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Portfolio Representations

A step-by-step guide to representing value, exposure and risk for fixed income, equity, FX and derivatives

By Jem Tugwell
Cover of Portfolio Representations (Paperback) by Jem Tugwell Cover of Portfolio Representations (Mobile Phone) Cover of Portfolio Representations (Tablet)

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About the Author

Jem Tugwell

Jem Tugwell is a specialist investment management consultant, focusing on institutional investment management strategy and analytics. Jem's analytical focus involves how to represent different asset classes inside portfolios, the separation of value and exposure, as well as pricing models and risk measurement across all asset classes and their associated derivatives. His commercial expertise is ... Read more on Jem Tugwell

Contents Listing

Preface

1. Building a Portfolio View
1.1 Valuation and Weight
1.2 Scaling Risk Factors
1.3 Multiple Risks from a Single Holding
1.4 Relative to the Benchmark Differences
1.5 Long and Short Positions
1.6 Market Value vs. Exposure and Gearing

2. Equity
2.1 Shares
2.2 CFDs
2.3 Equity Options
2.4 Index Futures
2.5 Index Options

3. Money Market
3.1 Cash
3.2 CD/CP
3.3 FRN
3.4 STIR Futures
3.5 Options on STIR Futures
3.6 Repo

4. Fixed Income
4.1 Bonds
4.2 Government Bonds
4.3 Index-Linked Bonds
4.4 Corporate Bonds
4.5 Bonds with Embedded Options
4.6 Convertible Bonds
4.7 Zero-Coupon Bonds, Bills and Strips
4.8 Perpetual Bonds
4.9 Floating Rate Notes
4.10 Mortgage-Backed Securities
4.11 Bond Futures
4.12 Bond Options
4.13 Interest Rate Swaps (IRS)
4.14 Inflation Swaps
4.15 Asset Swaps
4.16 Single Name CDSs
4.17 Index CDSs
4.18 Swaptions

5. Currency
5.1 Spot FX
5.2 Forwards and Futures
5.3 FX Swaps
5.4 FX Options

6. Funds - Unitised and ETFs
6.1 Introduction
6.2 Pricing
6.3 Risk Factors
6.4 Representation
6.5 Summary
6.6 Glossary

7. Cross Asset-Type Issues
7.1 The Impact of Strategies
7.2 Correlation and Volatility

Index
Preface

1. Building a Portfolio View
1.1 Valuation and Weight
1.2 Scaling Risk Factors
1.3 Multiple Risks from a Single Holding
1.4 Relative to the Benchmark Differences
1.5 Long and Short Positions
1.6 Market Value vs. Exposure and Gearing

2. Equity
2.1 Shares
2.2 CFDs
2.3 Equity Options
2.4 Index Futures
2.5 Index Options

3. Money Market
3.1 Cash
3.2 CD/CP
3.3 FRN
3.4 STI ...

Jacket Text

This book provides a practical and sophisticated insight into each financial asset type, and how the different risks and exposures they involve should be most accurately combined and represented in a portfolio.

The financial issues facing the world since the late 2000s have provided the asset management community with a brutal reminder of the importance of having genuine knowledge of portfolio structures and the risks embedded within them. More so than ever, fund managers need a clear and consistent way of separating value from exposure in their portfolios, allowing a complete 'look-through' to the real risks contained in derivatives and pooled/structured products.

Equally, as fund managers are driven to find risk-adjusted rather than just raw returns, it is imperative that risk measures and the understanding derived from them are applied to the entirety of a portfolio, as opposed to just particular asset classes or sections.

This book, written by hugely experienced investment expert Jem Tugwell, provides a practical and comprehensive solution. Written in plain English and carefully structured to be easy to use, this is the definitive guide to accurately and quickly representing value in financial portfolios of every complexity.

Taking the reader through each asset type in turn, with detailed workings and explanations, it is the most lucid and helpful professional guide yet written on the subject - and something no one working in this area can afford to be without.

Media Coverage

Traders Magazine

The credit crunch provided the asset management community with a brutal reminder of the importance of having genuine knowledge of portfolio structures and the risks embedded within them. More so than ...

Read more

ABA Banking Journal

Author tackles risk without pages of mathematical proofs

Portfolio Representations: A Step-by-step Guide to Representing Value, Exposure, and Risk for Fixed Income, Equity, FX, and Derivatives, ...

Read more

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