Portfolioanalysen

PortfolioAnalysen are systematic evaluations of investment portfolios that aim to assess performance, risk, and alignment with stated objectives and constraints. They examine returns, risk exposures, diversification, liquidity, turnover, and costs to inform investment decisions.

They are used across asset management, pensions, wealth management, and corporate finance to monitor portfolios, support rebalancing, and inform risk reporting. They differentiate between performance measurement, risk assessment, and attribution to identify drivers of results.

Methods include quantitative metrics such as absolute and relative returns, volatility, Sharpe, Sortino, Treynor, beta, alpha, maximum drawdown, value at risk, and expected shortfall. Attribution analyses split performance into asset allocation, selection, and interaction effects; exposure and factor analysis assess sensitivities to factors like market, size, value.

Data and processes rely on price data, dividends, corporate actions, and transaction records; analyses may be historical backtests, scenario analyses, stress testing, and Monte Carlo simulations. Outputs typically include performance reports, risk dashboards, and recommendations for rebalancing or optimization.

Challenges include data quality, survivorship bias, look-ahead bias, model risk, and governance requirements. Analysts must consider overfitting, backtest bias, data latency, and the limitations of historical analysis when projecting future results.

See also: Performance attribution, Portfolio optimization, and Risk management.