Auflistung nach Autor:in "Schindler, Felix"

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International diversification benefits with foreign exchange investment styles
(Oxford University Press, 08/2014) Kröncke, Tim; Schindler, Felix; Schrimpf, Andreas
Style-based management of the foreign exchange (FX) component of international investments with carry trade, FX momentum, and FX value strategies provides economically large and significant diversification benefits. These speculative benefits go beyond the hedging benefits of FX risk documented in the earlier literature. Our results hold after transaction costs and are confirmed in an extensive out-of-sample experiment mimicking investor decisions in real time. Adding a composite FX style portfolio to diversified allocations of global bonds and stocks leads to a 64% increase in the out-of-sample Sharpe ratio from 0.64 to 1.05, without adverse impact on other portfolio characteristics such as skewness.
01A - Beitrag in wissenschaftlicher Zeitschrift
International diversification with securitized real estate and the veiling glare from currency risk
(Elsevier, 11/2012) Kröncke, Tim; Schindler, Felix
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for systematic foreign exchange movements. From the perspective of a US investor, it is shown that, first, international diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification benefits from international assets.
01A - Beitrag in wissenschaftlicher Zeitschrift
The anatomy of public and private real estate return premia
(Springer, 2018) Kröncke, Tim; Schindler, Felix; Steininger, Bertram I.
Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for academics, regulators, and portfolio managers alike.
01A - Beitrag in wissenschaftlicher Zeitschrift