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Strukturierung von Aktienanlagen

PPCmetrics Research Paper Nr. 3/2015, Oktober 2015

Dr. Dominique Ammann, Romano Gruber, Dr. Diego Liechti

Das in der Kapitalmarkttheorie begründete Marktportfolio beinhaltet alle riskanten Anlagen proportional zum Marktwert und weist theoretisch das beste Rendite-/Risikoverhältnis aller Portfolios auf. Da das Marktportfolio in der Praxis nicht existiert, wird es durch einen Index, der kotierte Wertschriften enthält, approximiert. Der vorliegende Artikel zeigt auf, wie sich das Marktportfolio für die Anlagekategorie Aktien zusammensetzt, und untersucht die typischen Abweichungen von Aktienportfolios von Schweizer Pensionskassen. Dabei wird deutlich, dass Letztere Aktien Schweiz stark übergewichten und Small Caps sowie Emerging Markets meist nicht oder zu wenig miteinbeziehen. Eine derartige strukturelle Abweichung sollte entweder klar begründet oder reduziert werden.

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