How did different investment strategies perform when applied to an international portfolio?

In: Diskussionspapier Nr. 28

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Abstract

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