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1
Ikezam, Nwonodi Daniel. "Foreign Portfolio Investment and Performance of the Nigerian Capital Market." Australian Finance & Banking Review 2, no. 1 (February 7, 2018): 11–25. http://dx.doi.org/10.46281/afbr.v2i1.76.
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This study examined the effect of foreign portfolio investment on the performance of Nigerian capital market. The specific objectives are to investigate the impact of Net Foreign Portfolio Investment, Foreign Portfolio Investment in Equity, Foreign Portfolio Investment in Bonds, Foreign Portfolio in Government Securities and Nigerian Exchange Rate per US Dollar on the performance of Nigerian Capital Market. The required data were sourced from Central Bank of Nigeria (CBN) Statistical Bulletin and Stock Exchange Annual Report. The study has All Share Price Index and Market Capitalization as proxy for Capital market performance while Net Foreign Portfolio Investment (NFPI), Equity Investment (PIE), Bond Investment (PIB), Portfolio Investment in Government Securities (PIGS) and Exchange Rate as predictors variables. The Ordinary Least Square multiple regressions with econometric view were used as data analysis techniques. Cointegration test, Granger Causality Test, Augmented Dickey Fuller Test and Error Correction Model were used to examine the variables and its relationship to the dependent variables. Model one revealed that foreign portfolio investment in bonds and foreign portfolio investment in government securities have negative relationship with All Share Price Index while Net Foreign Portfolio investment, foreign portfolio investment in equities and exchange rate have positive relationship with All Share Price Index. Model two revealed that Net Foreign Portfolio Investment, Portfolio Investments in Bonds and Government securities has negative relationship with market capitalization while equity investment and exchange rate have positive relationship with market capitalization. The study concludes that foreign portfolio investment have significant relationship with Nigerian capital market performance. It therefore recommends that policies should be devised to enhance the operational efficiency of the Nigerian capital market, to attract foreign investors.
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Adilieme, Chibuikem, and Obinna Umeh. "Sensitivity of Real Estate Investment Return to Market Return Index: The Case of Nigerian Real Estate Investment Trusts." Baltic Journal of Real Estate Economics and Construction Management 8, no. 1 (January 1, 2020): 197–207. http://dx.doi.org/10.2478/bjreecm-2020-0014.
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Abstract The level of sensitivity of every investment option to a market index is crucial to investors. Sensitivity analysis of individual or a set of returns on investments to market return index predicts the reaction of the investment(s) to changes in the market index; informs investors of prospective performance of different investments types; as well as assists the investors in making appropriate decisions on investment selections. This paper assessed how sensitive indirect real estate investments in Nigeria were to market index. The three companies whose asset returns were considered in this study were real estate investment trusts listed in the Nigerian Stock Exchange. The data used in this study were sourced from annual reports of the listed companies, and reports of the Nigerian Stock Exchange. The beta coefficients were used to determine the sensitivity of the selected stocks to market return index. The study found a very low and insignificant beta coefficient among various real estate investments and market return index. Hence, there is no relationship between the market return index and the returns on the Real Estate Investment Trusts listed in the Nigerian Stock Exchange.
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Van Dyk, Francois, Gary Van Vuuren, and Paul Styger. "Improved investment performance using the portfolio diversification index." Journal of Economic and Financial Sciences 5, no. 1 (April 30, 2012): 153–74. http://dx.doi.org/10.4102/jef.v5i1.311.
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The residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification measurement (Portfolio Diversification Index), free from market index influences, has been recently introduced. This article explores whether this index is a robust and ‘good’ diversification measure compared with the residual variance method. South African unit trusts are diversification-ranked using the two measures and the results compared to the ranking results of several risk performance measures. Measuring relative concentration levels allows concentration risk to be effectively managed, thereby filling a gap in the Basel accords (which omit concentration risk).
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Kwon, Soon Shin, Byung Jin Kang, and Jay M. Chung. "Performance of Option Based Strategy Benchmark Index." Journal of Derivatives and Quantitative Studies 26, no. 2 (May 31, 2018): 183–216. http://dx.doi.org/10.1108/jdqs-02-2018-b0002.
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This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively analyze the performance of these SBIs, we classified them into four types : (1) Return enhancement SBIs (six indices), (2) Volatility trading SBIs (two indices), (3) Directional trading SBIs (two indices) and (4) Other SBIs (two indices). The return enchancement SBIs include bechmark indices tracking the performance of various covered call strategies and put writing strategies, which are generally used to increase investment returns. The volatility trading SBIs include benchmark indices tracking the performance of well-known volatility trading strategies such as butterfly spread and condor. Benchmark indices tracking the performance of various types of zero-cost collar strategies are classified into the directional trading SBIs. Our empirical results are as follows. First, the risk-adjusted performances of nine SBIs of the total twelve SBIs constructed from KOSPI200 index options has been shown to be great. Second, from a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third, even when we use the traditional mean-variance framework other than expected utility theory to verify the economic benefit of the SBIs, our empirical results are found to be still valid. In conclusion, our results suggest that some passive investment strategies using KOSPI200 index options would be beneficial to long term investors.
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Roy, Subrata. "Multi-Index Conditional Investment Performance Measure: An Empirical Analysis." GIS Business 11, no. 3 (June 25, 2016): 14–31. http://dx.doi.org/10.26643/gis.v11i3.3434.
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The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.
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Roy, Subrata. "Multi-Index Conditional Investment Performance Measure: An Empirical Analysis." GIS Business 11, no. 4 (July 5, 2016): 14–31. http://dx.doi.org/10.26643/gis.v11i4.3429.
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The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.
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Roy, Subrata. "Multi-Index Conditional Investment Performance Measure: An Empirical Analysis." GIS Business 12, no. 1 (February 3, 2017): 14–31. http://dx.doi.org/10.26643/gis.v12i1.3374.
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The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.
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Roy, Subrata. "Multi-Index Conditional Investment Performance Measure: An Empirical Analysis." GIS Business 12, no. 2 (March 10, 2017): 14–31. http://dx.doi.org/10.26643/gis.v12i2.3360.
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The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.
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Aspadarec, Waldemar. "Investment performance of hedge funds." Folia Oeconomica Stetinensia 13, no. 1 (December 1, 2013): 174–85. http://dx.doi.org/10.2478/foli-2013-0001.
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Abstract Economic function of hedge funds is exactly the same as the one performed by investment funds. In both cases managers are in charge of investors’ money. Investors hope that if they withdraw their money, they will recover their contribution and fair return. The first section of the article presents the essence of hedge funds. The second section discusses measures for assessing the effects of investment policy pursued by hedge funds. The third section analyses the investment performance of hedge funds compared to S&P 500 index. The results of the analysis enabled the author to state that hedge funds achieve considerably higher rates of return regardless of market situation.
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BinMahfouz, Saeed, and M. Kabir Hassan. "Sustainable and socially responsible investing." Humanomics 29, no. 3 (August 23, 2013): 164–86. http://dx.doi.org/10.1108/h-07-2013-0043.
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PurposeThere is a great deal of research that has been done to investigate the investment characteristics of conventional socially responsible investment portfolios compared to their broader conventional counterparts. However, the impact of incorporating sustainability criteria into the traditional Sharia screening process has not so far been investigated. Therefore, the study aims to give empirical evidence as to whether or not incorporating sustainability socially responsible criteria in the traditional Sharia screening process has a significant impact on the investment characteristics of the Islamic investment portfolio.Design/methodology/approachThe paper examines the investment characteristics of four groups of investment portfolios mainly, Dow Jones Global Index, Dow Jones Sustainability World Index, Dow Jones Islamic Market World Index and Dow Jones Islamic Market Sustainability Index. To improve the robustness of the study, the analysis was carried out at different levels. First, absolute mean return and t‐test were used to examine whether the difference between the different groups of investments is statistically significant or not. Second, risk adjusted equilibrium models, both single‐index and Fama and French multi‐index, were employed. This is to control for different risk exposure and investment style bias associated with different investment portfolios examined.FindingsThe paper finds that neither the Sharia nor the sustainability screening process seems to have an adverse impact on the performance and systematic risk of the investment portfolios compared to their unrestricted conventional counterparts. Therefore, Muslim as well as socially responsible investors can choose investments that are consistent with their value systems and beliefs without being forced to sacrifice performance or expose to higher systematic risk.Originality/valueThe study contributes to the existing literature by giving new evidence on the impact of incorporating sustainability criteria into the traditional Sharia screening process that has not so far been investigated.
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이상원. "A Study on Performance of Social Responsibility Investment Index." Korean Journal of Financial Engineering 10, no. 4 (December 2011): 123–40. http://dx.doi.org/10.35527/kfedoi.2011.10.4.006.
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Felani, Herman, Sri Wahyuni, and Bima Cinintya Pratama. "The Analysis Effect of Islamicity Performance Index on the Financial Performance of Sharia Commercial Banks in Indonesia." Journal of Economics Research and Social Sciences 4, no. 2 (December 11, 2020): 129–39. http://dx.doi.org/10.18196/jerss.v4i2.8389.
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This research aims to find empirical effect evidence of Islamicity Performance Index on the financial performance of sharia commercial banks in Indonesia. The index of Islamicity Performance Index used in this research was the profit-sharing ratio, zakat performance ratio, equitable distribution ratio, directors-employees welfare ratio, Islamic income vs non-Islamic income, Islamic investment vs non-Islamic investment. This research used a quantitative approach and used secondary data in the form of sharia commercial bank financial statements for the periode of 2010-2018. The sampling technique in this research used purposive sampling and obtained 13 samples of sharia commercial banks with 117 observational data. The analytical method used in this research is multiple linear regression. Based on the result of this research, it can be concluded that zakat performance ratio, equitable distribution ratio, directors-employees welfare ratio, Islamic investment vs non-Islamic investment do not affect financial performance. While the profit-sharing ratio, Islamic income vs non-Islamic income have negative effects on financial performance
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Clarkson, R. S. "The measurement of investment risk." Journal of the Institute of Actuaries 116, no. 1 (June 1989): 127–78. http://dx.doi.org/10.1017/s0020268100036489.
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1.1 In the paper ‘Improving the Performance of Equity Portfolios’ by Clarkson and Plymen the authors concluded that Modern Portfolio Theory methods made no contribution whatever to improving the performance of equity portfolios and suggested that attention should be paid instead to the application of fundamental analysis, which—if carried out by skilled and experienced analysts—should lead to higher expected returns. The only practical application of techniques related to Modern Portfolio Theory appeared to be in the area of Index Funds, where it is desired to track the performance of a chosen index as closely as possible.
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Clarkson, R. S. "The Measurement of Investment Risk." Transactions of the Faculty of Actuaries 41 (1987): 677–750. http://dx.doi.org/10.1017/s0071368600009903.
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1.1 In the paper “Improving the Performance of Equity Portfolios” by Clarkson and Plymen (presented to the Institute of Actuaries on 25th April 1988) the authors concluded that Modem Portfolio Theory methods made no contribution whatever to improving the performance of equity portfolios and suggested that attention should be paid instead to the application of fundamental analysis, which—if carried out by skilled and experienced analysts—should lead to higher expected returns. The only practical application of techniques related to Modem Portfolio Theory appeared to be in the area of Index Funds, where it is desired to track the performance of a chosen index as closely as possible.
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Makruflis, Muhammad. "Pengukuran Kesehatan Bank Syariah Berdasarkan Islamicity Performance Index." IQTISHADUNA: Jurnal Ilmiah Ekonomi Kita 8, no. 2 (December 19, 2018): 225–36. http://dx.doi.org/10.46367/iqtishaduna.v8i2.176.
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This research is motivated by the performance of Islamic banks in Pekanbaru as measured in terms of the Islamicity Performance Index. This research is field research, with qualitative descriptive methods. The sampling method uses simple random sampling. The number of respondents in this study amounted to 93 people. Data collection is done by means of observation, interviews, documentation and questionnaires. Based on strategic planning and Islamicity Performance Index using Islamic economic perspective in the form of financial ratios namely profit sharing ratio, zakat performance ratio, equitable distribution ratio, director employee welfare ratio, Islamic investment versus non-Islamic investment ratio and Islamic income versus non-Islamic income and more focused the zakat performance ratio shows that the financial performance of Bank Muamalat Indonesia is better than Bank Syariah Mandiri.
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Ismunarti, Nurbani Aulia, Bambang Sunarko, and Tohir Tohir. "ANALISIS PENILAIAN HARGA WAJAR SAHAM MENGGUNAKAN PENDEKATAN DIVIDEND DISCOUNT MODEL, PRICE EARNING RATIO DAN PRICE TO BOOK VALUE." Performance 23, no. 2 (August 10, 2017): 47. http://dx.doi.org/10.20884/1.performance.2016.23.2.277.
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The purpose of this research is to determine the intrinsic value of coal mining company stock listed in LQ45 Index during 2010-2014 period used Dividend Discount Model (DDM) Pertumbuhan Berganda, Price Earning Ratio (PER) and Price to Book Value (PBV) approach. Intrinsic value will compared with market stock value, henceforth be one of basic for taking investment decision in capial market. Difference of intrinsic stock value with market stock value is tasted by Paired Sample T-Test. For this research, the sample used is PT. Adaro Energy Tbk (ADRO), PT. Indo Tambangraya Megah Tbk (ITMG) and PT. Bukit Asam Tbk (PTBA).The result of this research showed that the market stock value of the coal mining company listed in LQ45 Index is higher than intrinsic stock value (overvalued) based DDM Pertumbuhan Berganda and PBV approach. While based PER approach, the market stock value of the coal mining company is lower than intrinsic stock value (undervalued). And then, for the result of paired sample t-test showed that based on DDM Pertumbuhan Berganda , PER and PBV approach has a significant difference between intrinsic value with market stock value.
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Cadsby, Charles Bram. "Investment performance of Canadian real estate stocks using sharpe's performance index: A comment." Managerial and Decision Economics 9, no. 1 (March 1988): 75–76. http://dx.doi.org/10.1002/mde.4090090109.
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Wulandari, Diah, Dwi Ispriyanti, and Abdul Hoyyi. "OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45." Jurnal Gaussian 7, no. 2 (May 30, 2018): 119–31. http://dx.doi.org/10.14710/j.gauss.v7i2.26643.
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Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF 8%, KLBF 23%, TLKM 23%, and UNVR 23%. While the SIM method of candidate portfolio obtained is AKRA with weight 15,459%, BBCA 48,193%, BBNI 5,028%,KLBF 0,258% and TLKM 31,062%. Portfolio performance meter is used by sharpe ratio. The value of sharpe ratio is 0,36754 for optimal portfolio using MAD method and 0,40782 for optimal portfolio using SIM method, this means that optimal portfolio using SIM method has better performance than MAD. Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio
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Vyšniauskas, Povilas, and Aleksandras Vytautas Rutkauskas. "Performance Evaluation of Investment (Mutual) Funds." Business: Theory and Practice 15, no. 4 (December 19, 2014): 398–407. http://dx.doi.org/10.3846/btp.2014.421.
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The efficiency of an investment fund is one of the main components in evaluating the performance of the fund. This study seeks for introducing and comparing risk and performance evaluation ratios. The paper is aimed at testing the worked out ratios and at distinguishing between the best ones for the purpose of evaluating the performance of Lithuanian mutual funds. Scientific studies show that a standard deviation, alpha, beta, Sharpe and Treynor ratios are mostly employed for identifying the performance of mutual funds that are also compared with their benchmark index to establish if these funds are outperformed and if is it worth paying management fees to investment banks for managing mutual funds. Historical data were selected for the period from 2012-01-02 to 2013-10-15 analysing the prices of monthly funds. The paper points out the areas of a practical application of the proposed model for investment fund valuation, which may not only provide valuable outcomes for practitioners but also may inspire further research on this article.
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Syafrida, Ida, Indianik Aminah, and Bambang Waluyo. "Perbandingan Kinerja Instrumen Investasi Berbasis Syariah dengan Konvensional di Pasar Modal Indonesia." Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah 6, no. 2 (July 29, 2014): 195–206. http://dx.doi.org/10.15408/aiq.v6i2.1230.
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The Performance Comparation between sharia instrument performance and conventional syariah The main objective of investors in investment activities is to get the profit. Similarly, investors in Islamic investment activities want the same things. But often the performance of sharia instruments deemed lower than conventional instruments, so market share Sharia-compliant investment instruments is still minimal. This research doing comparation performance index and mutual fund index between shariah based and conventional based. Based on the results of research that takes samples Islamic instruments of capital markets such as sharia Islamic stocks and sharia mutual funds, it is concluded that the performance of sharia-based investment instruments are not significantly different from the conventional investment instruments, even during the period of research Islamic investment instruments showed slightly better performance. DOI:10.15408/aiq.v6i2.1230
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Clarkson, R. S. "A Continuous Performance Investigation of Selected United Kingdom Equities." British Actuarial Journal 5, no. 4 (October 1, 1999): 801–22. http://dx.doi.org/10.1017/s1357321700000660.
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ABSTRACTThis paper extends and develops the strategy investment approach first described in a paper to the 1997 Investment Conference of the Faculty and Institute of Actuaries. Selected constituents of the FTSE-100 Index are partitioned each month into groups of ten in terms of relative attractiveness as estimated by a utility function involving expected earnings growth over the following twelve months and prospective price-earnings ratio. The relative performances of these monthly cohorts of selections are then calculated at monthly intervals using principles similar to those used in mortality rate investigations. The mean values and the underlying variability of these relative performances suggest that the strategy investment approach provides a very powerful and consistent framework for successful equity share selection. Finally, the outline of a fundamental preferences model for performance relative to an equity market index is put forward as a possible replacement for the Capital Asset Pricing Model as the basic theoretical framework for equity share returns.
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Lv, Licai, Simei Wen, and Qiquan Xiong. "Determinants and performance index of foreign direct investment in China's agriculture." China Agricultural Economic Review 2, no. 1 (February 2, 2010): 36–48. http://dx.doi.org/10.1108/17561371011017487.
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Zinkhan, F. Christian, and Kossuth Mitchell. "Timberland Indexes and Portfolio Management." Southern Journal of Applied Forestry 14, no. 3 (August 1, 1990): 119–24. http://dx.doi.org/10.1093/sjaf/14.3.119.
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Abstract This paper explores two timberland index applications: asset allocation and investment performance evaluation. The Southern Timberland Index Fund (STIF), a southern pine index fund, is adopted for use in these applications. In the asset allocation application, the mean risk of risk-return efficient portfolios containing financial assets and the STIF is discovered to be 43% less than the mean risk of the efficient portfolios containing only financial assets. Efficient portfolios contain the STIF in proportions as high as almost 30%. As far as performance is concerned, a timberland index is suggested for use as a benchmark for evaluating (1) timberland investment managers and (2) the investment performance of timberland versus other investment alternatives. Before such applications become commonplace, it is concluded that problems associated with existing timberland indexes be addressed. South. J. Appl. For. 14(3):119-124.
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Al-Rimawi, Mohammed Ali, and Thair Adnan Kaddumi. "Factors affecting stock market index volatility: Empirical study." Journal of Governance and Regulation 10, no. 3 (2021): 169–76. http://dx.doi.org/10.22495/jgrv10i3art15.
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How is stock market price volatility affected, and what is the nature of the impact that macroeconomic variables do on the stock market price direction? The main objective of this study is to investigate the impact of some selected macroeconomic variables (inflation rate (INR), interest rate (IR), economic growth rate (EGR), and foreign investment (FI)) on Amman Stock Exchange (ASE) fluctuation for the period 1999–2018. The information is based on the annual data published by industrial companies listed at ASE. The study adopted a descriptive-analytical approach, also simple and multiple linear regression analysis was employed for the mentioned purpose (Nurfadilah & Samidi, 2017). The results revealed that there is no statistically significant impact of INR, IR, EGR, and FI collectively on ASE performance (Niewińska, 2020). Individually, the results indicated that there is a statistically significant impact of all variables (INR, IR, EGR, and FI) on ASE performance. Additionally, the results concluded that foreign investment, portrayed the highest impact factor on ASE performance, followed by a change in average interest rate, then inflation rate, and the least impact attributes to the economic growth rate. Finally, the research recommends that Jordanian banks should reduce the lending interest rate to enhance investment in securities and improve economic growth rate, also Jordanian authorities should encourage foreign direct and indirect investment and make more efforts to attract more foreign investment, either in the form of tax incentives or by extending finance at low-interest rates.
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Ivković, Zoran, Clemens Sialm, and Scott Weisbenner. "Portfolio Concentration and the Performance of Individual Investors." Journal of Financial and Quantitative Analysis 43, no. 3 (September 2008): 613–55. http://dx.doi.org/10.1017/s0022109000004233.
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AbstractThis paper tests whether information advantages help explain why some individual investors concentrate their stock portfolios in a few stocks. Stock investments made by households that choose to concentrate their brokerage accounts in a few stocks outperform those made by households with more diversified accounts (especially among those with large portfolios). Excess returns of concentrated relative to diversified portfolios are stronger for stocks not included in the S&P 500 index and local stocks, potentially reflecting concentracted investors' successful exploitation of information asymmetries. Controlling for households' average investment abilities, their trades and holdings perform better when their portfolios include fewer stocks.
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Liu, Guizhou, and Shigeyuki Hamori. "Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?" Energies 13, no. 5 (March 4, 2020): 1179. http://dx.doi.org/10.3390/en13051179.
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Studies on the environmental, social, and governance (ESG) index have become increasingly important since the ESG index offers attractive characteristics, such as environmental friendliness. Scholars and institutional investors are evaluating if investment in the ESG index can positively change current portfolios. It is crucial that institutional investors seek related assets to diversify their investments when such investors create funds in the renewable energy sector, which is highly related to environmental issues. The ESG index has proven to be a good investment choice, but we are not aware of its performance when combined with renewable energy securities. To uncover this nature, we investigate the dependence structure of the ESG index and four renewable energy indices with constant and time-varying copula models and evaluate the potential performance of using different ratios of the ESG index in the portfolio. Criteria such as risk-adjusted return, standard deviation, and conditional value-at-risk (CVaR) show that the ESG index can provide satisfactory results in lowering the potential CVaR and maintaining a high return. A goodness-of-fit test is then used to ensure the results obtained from the copula models.
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a, Oleh. "ANALYSIS OF COMPANY PERFORMANCE AS ISSUERS BASED ON THE COMPASS 100 INDEX ON MARKET PRICES." International Journal of Advanced Research 9, no. 5 (May 31, 2021): 1279–87. http://dx.doi.org/10.21474/ijar01/12968.
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The background of this research is the desire of investors and issuers so that the individual stock price index continues to increase in the Indonesian stock market, in fact, fluctuates where investment stores and previous studies have stated the influence between company performance variables, investor expectations, investment risk on market prices and their impact on the index individual share price The research objective is to give investors confidence to invest in the Indonesian stock market by analyzing the effect of company performance, investor expectations, investment risk on market prices, and their impact on the individual stock price index. The sampling technique used is a nonprobability sampling from the Indonesia Stock Exchange data from September 2015- May 2018 with the Kompas Index 100 as an index of 100 liquid companies which is one of the references for investors to invest, the Analysis Technique uses Structural Equation Modeling (SEM) with the approach WarpPLS The research results concluded Company performance has a direct effect on market prices and has an indirect effect on the individual stock price index through market prices, investor expectations do not have a direct effect on market prices but have an indirect effect on the individual stock price index through market prices, investment risk does not directly affect market prices but indirect effect on the individual stock price index through market prices and market prices have a direct effect on the individual stock price index.
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Bano, Yasmeen, and S. Vasantha. "Performance Analysis of the Index Mutual Fund." Asian Journal of Managerial Science 8, no. 1 (February 5, 2019): 1–5. http://dx.doi.org/10.51983/ajms-2019.8.1.1472.
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A mutual fund is a professionally managed investment fund that pools together the savings of a number of investors who shares the common financial goals. These investors may be retail or institutional in nature. It offers small or individual investors access to professionally managed portfolios of equities, bonds and other securities. The paper is the study of the performance of Index fund. This is analyzed empirically since the period of 2012 – 2017. The main objective of this research is to evaluate the performance of Index funds. The study examined three parameters such as active returns, tracking error and Jensen’s alpha. In this paper the data has been collected from the secondary sources.
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Kerr, Richard F., and Matthew J. Rogers. "FINRA relaxes restrictions on pre-inception performance data." Journal of Investment Compliance 20, no. 3 (October 14, 2019): 6–9. http://dx.doi.org/10.1108/joic-04-2019-0026.
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Purpose To explain the significance of a recently issued interpretive letter in which FINRA staff agreed to permit the use of pre-inception index performance data by passively managed, registered open-end investment companies. Design/methodology/approach FINRA recently issued an interpretive letter extending previously issued guidance by permitting passively managed open-end registered investment companies including separately-managed series of a business trust to use pre-inception index performance data in Institutional Communications. Findings The 2019 Letter is an important shift in how FINRA staff views PIP data in Institutional Communications by acknowledging that passively managed open-end funds should be treated in a similar manner as passively managed exchange-traded funds. This shift will be a welcome development for FINRA member firms wishing to include PIP data in marketing materials for the passively managed open-end funds they distribute. Originality/value Practical guidance from experienced investment management and broker-dealer lawyers.
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Owadally, Iqbal, Jean-René Mwizere, Neema Kalidas, Kalyanie Murugesu, and Muhammad Kashif. "Long-Term Sustainable Investment for Retirement." Sustainability 13, no. 9 (April 29, 2021): 5000. http://dx.doi.org/10.3390/su13095000.
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We consider whether sustainable investment can deliver performance comparable to conventional investment in investors’ long-term retirement plans. On the capital markets, sustainable investment can be achieved through various instruments and strategies, one of them being investment in mutual funds that subscribe to ESG (environmental, social, and governance) principles. First, we compare the investment performance of ESG funds with matched conventional funds over the period 1994–2020, in Europe and the U.S. We find no significant evidence of differing performance (at 5% level) despite using a number of investment performance metrics. Second, we perform a historical backtest to model a UK personal retirement plan from 2000 till 2020, taking full account of investment management fees and transaction costs. We find that investing in an index-tracker fund overlaid with ESG screening delivers a pension which is 10.4% larger than is achieved if the index-tracker fund is used without screening. This is also 20.2% larger than is achieved by investing in a collection of actively managed funds with a sustainable purpose. We conclude that an ESG-screened long-term passive investment approach for retirement plans is likely to be successful in satisfying the twin objectives of a secure retirement income and of sustainability.
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Raza, Ali, Hongguang Sui, Kittisak Jermsittiparsert, Wioletta Żukiewicz-Sobczak, and Pawel Sobczak. "Trade Liberalization and Environmental Performance Index: Mediation Role of Climate Change Performance and Greenfield Investment." Sustainability 13, no. 17 (August 30, 2021): 9734. http://dx.doi.org/10.3390/su13179734.
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At present, concerns regarding climate change are common, especially in countries more vulnerable to environmental degradation. Greenhouse gases, including carbon emissions, are mainly considered to deteriorate the environment. Despite substantial agreement on many environmental issues, there are also important differences between regions and countries, and often, within nations. Accordingly, this study aims to examine the environmental performance of South and East Asian countries and its association with trade and other economic variables. Panel regression techniques and robust checks are used to examine the data, which covers 15 years from 2002 to 2016. The findings suggest an extensive negative association between trade liberalization and the environmental performance of selected countries. It is also shown that climate change performance is an important channel for the overall environmental change. The results regarding heterogeneous differences affirm the concept of sustainability and the pollution halo hypothesis. However, it is suggested that each country should make an effort to improve its environmental performance along with economic development. The role of green innovation and renewable energy is very crucial in this regard. The outcomes of this study could be helpful for researchers and policymakers to form better policies regarding the environment and climate change.
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Nerlinger, Martin. "Will the DAX 50 ESG Establish the Standard for German Sustainable Investments? A Sustainability and Financial Performance Analysis." Credit and Capital Markets – Kredit und Kapital: Volume 53, Issue 4 53, no. 4 (October 1, 2020): 461–91. http://dx.doi.org/10.3790/ccm.53.4.461.
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The demand for sustainable investments is growing worldwide. As a result, the DAX 50 ESG was introduced in March 2020 as the first ESG index by the German stock exchange. It is promoted as the new standard for German sustainable investments. We are the first to comprehensively examine the financial and non-financial performance of the index and its constituents. Therefore, we examine the sustainability performance using both ESG criteria and the alignment of products and services with the Sustainable Development Goals. Our results show that the DAX 50 ESG may only to a limited extent be promoted as the most sustainable German index. Moreover, since inception as well as during the COVID-19 crisis, the DAX 50 ESG’s financial performance is comparatively worse. Our findings suggest that stock markets penalize the inclusion of a firm in the DAX 50 ESG in the short run, thus affecting the overall index performance. Our analysis of the DAX 50 ESG further increases investor attention to sustainable financial products and enables better investment decisions.
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Śliwiński, Paweł, and Maciej Łobza. "The impact of global risk on the performance of socially responsible and conventional stock indices." Equilibrium 12, no. 4 (December 31, 2017): 657–74. http://dx.doi.org/10.24136/eq.v12i4.34.
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Research background: In the last decades social responsible investment has evolved into an important and influential investment class. What supports then the development of SRI? The neoclassical approach suggests that the attractiveness of investment should result from the risk-return relationship that is satisfying for the investor. However, the performance analysis of SRI vs. conventional investment, conducted in numerous research papers, often delivers contradictory conclusions. If financial factors could not explain the phenomenon of SRI, nonfinancial factors may have played a decisive role in the formation of modern SRI market.
Purpose of the article: The purpose of this paper is to analyze financial investment perfor-mance of socially responsible vs. respective conventional indices in the periods of high, low and unidentified global risk. Therefore, a following research hypothesis was verified: SR indices perform financially better in high-risk periods than in low-risk periods. This hypoth-esis is justified by the assumption that, when selecting SRI, investors go by a longer invest-ment horizon than they do when selecting other investments, not subject to such verification.
Methods: Among SR indices, we chose three to compare them with their conventional counterparts: DJSI US vs. DJITR (USA), DJSI Korea vs. KOSPI (South Korea) and Respect Index vs. WIG20TR (Poland). The VIX index was used as the global measure of risk aver-sion. To measure the relative performance of SR and conventional indices in different risk periods, we applied risk-adjusted performance measures, including RSD, Sharpe and Treynor ratios, traditional and asymmetrical CAPM.
Findings & Value added: The research shows that conventional and socially responsible indices do not differ statistically in terms of risk and return irrespective of global risk. Our research confirms that the rising, socially responsible, investment market cannot be analyzed only through the prism of simplified rational choices. Additionally, it should be analyzed in terms of moral philosophy and behavioral economics, including the psycho-social features of investors.
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Nurul Suryawati, Baiq, Laila Wardani, Sulaeman Sarmo, and Iwan Kusmayadi. "KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST." Distribusi - Journal of Management and Business 6, no. 1 (April 11, 2018): 23–46. http://dx.doi.org/10.29303/distribusi.v6i1.17.
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ABSTRACTThe main purpose of this research is evaluating portfolio performance of variousindexes that comprises constituent index in Indonesia Stock Exchange. The performance of evaluation calculatesbasedon Sortino,Modigliani Square and Roy Safety First ratio. Hence, the difference between its portfolios performances will shows the significance of each market’s differentite. The indexesare LQ 45, Jakarta Islamic Index (JII), Indeks Saham Syariah Indonesia, and BISNIS 27. The result shows that there is significance different between the share markets whereas the investment pattern of portfolio will represents investor’s desired return. However, as the measurementrealize on adjusting return and risk, thus, it will necessary to enhance investor’s with more pragmatic method such as share price volatility to persuade more investment. Share price volatility, furthermore, will give more precise information about how return created to profit investors.Keywords: Indexes, Investment, Portfolio Mesurement, Sortino, Modigliani Square, Roy Safety First
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Nurul Suryawati, Baiq, Laila Wardani, Sulaeman Sarmo, and Iwan Kusmayadi. "KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST." Distribusi - Journal of Management and Business 6, no. 1 (April 11, 2018): 23–46. http://dx.doi.org/10.29303/jdm.v6i1.17.
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ABSTRACTThe main purpose of this research is evaluating portfolio performance of variousindexes that comprises constituent index in Indonesia Stock Exchange. The performance of evaluation calculatesbasedon Sortino,Modigliani Square and Roy Safety First ratio. Hence, the difference between its portfolios performances will shows the significance of each market’s differentite. The indexesare LQ 45, Jakarta Islamic Index (JII), Indeks Saham Syariah Indonesia, and BISNIS 27. The result shows that there is significance different between the share markets whereas the investment pattern of portfolio will represents investor’s desired return. However, as the measurementrealize on adjusting return and risk, thus, it will necessary to enhance investor’s with more pragmatic method such as share price volatility to persuade more investment. Share price volatility, furthermore, will give more precise information about how return created to profit investors.Keywords: Indexes, Investment, Portfolio Mesurement, Sortino, Modigliani Square, Roy Safety First
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Galanova, Alexandra, Maria Lutsenko, and Jorge Zamorano. "Investments in Contemporary Russian Artwork as an Alternative Form of Investment." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 14, no. 3 (September 30, 2020): 7–18. http://dx.doi.org/10.17323/j.jcfr.2073-0438.14.3.2020.7-18.
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In the last decades of the 20th century, various classes of alternative investments have become increasingly popular among investors. During this time, art as a form of alternative investment attracted attention not only from potential buyers but also from academic scholars. Unfortunately, only a few of the newly published papers contained any quantitative analysis with regard to art’s investment performance. Besides, even a smaller amount of research was devoted to the analysis of Russian art markets. Therefore, the purpose of this work is to evaluate the efficiency of investments in the artworks of contemporary Russian painters and to compare the effectiveness of these investments with the effectiveness of investments in stock, bond and real estate markets in Russia and the USA. For this research, we first conduct a hedonic regression analysis on the data available for 1950-2019 time period. After that, we build a hedonic price index for the canvases of contemporary Russian artists. According to the results, the trend of this index reiterates largely the price behavior for world contemporary art market. However, the results of this study indicate that investments in contemporary Russian art do not outperform investments in instruments of Russian and American capital and real estate markets. These results were derived by applying the CAPM model which demonstrated that Russian art as a form of alternative investment is not advisable for the purposes of diversification of investment portfolios. Based on these findings, contemporary Russian art in general can be considered an unattractive instrument for Russian and foreign investors.
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AMMANN, MANUEL, and ANDREAS ZINGG. "Performance and governance of Swiss pension funds." Journal of Pension Economics and Finance 9, no. 1 (August 18, 2008): 95–128. http://dx.doi.org/10.1017/s1474747208003788.
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AbstractWe investigate the relationship between pension fund governance and investment performance. For this purpose, we develop the Swiss Pension Fund Governance Index (SPGI) which is a standard metric for the governance quality of Swiss pension funds. The empirical analysis is based on a sample of 96 pension funds with total assets of more than CHF 190 billion. We find evidence for governance issues in the area organization and target setting. Our results support the widespread hypothesis of a positive relationship between pension fund governance and investment performance.
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Chen, Chia-Cheng, Chun-Hung Chen, and Ting-Yin Liu. "INVESTMENT PERFORMANCE OF MACHINE LEARNING: ANALYSIS OF S&P 500 INDEX." International Journal of Economics and Financial Issues 10, no. 1 (January 1, 2020): 59–66. http://dx.doi.org/10.32479/ijefi.8925.
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Yue, Xiao-Guang, Yan Han, Deimante Teresiene, Justina Merkyte, and Wei Liu. "Sustainable Funds’ Performance Evaluation." Sustainability 12, no. 19 (September 29, 2020): 8034. http://dx.doi.org/10.3390/su12198034.
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The purpose of this research is to consider if the growing popularity of sustainable investment does not create additional risks in investing. Different views on sustainable investments were analyzed to identify different approaches to the main risks. A quantitative analysis was carried out to investigate the possible benefits and advantages of sustainable investment. Without taking into account the social perks of investing in sustainable funds, this study evaluates the performance and economic returns of both sustainable and traditional funds. The research was carried out in two parts by comparing samples of 30 sustainable and 30 traditional funds. Firstly, such methods as annual returns, standard deviations, Sharpe ratios, skewness, and kurtosis were calculated and analyzed. The Capital Asset Pricing Model (CAPM), Fama–French three-factor model and Carhart four-factor model were used to value different market portfolios. The findings of this study suggest that sustainable funds are less risky than traditional funds. However, at the same time, we want to point to pay attention to the period of our analysis and to have in mind that an increasing demand of social responsible assets increases risks as well. However, no clear evidence was found to confirm that sustainable funds can generate higher returns compared to traditional piers or benchmark index. Moreover, after studying different methods the study reveals that the Fama–French three-factor model was the most suitable for explaining the traditional and sustainable funds’ results.
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Caous, Cristofer André, Birajara Machado, Cora Hors, Andrea Kaufmann Zeh, Cleber Gustavo Dias, and Edson Amaro Junior. "Return on Scientific Investment – RoSI: a PMO dynamical index proposal for scientific projects performance evaluation and management." Einstein (São Paulo) 10, no. 2 (June 2012): 222–29. http://dx.doi.org/10.1590/s1679-45082012000200017.
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OBJECTIVE: To propose a measure (index) of expected risks to evaluate and follow up the performance analysis of research projects involving financial and adequate structure parameters for its development. METHODS: A ranking of acceptable results regarding research projects with complex variables was used as an index to gauge a project performance. In order to implement this method the ulcer index as the basic model to accommodate the following variables was applied: costs, high impact publication, fund raising, and patent registry. The proposed structured analysis, named here as RoSI (Return on Scientific Investment) comprises a pipeline of analysis to characterize the risk based on a modeling tool that comprises multiple variables interacting in semi-quantitatively environments. RESULTS: This method was tested with data from three different projects in our Institution (projects A, B and C). Different curves reflected the ulcer indexes identifying the project that may have a minor risk (project C) related to development and expected results according to initial or full investment. CONCLUSION: The results showed that this model contributes significantly to the analysis of risk and planning as well as to the definition of necessary investments that consider contingency actions with benefits to the different stakeholders: the investor or donor, the project manager and the researchers.
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Lidyah, Rika. "Islamic Corporate Governance, Islamicityfinancial Performance Index And Fraudat Islamic Bank." Jurnal Akuntansi 22, no. 3 (November 7, 2018): 437. http://dx.doi.org/10.24912/ja.v22i3.398.
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This research empirically tested the factors of fraud occurrence in sharia banks based on fraud triangle theory, which is motivation, opportunity and rationalization must be fulfilled for the occurrence of fraud. This research develops indicators as a proxy of motivation, opportunity and rationalization. Factors tested in this research is the Islamic Corporate Governance to fraud with the Islamicity Financial Performance Index as a mediator in sharia banks 2012-2016.This research using quantitative method with secondary data. Data are obtained from annual reports published by Islamic banks. The test is done by path analysis and processed using SPSS. The result of research shows that Islamic Corporate Governance has no effect to Islamicity Performance Index, Islamic Income Ratio, Profit Sharing Ratio and Islamic Investment Ratio (Islamicity Financial Performance Index) influence to Fraud, Islamic Corporate Governance has no effect to Fraud, and Islamic Income Ratio, Profit Sharing Ratio and Islamic Investment Ratio (Islamicity Financial Performance Index) does not mediate the influence of Islamic Corporate Governance to Fraud on Islamic Bank or it can be said that there is no mediation. This research shows that factors based on fraud triangle are effective for use in explaining fraud.
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Lusyana, Devi, and Mohamed Sherif. "Shariah-compliant investments and stock returns: evidence from the Indonesian stock market." Journal of Islamic Accounting and Business Research 8, no. 2 (April 10, 2017): 143–60. http://dx.doi.org/10.1108/jiabr-10-2015-0052.
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Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.
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Azhar, Jeihan Ali, and Resti Wulandari. "Comparison of Stock Performance Based on Ethical Investment: Evidance on JII and SRI-KEHATI Indices." EkBis: Jurnal Ekonomi dan Bisnis 4, no. 2 (December 28, 2020): 423. http://dx.doi.org/10.14421/ekbis.2020.4.2.1249.
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This research aims to analyze and compare the performance of the Islamic stock portfolio represented by the JII index and ethical investment represented by the SRI-KE-HATI index by measuring the Risk Adjustment Return Index through the Sharpe index, Treynor index, and Jensen Index differential return and appraisal ratio. The data analysis of this research consists of five parts, namely descriptive analysis, analysis of stock performance, with three methods, namely Sharpe, Treynor, and Jensen.differential return and appraisal ratio and Multiple Comparison Test. Based on the comparison of the performance of JII and SRI-KEHATI stocks in 2014-2019, it can be concluded that the overall method of Sharpe, Treynor and differential return shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen method and Appraisal Return shows positive performance value, which means good performance. When compared between the performance of JII and SRI-KEHATI shares, there is a difference between the performance of the JII and SRI-KEHATI Indices during the study period
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Lambrev, Dimitar. "Infrastructure Indices: Comparative Analysis of Performance, Risk and Representation of Global Listed Proxies." Naše gospodarstvo/Our economy 65, no. 3 (September 1, 2019): 23–39. http://dx.doi.org/10.2478/ngoe-2019-0011.
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Abstract Faced with historically low interest rates, investors are looking further into illiquid assets such as infrastructure in search of alternative sources of income, better diversification and a long-term investment perspective. This paper analyzes the key performance and risk characteristics of the EDHECinfra global unlisted infrastructure equity index when compared to the main global listed infrastructure indices during the 2001-2018 period. The descriptive statistics method is applied to determine the representation of the benchmarks commonly used by investors considering infrastructure investments. For the purpose of the market beta analysis, the MSCI World index is also used as a global equities proxy in a linear regression model. Listed infrastructure is often considered as an income-yielding and defensive equity strategy that provides a liquid proxy for alternative assets (e.g., infrastructure). However, the paper results indicate that the net effect of investing in listed infrastructure remains questionable, even unknown. Recent empirical findings demonstrate divergent stands on benchmarking infrastructure. The high correlation of the main listed infrastructure indices with the broad equity index MSCI World and the inconsistency of research results thus far suggest that infrastructure is an ill-defined investment category within the listed infrastructure space with lacking reliable and useful benchmarking. The commonly used and far-reaching classification of companies with broad industrial nature and business activities that are less relevant to infrastructure may affect the overall representation of the legitimate characteristics of the infrastructure asset class amid the growing enthusiasm among investors.
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Çamlibel, Mehmet Emre, Levent Sümer, and Ali Hepşen. "RISK-RETURN PERFORMANCES OF REAL ESTATE INVESTMENT FUNDS IN TURKEY INCLUDING THE COVID-19 PERIOD." International Journal of Strategic Property Management 25, no. 4 (May 25, 2021): 267–77. http://dx.doi.org/10.3846/ijspm.2021.14957.
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The purpose of this research is to give an insight into the Turkish real estate investment funds (T-REIFs) by comparing their risk-return performances with the main benchmark investment tool Istanbul Stock Exchange-100 (BIST-100) Index. This study evaluated the performance of T-REIFs in four different periods between January 2017 and December 2020 (2017m1–2017m12, 2018m1–2018m12, 2019m1–2019m12 and 2020m1–2020m12) including the Coronavirus Disease (Covid-19) period by applying the Sharpe and Treynor ratios. In a well-diversified portfolio both ratios give the same results, but in the presence of non-systematic risk and the portfolio is poorly diversified, the Treynor ratio is a better indicator than the Sharpe ratio. The findings of this study show that rankings of Sharpe and Treynor ratios may differ for each period. These results also support the fact that the portfolios of funds in the Turkish real estate market are not well diversified. By providing corporate tax exemptions, and by enabling the investors to diversify their investments and reduce their risks, real estate investment funds are important alternatives to direct real estate investments in Turkey. In that context, being one of the pioneer studies in this niche and a new topic in emerging markets, analyzing the return performances of T-REIFs and comparing them with the returns of the BIST-100 index is aimed to contribute to literature as well as provide insight to investors who may consider investing in the Turkish real estate capital market instruments.
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Shams, Shahabeddin, and Fatemeh Rezvani. "Performance measurement of investment companies with loss aversion in Tehran Stock Exchange." Risk Governance and Control: Financial Markets and Institutions 5, no. 3 (2015): 81–87. http://dx.doi.org/10.22495/rgcv5i3art7.
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This study measures the portfolio performance of listed investment companies in Tehran Stock Exchange (TSE) based on prospect theory. The criterion is measured by the ratio of gain to loss, to reflect risk-aversion in gains and risk-seeking in losses. The sample consists of 15 listed investment companies registered in TSE during 2003-2013. Research variables consist of portfolio return, market return, risk-free return, systematic risk, Treynor and Loss Aversion index. Hypotheses have been tested with Spearman correlation coefficient. The results show that Loss Aversion can be used as a new index for measuring portfolio performance.
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Safitri, Kristika, Tarno Tarno, and Abdul Hoyyi. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)." Jurnal Gaussian 10, no. 2 (May 31, 2021): 230–40. http://dx.doi.org/10.14710/j.gauss.v10i2.29414.
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Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.
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Small, Wayne, and Heng-Hsing Hsieh. "Style Influences And JSE Sector Returns: Evidence From The South African Stock Market." Journal of Applied Business Research (JABR) 33, no. 5 (August 30, 2017): 863–72. http://dx.doi.org/10.19030/jabr.v33i5.10011.
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A distinctive phenomenon on the Johannesburg Stock Exchange (JSE) is the market segmentation between the resource sector and the financial and industrial sectors documented in empirical literature. The dominance of the resource sector in the cap-weighted FTSE/JSE All-Share index (ALSI) implies that the ALSI index might not be mean-variance efficient due to the potential lack of diversification. We estimate and compare the historical sector exposures of the ALSI index to its hypothetically optimal sector exposures over the examination period from 2003 through 2013. It is found that to achieve mean-variance efficiency on the JSE over the examination period, one should maintain substantial investments in the industrial sector and tactically allocate the remainder of the investments to the financial sector and/or the resource sector. It is also observed that the sector exposures of the ALSI index have shifted significantly from the resource sector to the industrial sector. To gain a better understanding of the investment style influences on the JSE sector returns, we further investigate the exposures of the prominent JSE sector returns to the style risks using the Carhart (1997) four-factor model. It is found that investments in financial stocks are exposed to significant value risk and, to some degree, influenced by the performance of large caps on the JSE. In addition, excess returns on the industrial sector are attributed to value, small cap and momentum risk premiums to some degree. The performance of the resource sector, on the other hand, is mildly biased towards the growth, large cap and contrarian investment styles on the JSE.
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Wang, Yu, Kunqi Zhang, Qingbin Cui, and Felix Delgado. "Bond Index Approach to the Evaluation of Transportation P3 Market in the U.S." Transportation Research Record: Journal of the Transportation Research Board 2674, no. 6 (May 22, 2020): 399–409. http://dx.doi.org/10.1177/0361198120919395.
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Private investment through revenue bonds has become an important source of financing for public agencies seeking to implement public–private partnership (P3) projects. It has been a long-standing assumption that private financing exceeds the limited investment opportunity attributed to P3 projects in the pipeline. This assumption, however, remains unexamined. Basic economics theory states that prices go up if demand exceeds supply. Therefore, this study presents the construction and performance of the P3 surface transportation bond index to evaluate private capital for P3 projects. The index will help encourage private investment in P3 projects in addition to measuring the return of such investment on a market basis. The index can also disclose the risks of P3 revenue bonds and potentially offer an investment instrument in the secondary market.
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Clarkson, R. S., and J. Plymen. "Improving the performance of equity portfolios." Journal of the Institute of Actuaries 115, no. 4 (December 1988): 631–91. http://dx.doi.org/10.1017/s0020268100042888.
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This paper has the strictly practical objective of devising procedures for managing Equity portfolios to the best advantage.First, Modern Portfolio Theory, (MPT) which has been developed over the last 35 years with just this objective, is critically examined; from a study of the history of MPT and of its philosophy, principles and practices, the authors conclude that this discipline makes no contribution whatever to improving the performance.The Index Fund step-up is a sterile concept. Surely a professional investment manager, using modern techniques of data banks, investment analysis, etc. should improve on the Index performance. This objective is in conflict with the Perfect Market Principle. For the less erudite investors, who are, of course, in the majority, the Perfect Market Principle may well apply, at any rate, to the well researched leading shares. However, the Perfect Market Principle should not apply to the erudite, professional investor, well equipped and well advised, who should be able to find many opportunities for situations with undervalued and overvalued shares, both among the leading issues and particularly within the smaller companies that get less research attention.