Minimum Variance Portfolios in the German Stock Market
Minimum Variance Portfolios in the German Stock Market

Summary/Abstract: The text demonstrates out-of-sample performances of minimum variance portfolios in the German stock market in the period 2002–2015. Because of two huge drawdowns on equity markets in the period 2000–2010, scholars and professionals have tried to find an alternative to the marketcap weighted investing; potentially the minimum variance investing approach. The paper presents the construction of minimum variance portfolios, the description of their compositions and empirical risk-return characteristics under various holding periods. As anticipated, minimum variance portfolios have lower risk vis-à-vis the CDAX index, but they have also higher returns. Finally, minimum variance portfolios have better risk-adjusted performance figures in comparison with equal-weighted alternatives.

• Details
• Contents