. Information Ratio
                                1. Active Return per Unit of Active Risk
                                  1. Tracking Error
                                  2. Sortino Ratio
                                    1. Downside Risk Adjustment
                                    2. Maximum Drawdown
                                    3. Performance Attribution Analysis
                                      1. Asset Allocation Contribution
                                        1. Policy Return
                                          1. Asset Allocation Effect
                                          2. Security Selection Contribution
                                            1. Selection Effect
                                              1. Within-Sector Returns
                                              2. Interaction Effects
                                                1. Currency Attribution
                                                  1. Sector Attribution
                                                  2. Benchmarking
                                                    1. Characteristics of a Valid Benchmark
                                                      1. Investability
                                                        1. Appropriateness
                                                          1. Transparency
                                                            1. Measurability
                                                            2. Types of Benchmarks
                                                              1. Market Indexes
                                                                1. Broad Market Indexes
                                                                  1. Style Indexes
                                                                    1. Sector Indexes
                                                                    2. Custom Benchmarks
                                                                      1. Peer Group Comparisons
                                                                        1. Absolute Return Targets
                                                                        2. Benchmark Selection Criteria
                                                                          1. Benchmark Misfit Risk

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                                                                        7. The Portfolio Management Process

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                                                                        9. Advanced Topics and Applied Management