portfoolioanalüüs

Portfoolioanalüüs is the systematic assessment of an investment portfolio to evaluate risk, return, and alignment with an investor's objectives and constraints. It examines how asset allocation, diversification, and transaction costs influence overall performance and risk.

Key concepts include defining objectives, collecting data, and measuring performance and risk. Common metrics are total return, volatility, drawdown, and risk-adjusted measures such as the Sharpe ratio, Sortino ratio, and beta. Attribution analysis separates returns due to asset selection from those due to allocation.

Process steps typically involve establishing goals and constraints; gathering price, dividend, and fee data; computing metrics and comparing them to benchmarks; evaluating rebalancing needs; and performing scenario and stress tests to assess sensitivity to market moves. Tools include portfolio-management software and spreadsheets; data sources include market feeds, custodial records, and tax considerations.

The theoretical foundations include Modern Portfolio Theory and mean-variance optimization, the Capital Asset Pricing Model, and the concept of an efficient frontier. Limitations include estimation risk, model risk, reliance on historical data, changing correlations, and liquidity constraints.

Applications range from personal financial planning to pension funds and endowments. Portfoolioanalüüs supports governance, reporting, and decision-making by providing transparent information on performance, risk, and costs.