Research Paper

PPCmetrics Publications

Investment Strategies in the Year 2013 - English Version

PPCmetrics Research Paper Nr. 1/2014, January 2014

Oliver Kunkel, Dr. Diego Liechti, Dr. Stephan Skaanes
Published : 03.03.2014
In the year 2013, there were losses in the bond markets, while equity markets had high positive returns. As a result, the investment results of the different strategies varied widely. Pension funds, which have fully used their risk capacity through a large equity exposure, were able to benefit from this market environment. In addition, currency hedging and investments in corporate bonds, small caps, and non-listed real estate were positive as well...

Asset Manager Selection based on historical performance - English Version

PPCmetrics Research Paper Nr. 3/2013, September 2013

Oliver Kunkel, Dr. Hansruedi Scherer
Published : 01.10.2013
Historical performance is a frequently used criterion to select asset managers. Our empirical analysis, however, shows that after hiring an asset manager with such an outstanding performance, the asset manager performs significantly worse in the period after the selection. In some cases, the selected managers even performed significantly worse than a control sample.