Noel Amenc & Veronique Le Sourd 
Portfolio Theory and Performance Analysis 

For many years asset management was considered to be a marginal
activity, but today, it is central to the development of financial
industry throughout the world. Asset management’s transition from
an ‘art and craft’ to an industry has inevitably called integrated
business models into question, favouring specialisation strategies
based on cost optimisation and learning curve objectives. This book
connects each of these major categories of techniques and practices
to the unifying and seminal conceptual developments of modern
portfolio theory.

In these bear market times, performance evaluation of portfolio
managers is of central focus. This book will be one of very few on
the market and is by a respected member of the profession.

* Allows the professionals, whether managers or investors, to
take a step back and clearly separate true innovations from mere
improvements to well-known, existing techniques

* Puts into context the importance of innovations with regard to
the fundamental portfolio management questions, which are the
evolution of the investment management process, risk analysis and
performance measurement

* Takes the explicit or implicit assumptions contained in the
promoted tools into account and, by so doing, evaluate the inherent
interpretative or practical limits

Table of Content

Acknowledgements.

Biographies.

Introduction.

1. Presentation of the Portfolio Management Environment.

1.1 The different categories of assets.

1.2 Definition of portfolio management.

1.3 Organisation of portfolio management and description of the
investment management process.

1.4 Performance analysis and market efficiency.

1.5 Performance analysis and the AIMR standards.

1.6 International investment: additional elements to be taken
into account.

1.7 Conclusion.

2. The Basic Performance Analysis Concepts.

2.1 Return calculation.

2.2 Calculating relative return.

2.3 Definition of risk.

2.4 Estimation of parameters.

2.5 Conclusion.

id=’_Toc454974460′ name=’_Toc454974460’>3. The Basic Elements of
Modern Portfolio Theory.

3.1 Principles.

3.2 The Markowitz model.

3.3 Efficient frontier calculation algorithm.

3.4 Simplified portfolio modelling methods.

3.5 Conclusion .

4. The Capital Asset Pricing Model and its Application to
Performance Measurement.

4.1 The CAPM.

4.2 Applying the CAPM to performance measurement: single-index
performance measurement indicators.

4.3 Evaluating the management strategy with the help of models
derived from the CAPM: timing analysis.

4.4 Measuring the performance of internationally diversified
portfolios: extensions to the CAPM.

4.5 The limitations of the CAPM.

5. Developments in the Field of Performance Measurement.

5.1 Heteroskedastic models.

5.2 Performance measurement method using a conditional beta.

5.3 Performance analysis methods that are not dependent on the
market model .

5.4 Conclusion.

6. Multi-factor Models and their Application to Performance
Measurement.

6.1 Presentation of the multi-factor models.

6.2 Choosing the factors and estimating the model
parameters.

6.3 Extending the models to the international arena.

6.4 Applying multi-factor models.

6.5 Summary and conclusion.

7. Evaluating the Investment Management Process and Decomposing
Performance.

7.1 The steps in constructing a portfolio.

7.2 Performance decomposition and analysis.

8. Fixed Income Security Investment.

8.1 Modelling yield curves: the term structure of interest
rates.

8.2 Managing bond portfolio.

8.3 Performance analysis for fixed income security
investment.

Conclusion.

Index.

About the author

Noel Amenc is professor of finance at the Edhec Business
School, where he is in charge of the Risk and Asset Management
research centre. Noel is also associate editor of the
Journal of Alternative Investments. He is the author of
numerous publications in the domain of portfolio management,
notably in the areas of asset allocation and performance
measurement. He also holds significant positions within the
asset management industry, including head of research with Misys
Asset Management Systems.

Veronique Le Sourd holds an advanced graduate
diploma in applied mathematics from the Université Pierre and
Marie Curie (Paris VI) and has worked as a research assistant
within the finance and economics departments of HEC Business
School. She is currently a research engineer for Misys Asset
Management Systems and associate researcher with the Edhec Risk and
Asset Management Research Centre.