S-FC0008 - Funds absolute and relative performance measures
Fund/portfolio managers, risk managers and staff concerned by the calculation and the interpretation of relevant performance measures of risk and return.
Mastering the various
quantitative measures of return and financial risk and their combination into
performance ratios, including the way to compute them properly.
- Return (NAV) and risk (volatility, MDD) measures and related
- The value at risk, and its variants.
- Absolute performance (return vs risk) ratios: Sharpe, Sortino,
- Relative performance measures: tracking error, information ratio.
- One step further: more sophisticated risk and performance