Indices as Benchmarks in the Portfolio Management : With Special Consideration of the European Monetary Union

Andreas Schyra delineates the previous scientific and practical applications of indices as benchmarks for single asset classes such as stocks, commodities, German governmental bonds, and cash as well as especially for multi-asset portfolios. The author gives recommendations for allocating equity portfolios in the Eurozone under consideration of industrial and regional factors by an empirical analysis. As the most common benchmark index for the Eurozone, the Dow Jones Euro STOXX 50 is analysed in respect of index effects. This serves as a consideration of the active anticipations of index membership exchanges and a passive index investment during short- and long-term periods. Furthermore a correlation weighted equity index, established by different TMI industry indices of the Eurozone is calculated, which serves as benefit for diversification opportunities of two multidimensional diversified and systematically allocated multi-asset portfolios. Contents · Principles of Portfolio Management, Indexing and Benchmarking Approaches · Trend Dependent Correlation Analysis of Equities and Commodities in the Eurozone · Investigation of Index Effects by the Dow Jones Euro STOXX 50 · Development of a Correlation Weighting Approach for Equity Index Members · Multi Asset Portfolio Construction within the EMU · Verification of the Validity of the Portfolio Selection Theory Target Groups · Researchers and students in the field of finances with a special focus on portfolio management and indexing · Private and institutional investors Author Dr. Andreas Schyra completed his extra-occupational PhD-study under the supervision of doc. RNDr. Ján Pekár, Ph.D., at the Comenius University Bratislava, Slovakia. He is a member of the board of a company acting in the field of asset management, where he is responsible for the treasury and the advisory business. Furthermore he acts as a lecturer in the subject group of finance at the FOM University of Applied Sciences