Schweighofer, M. (2015). Backtesting von Total Return-Strategien [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2015.32242
Total Return; Absolute Return; Dynamic asset allocation; Buy-and-hold; protective put; Zero plus call; Best of two; Constant proportion portfolio insurance; CPPI; Lower partial moments; Higher partial moments; DAX; REXP; Backtesting; Fonds; Sensitivitätsanalyse; Monte Carlo-Simulation
de
total return; absolute return; dynamic asset allocation; buy and hold; protective put; zero plus call; best of two; constant proportion portfolio insurance; cppi; lower partial moments; higher partial moments; dax; rexp; backtesting; funds; sensitivity analysis; monte carlo simulation
en
Abstract:
This thesis deals with the total return-strategies protective put and zero plus call with static asset allocation and best of two and constant proportion portfolio insurance (cppi) with dy-namic asset allocation. After the attempt of a definition for total return-strategies the function-ality and theoretical characteristics of the examined strategies will be described. Back tests will be done with a tool especially developed for this thesis to examine these characteristics and to gather which parameters are essential for a success of the strategies. In addition a back test of the best of two-strategy will be compared to the return of best of two-funds from the German-speaking region. It is shown that many of those funds do not comply with the basic best of two-concept due to their special rules and that their return is comprehensible, but can-not be traced back. Using a sensitivity analysis the elasticity regarding return, volatility and risk-free rate of the return profile will be investigated and it will be demonstrated that the best of two, cppi and buy and hold-strategies behave quite differently.
de
This thesis deals with the total return-strategies protective put and zero plus call with static asset allocation and best of two and constant proportion portfolio insurance (cppi) with dy-namic asset allocation. After the attempt of a definition for total return-strategies the function-ality and theoretical characteristics of the examined strategies will be described. Back tests will be done with a tool especially developed for this thesis to examine these characteristics and to gather which parameters are essential for a success of the strategies. In addition a back test of the best of two-strategy will be compared to the return of best of two-funds from the German-speaking region. It is shown that many of those funds do not comply with the basic best of two-concept due to their special rules and that their return is comprehensible, but can-not be traced back. Using a sensitivity analysis the elasticity regarding return, volatility and risk-free rate of the return profile will be investigated and it will be demonstrated that the best of two, cppi and buy and hold-strategies behave quite differently.
en
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