A Broadband Vision of the Dax Over Time

Abstract

We present an analysis of the performance of the DAX, German's majorstock market index, over the last two years. Our analysis is broaderthan conventional benchmark approaches because we study the propertiesof all feasible portfolios, i.e. portfolios composed given the sameinvestment opportunity set and also given the same constraints asimplied by the definition of the DAX. We estimate the distribution ofperformance values of all feasible portfolios according to differentperformance measures and evaluate the position of the DAX with respectto this feasible set. As in existing approaches, our analysisdescribes the 'average' development of the market over time. Inaddition, our analysis provides an insight into the development of thedynamics of the market over time by following the dispersion of theperformance distributions over time.

Keywords: investments, financial markets, market indexes, performance evaluation

JEL Classification: M, G3, C15, C43, G10