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DAY THREE |
Wednesday, July 18th
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PERFORMANCE
MEASUREMENT |
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THE CAPITAL ASSET
PRICING MODEL (CAPM)
Inputs to the CAPM
model
Uses of CAPM
Drawbacks with CAPM
Alternatives to CAPM
APT (Arbitrage Pricing
Theory) |
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ACTIVE VERSUS
PASSIVE MANAGEMENT
Definitions and
Assumptions behind Efficient Markets
Hypothesis
Case for and against
active management
Case for and against
passive management
Core and satellite
approaches to asset management |
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PERFORMANCE
EVALUATION MEASURES
Performance & Risk
Sharpe measure
Treynor measure
Alpha: measuring it
properly
Tracking Error and Information Ratio
Downsite Deviation and
Sortino Ratio |
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PERFORMANCE
ATTRIBUTION MEASURES
Manager style & risk
Use of peer groups and
indices as benchmarks
Performance
Attribution Systems |
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BENCHMARKS AND GIPS
Establishing benchmark
portfolios
Manager universes on
performance benchmarks
GPIS
standards |
GUEST SPEAKER
Jamie Perrett
Head of Index Design
FTSE GROUP
Global Indices |
CONCLUSION OF MACRO TRENDS, ASSET ALLOCATION AND EVALUATION MODULE
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