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Asset Management mit barwert-sowie zeitreihenorientierten Rendite-und Risikoprognosen
Cengiz, Cetin-Behzet | Nitzsch, Rüdiger von
Credit and Capital Markets – Kredit und Kapital, Vol. 44 (2011), Iss. 3 : pp. 419–458
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Dr. Cetin-Behzet Cengiz, RWTH Aachen, Lehrund Forschungsgebiet für Betriebswirtschaftslehre, insb. Entscheidungsforschung und Finanzdienstleistungen, Templergraben 64, D-52056 Aachen
Prof. Dr. Rüdiger von Nitzsch, RWTH Aachen, Lehrund Forschungsgebiet für Betriebswirtschaftslehre, insb. Entscheidungsforschung und Finanzdienstleistungen, Templergraben 64, D-52056 Aachen
Abstract
Asset Management on Present Value Basis – as well as Time Series-Oriented Prognoses of Returns and Risks
In this article we analyze the critical factors deciding on the success of portfolio optimization with the aim of obtaining best possible results for investors. Alternative prognoses of expected returns as well as co-variances serve as input data within diverse frequencies. We subject to an ex-post evaluation the performance, the benchmark of which is given by a buy-and-hold strategy. Our results have important asset management implications: (i) Active asset management results in increases in returns of an average 2.79% per annum. (ii) Time series-oriented approaches are dominant in the case of short-term prognoses and investment horizons, fundamental approaches are dominant in the case of long-term ones. (iii) The prognosticating quality of the covariance matrix decides on significant diversification effects to the tune of an average 1.29% per annum. (iv) The results remain robust against transaction costs in the case of long-term horizons.