Portfolio Performance Evaluation

23 Abril 2026, 14:30 • Andrea Meireles

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Portfolio performance evaluation: average portfolio return (time-weighted rate of return vs. money-weighted rate of return), risk-adjusted performance measures (Sharpe ratio, Treynor measure, Jensen's alpha, information ratio, M2 measure, and Sortino ratio), which measure is appropriate, and role of alpha.
Problem set 5: Questions 3, 4, 5, and 6.

Asset Pricing Models

22 Abril 2026, 14:30 • Andrea Meireles

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Capital asset pricing model (CAPM): assumptions, market portfolio, capital market line (CML), separation theorem, market risk premium, beta coefficient, security market line (SML), Jensen's alpha and trading decisions, testing, limitations, and extensions.
Problem set 5: Questions 1 and 2.

Models of Asset Returns

16 Abril 2026, 14:30 • Andrea Meireles

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Problem set 4: Questions 3, 4, 5, and 6.

Models of Asset Returns

15 Abril 2026, 14:30 • Andrea Meireles

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Single-factor models: overview, set-up, and assumptions. Single-index model: assumptions, expected return-beta relation, security variance decomposition, covariances, portfolio return and risk, diversification, data requirements, estimation, advantages and limitations.
Problem set 4: Questions 1 and 2.

Revision Q&A Session (Optional)

12 Abril 2026, 14:30 • Andrea Meireles

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Optional revision Q&A session for the mid-term test (held via Teams).