Curriculum·Sophomore·S211
Portfolio Analytics and Performance Measurement
S. Scorecard, year-end 2024, as reported by Institutional Investor on 5 March 2025.
Lesson 1 opens on
The gap that could not be measured at market scale
Dichev published in the American Economic Review in 2007, arguing that investor returns and security returns differ because of the timing and magnitude of investor capital flows, and reporting that actual investor returns are systematically lower than buy-and-hold returns for nearly all major international stock markets.5 points internationally.3 depending on the data source.
The lessons
- S211-01Measuring return correctlyCompute a time-weighted return and a money-weighted return from the same account historyabout 40 min · opens on The gap that could not be measured at market scale
- S211-02Benchmarking honestlyExplain why a benchmark chosen after the period is not a benchmarkabout 40 min · opens on The Buffett and Protege Partners bet, 2008 to 2017
- S211-03Risk-adjusted measuresCompute a Sharpe ratio and the confidence interval around it from the same dataabout 42 min · opens on Long-Term Capital Management, 1998
- S211-04AttributionDecompose a result into benchmark, allocation, timing, selection, cost and tax linesabout 33 min · opens on Luck versus skill, still unresolved after twelve years
- S211-05Building the reporting stackAssemble the six records that make every calculation in this course possibleabout 33 min · opens on FTX, November 2022
Labs
S211-L
A supplied twelve-month portfolio ledger with dated deposits and withdrawals, a BTC price series and a cash rate. Compute the time-weighted and money-weighted returns by hand, benchmark against BTC and against cash, and say in dollars and in points whether the activity added or destroyed value. Twenty questions, timed, 18 of 20 to pass. Then run the same arithmetic on your own records if you have them, on your own machine: that is the exercise that changes behavior, and the platform never sees it.