Portfolio Analytics

1. Front Matter

   Pages i-xiv

   PDF

2. Introduction

   • Wolfgang Marty

   Pages 1-4

3. Return Analysis

   • Wolfgang Marty

   Pages 5-87

4. Risk Measurement

   • Wolfgang Marty

   Pages 89-139

5. Performance Measurement

   • Wolfgang Marty

   Pages 141-180

6. Investment Controlling

   • Wolfgang Marty

   Pages 181-198

7. Back Matter

   Pages 199-204

   PDF

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.

• Efficient Frontier
• Investment Controlling
• MWR
• Modern Portfolio Theory
• Performance Measurement
• TWR
• quantitative finance

• Zurich, Switzerland

  Wolfgang Marty

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.         

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