Performance Measurement

Lesson 1

CAGR

Calculate CAGR to measure compound growth rate and compare performance across periods.

Lesson 2

Time-Weighted vs Money-Weighted Return

Distinguish portfolio performance from the investor's actual cash-flow performance.

Lesson 3

Volatility and Standard Deviation

Measure return volatility to understand the instability of investment results.

Lesson 4

Sharpe Ratio

Use the Sharpe ratio to evaluate return per unit of risk.

Lesson 5

Sortino Ratio

Measure performance adjusted for downside risk rather than all volatility.

Lesson 6

Max Drawdown and Recovery Time

Evaluate the largest decline and the time needed to recover capital.

Lesson 7

Alpha and Beta

Analyze alpha and beta to understand return sources and market sensitivity.

Lesson 8

Comparing Against a Benchmark

Compare against a benchmark to identify outperformance or underperformance.

Lesson 9

Tracking Error and Information Ratio

Measure deviation from the benchmark and the quality of excess returns.

Lesson 10

Performance Attribution

Break down performance to identify contributions from allocation and security selection.