On the Efficiency of the Benchmarks Used in the Asset Management

Zuccheri, Andrea (2013) On the Efficiency of the Benchmarks Used in the Asset Management , [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Mercati e intermediari finanziari, 25 Ciclo. DOI 10.6092/unibo/amsdottorato/5579.
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In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Tipologia del documento
Tesi di dottorato
Zuccheri, Andrea
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Settore disciplinare
Settore concorsuale
Data di discussione
4 Giugno 2013

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