EAN: 9783836690140

INVESTMENT STRATEGIES IMPLEMENTATION AND PERFOR...

This book analyzes several investment strategies that are applied to an international equity
portfolio. The evaluated strategies are: the Simple Crossover Moving Average  the Equally
Weighted Portfolio  the Minimum Variance Portfolio  the Certainty Equivalent Tangency Portfolio
the James Stein Estimator and the Black Litterman Model. Besides the applied methodology part
which demonstrates how to implement the considered strategies  the empirical section shows from
the viewpoint of a European investor whether the final performance parameters are mainly due to
returns of foreign markets or through exchange rate developments. The investigation is carried
out from an ex ante as well as from an ex post perspective. In order to examine the time window
of a strategy  the in- and the out of the sample periods are varied. The empirical
investigation indicates that the relative young more sophisticated approaches are superior to
the traditional strategies  the impact of exchange rate developments cannot be ignored in an
equity portfolio  nearly no conclusion can be drawn in the context of a superior in- and out of
the sample period.

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