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A Broadband Vision of the DAX over Time

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Author Info
Hallerbach, W.G.P.M.
Hundack, C.
Pouchkarev, I.
Spronk, J. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

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Abstract

We present an analysis of the performance of the DAX, German's major stock market index, over the last two years. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment opportunity set and also given the same constraints as implied by the definition of the DAX. We estimate the distribution of performance values of all feasible portfolios according to different performance measures and evaluate the position of the DAX with respect to this feasible set. As in existing approaches, our analysis describes the 'average' development of the market over time. In addition, our analysis provides an insight into the development of the dynamics of the market over time by following the dispersion of the performance distributions over time.

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File URL: http://hdl.handle.net/1765/234
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Publisher Info
Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2002-87-F&A Revision_Date: 2009-11-09.

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Date of creation: 08 Oct 2002
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Handle: RePEc:dgr:eureri:2002243

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Related research
Keywords: investments; financial markets; market indexes; performance evaluation;

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  1. Pouchkarev, I & Spronk, J. & Trinidad Segovia, J.E., 2004. "Dynamics of the Spanish Stock Market Through a Broadband View of the IBEX 35® index / Dinámica del mercado de capitales español a través de una visión amplia del índice IBEX 35®," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 7-21, Abril. [Downloadable!] (restricted)
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