CFRM 552: Portfolio Performance Analysis & Benchmarking

This course covers fundamental principles of portfolio performance measurement and benchmarking. Topics include:

  • The role of performance evaluation in portfolio management
  • Rate of return calculations for individual assets and for portfolios
  • Manipulating returns: linking, averaging, annualizing
  • Adjustments for inflation, currency, taxes, fees
  • Cash flow methods: time-weighted returns, money-weighted returns, standard approximations
  • Excess returns, arithmetic and geometric
  • Sector-based performance attribution
  • Volatility and asset pricing-based risk measures
  • Risk-adjusted return measures
  • Factor-based performance attribution
  • Uses of indexes: benchmarking, asset allocation, and the basis for investment vehicles
  • Benchmark construction principles and practical issues
  • Index calculations, weighting, rebalancing, and maintenance
  • Equity style indexes
  • GIPS: Global Investment Performance Standards
David R. Cariño
J. A. Christopherson, D. R. Cariño, and W. E. Ferson (2009). Portfolio Performance Measurement and Benchmarking, New York: McGraw-Hill
Spreadsheet applications and R
CFRM 462 Introduction to Computational Finance and Financial Econometrics or equivalent, and CFRM 541 Investment Science or equivalent.