Séminaire S-FC0008 - Funds absolute and relative performance measures

Cible

Fund/portfolio managers, risk managers and staff concerned by the calculation and the interpretation of relevant performance measures of risk and return.

Objectives

Mastering the various quantitative measures of return and financial risk and their combination into performance ratios, including the way to compute them properly.

Contenu

  • Return (NAV) and risk (volatility, MDD) measures and related calculation.
  • The value at risk, and its variants.
  • Absolute performance (return vs risk) ratios: Sharpe, Sortino, Calmar.
  • Relative performance measures: tracking error, information ratio.
  • One step further: more sophisticated risk and performance measures.

Sessions

04.10.2022
MA
Cours en présentiel
Luxembourg
125 €