Indices as Benchmarks in the Portfolio Management

1. Front Matter

   Pages 1-1

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2. Introduction

   • Andreas Schyra

   Pages 1-9

3. Principles of Portfolio Management Conditions

   • Andreas Schyra

   Pages 11-59

4. Evaluation of the Allocation Framework

   • Andreas Schyra

   Pages 61-99

5. Multi Asset Portfolio Construction within the EMU

   • Andreas Schyra

   Pages 101-139

6. Conclusion and Outlook

   • Andreas Schyra

   Pages 141-145

7. Back Matter

   Pages 7-7

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​Based on a very extensive literature review the book delineates the previous scientific and practical applications of indices as benchmarks for single asset classes as stocks, commodities, German governmental bonds and cash as well as especially for multi asset portfolios. According to the specific influencing factors of the Eurozone a recommendation of allocating equity portfolios with respect to industrial or regional factors is given by an empirical analysis. As most common and significant benchmark index for the Eurozone, the Dow Jones Euro STOXX 50 is analysed according to index effects. This serves as comparison and consideration of the active anticipations of index membership exchanges and a simple 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 multidimensionally diversified and systamatically allocated multi asset portfolios. These portfolios are composed with reference towards the Portfolio Selection Theory by Harry M. Markowitz to test its practical relevance and validity during the challenging years from 2001 and 2010.

• Fachhochschule Essen, Essen, Germany

  Andreas Schyra

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.

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