Portfolio Analytics: An Introduction to Return and Risk Measurement

by Wolfgang Marty

Overview

This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.

Product Details

ISBN-13:	9783319198118
Publisher:	Springer International Publishing
Publication date:	10/10/2015
Series:	Springer Texts in Business and Economics
Edition description:	2nd ed. 2015
Pages:	204
Product dimensions:	6.10(w) x 9.25(h) x (d)

About the Author

Dr. Wolfgang Marty is Investment Strategist at AgaNola. Between 2015 and 1998 he was working with Credit Suisse in Zurich. He joined as Head of Product Engineering and later became Head of Portfolio Analytics. From 1989 - 1998 he worked in London and Chicago. He is specialized in performance measurement, fixed income portfolio attribution and portfolio optimization. He has been committed to actively developing the fixed-income markets for many years. In particular it pursues the interests of the Swiss market participants in the European Bond Commission (EBC). Moreover, Wolfgang Marty is a member of the Executive Committee of the EBC, as well as of the Bond Index Commission of SIX Exchange.

Table of Contents

Introduction.- Return Analysis.- Risk Measurement.- Performance Measurement.- Investment Controlling.