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© 2013

Portfolio Analytics

An Introduction to Return and Risk Measurement

Textbook

Part of the Springer Texts in Business and Economics book series (STBE)

Table of contents

  1. Front Matter
    Pages i-xii
    PDF
  2. Introduction
    Wolfgang Marty
    Pages 1-4
  3. Return Analysis
    Wolfgang Marty
    Pages 5-82
  4. Risk Measurement
    Wolfgang Marty
    Pages 83-133
  5. Performance Measurement
    Wolfgang Marty
    Pages 135-175
  6. Investment Controlling
    Wolfgang Marty
    Pages 177-194
  7. Back Matter
    Pages 195-200
    PDF

About this book

Introduction

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.

Keywords

Efficient Frontier Investment Controlling MWR Modern Portfolio Theory Performance measurement TWR

Authors and affiliations

  1. 1.Swiss Bond CommissionStallikonSwitzerland

About the authors

Dr. Wolfgang Marty is vice president at Credit Suisse. He joined Credit Suisse Asset Management in 1998 as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization and Fixed Income in general. Prior to joining Credit Suisse Asset Management, Marty worked for UBS AG in London, Chicago and Zurich. He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology. Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (LSI). 

Bibliographic information