Portfolio Analysis
Overview
Portfolio analytics refers to analytics that is used to analyze and
forecast portfolios of assets, including measuring and forecasting
risk. Portfolio value is a number that evolves over time,
therefore portfolio analytics relies heavily on the concepts
and techniques of
time series analysis.
The simplest way to approach analyzing a portfolio is to treat it as
a unit. That is, we analyze the portfolio NAV as a
single time series,
without examining the underlying assets.
A more complex analysis digs further into the makeup of the portfolio
(if it is available) and utilizes the tools of mutivariate time
series analysis.
Portfolio Performance
Portfolio Performance to seeks to measure and understand the performance of a portfolio of assets. At a high level,
it measures the returns and return characteristics of a portfolio. At a more fine grained level, it measures
the performance of specific assets or asset classes, as well as the drivers of performance, usually by looking
at the performance of specific statistical factors.
Portfolio Construction
- Portfolio Risk : part of the process of constructing a portfolio
that meets a set of objectives is understanding and managing risk.
- Portfolio Forecasting : the flip side to portfolio risk
is forecasting portfolio returns.
- Portfolio Construction :
Once you have a set of risk and return forecasts, the final step
is to use this information to construct an optimal portfolio.
- Portfolio Strategies :
