Course contents
Introduction
- Welcome to the course
- Strategic versus tactical asset allocation
- Introduction to bonds
- Asset classes
- Hedge funds
- How data can trick you
Returns
- Getting historical data
- Linear versus log scale
- Arithmetic and log price returns
- Cumulative arithmetic and log price returns
- Converting arithmetic and log returns
- Arithmetic and geometric mean
- Wealth index
- Performance charts
Measuring risk
- Variance and standard deviation
- The portfolio effect
- Sharpe ratio, Sortino ratio, Calmar Ratio, Martin Ratio
- Alpha and Beta
- Correlation and R Squared
- Treynor Ratio and Information Ratio
- Value-At-Risk and Expected Shortfall
Factor models
- Capital Asset Pricing Model (CAPM)
- Fama French 3 factor model
Permanent portfolios
- Equal and Value Weighting portfolios
- Calculating portfolio returns
- Review of 5 different permanent portfolios
Moving average filters
- M.A.F. – single asset
- M.A.F. – all assets in a portfolio
Modern Portfolio Theory
- Introduction to MPT
- Correlation and the correlation matrix
- Efficient frontier
- Minimum variance portfolio and mean-variance efficient portfolios
- Rebalancing
- Return vs risk graph
- Capital Allocation Line, and margin effect on returns
- Kelly Criterion – optimal f
- Inverse variance portfolio
- Risk parity portfolio
Dual Momentum
- Review of 6 different dual momentum portfolios
Other portfolios
- Review of two Adaptive Allocation portfolios
- Review of two Core-Satellite portfolios