Review of the performance and robustness of several investment strategies applied to an international equity portfolio

Tristan Nguyen and Gerhard Wörtche ()

Journal of Asset Management, 2012, vol. 13, issue 1, No 6, 58-75

Abstract: Abstract This article shows from the viewpoint of a European investor whether the performance parameters of several investment strategies are mainly due to returns of foreign markets or through the exchange rate development. In addition to the analysis in mean-variance terms, it will be evaluated how robust the results are over time. The empirical analysis indicates that the relatively young, more sophisticated approaches are superior to traditional strategies, and that the impact of the exchange rate development cannot be ignored in an equity portfolio and nearly no conclusion can be drawn in the context of a superior in and out-of-the-sample period.

Keywords: investment strategies; portfolio optimization; international portfolio management; international asset allocation; stock market returns; exchange rate risk (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1057/jam.2011.4

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