A Broadband Vision of the Dax Over Time

23 Pages Posted: 20 Jan 2003

See all articles by Winfried G. Hallerbach

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Christoph Hundack

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM); UBS AG

I. Pouchkarev

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

J. Spronk

Erasmus Research Institute of Management (ERIM)

Date Written: August 2002, 10

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

Suggested Citation

Hallerbach, Winfried George and Hundack, Christoph and Pouchkarev, Igor and Spronk, Jaap, A Broadband Vision of the Dax Over Time (August 2002, 10). ERIM Report Series Reference No. ERS-2002-87-F&A. Available at SSRN: https://ssrn.com/abstract=371030

Winfried George Hallerbach (Contact Author)

Robeco Asset Management, Quantitative Investment Research ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands
+31102242316 (Phone)

HOME PAGE: http://www.robeco.com/quant

Christoph Hundack

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

UBS AG

Zurich, CH-8098
Switzerland

Igor Pouchkarev

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

Jaap Spronk

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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