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Downside-orientierte Bewertung

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Downside-orientiertes Portfoliomanagement

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Zusammenfassung

leitete Downside-orientierte Formeln zur Bewertung von Finanztiteln her, die sich von der klassischen CAPM-Gleichung nur durch den verwendeten Betakoeffizienten unterscheiden. Die empirische Überprüfung dieser Bewertungsmodelle für den deutschen Aktienmarkt(repräsentiert durch die 30 DAX-Werte) und den Zeitraum 2009 bis 2014 zeigt: Alle geschätzten Downside-Wertpapierkennlinien weisen für unsere Stichprobe keine signifikante Risikoprämie, aber eine entgegen der Modellvorhersage signifikante positive Konstante für die mittlere Überrendite auf.

Die Performancemessung von 15 etablierten deutschen Aktienfonds über den gleichen Zeitraum auf Basis der Betakoeffizienten ergibt folgendes Bild: Sowohl die Unterschiede im Vergleich mit einer passiven Strategie als auch das Ranking der Fonds sind weitgehend unabhängig davon, ob das klassische CAPM-Beta oder Downside-Betas herangezogen werden.

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Authors and Affiliations

  1. Otto-von-Guericke-Universität, Magdeburg, Deutschland

    Peter Reichling

  2. Lehrstuhl für Finanzierung und Banken, Otto-von-Guericke-Universität, Magdeburg, Deutschland

    Gordon Schulze

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  1. Peter Reichling
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  2. Gordon Schulze
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Correspondence to Peter Reichling .

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Reichling, P., Schulze, G. (2017). Downside-orientierte Bewertung. In: Downside-orientiertes Portfoliomanagement. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-16664-9_6

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  • DOI: https://doi.org/10.1007/978-3-658-16664-9_6

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  • Publisher Name: Springer Gabler, Wiesbaden

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