Portfolio Analytics with Leveraged Securities
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Portfolio Analytics with Leveraged Securities
Shervin Hanachi, Ph.D. CFA, Thomson Reuters and
Sason Torosean, Thomson Reuters
In most implementations of portfolio exposure and performance analytics, the leverage feature of instruments that are marked to market is ignored. Workarounds that involve incorporating leverage through portfolio weights that do not sum to 100% can result in unrealistic attribution effects. The approach proposed in this article incorporates leverage, transactions and margin calls. It was developed by the authors as members of the Thomson Reuters Portfolio Analytics team.
Portfolio Analytics with Leveraged Securities
Shervin Hanachi, Ph.D. CFA, Thomson Reuters and
Sason Torosean, Thomson Reuters
In most implementations of portfolio exposure and performance analytics, the leverage feature of instruments that are marked to market is ignored. Workarounds that involve incorporating leverage through portfolio weights that do not sum to 100% can result in unrealistic attribution effects. The approach proposed in this article incorporates leverage, transactions and margin calls. It was developed by the authors as members of the Thomson Reuters Portfolio Analytics team.
