FRE GY6711: Quantitative Portfolio Management Module 6 - Monitoring Portfolio Performance (Presentation Slides)
52 Pages Posted: 25 Jul 2017
Date Written: July 17, 2017
Abstract
Lecture Notes for Quantitative Portfolio Management Module 6 - Monitoring Portfolio Performance
Keywords: Compound Returns, Dietz Approximation, Sharpe Ratio, Information Ratio, Treynor Ratio, Jensen's Alpha, Stutzer Index, Attribution, Brinson-Singer Decomposition, CUSUM, Wald SPRT
JEL Classification: G11, G12, G15, G20
Suggested Citation: Suggested Citation
Philips, Thomas K., FRE GY6711: Quantitative Portfolio Management Module 6 - Monitoring Portfolio Performance (Presentation Slides) (July 17, 2017). Available at SSRN: https://ssrn.com/abstract=3004113 or http://dx.doi.org/10.2139/ssrn.3004113
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