scholarly journals Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market

2021 ◽  
Vol 93 ◽  
pp. 02020
Author(s):  
Danila Ovechkin ◽  
Liudmila Reshetnikova ◽  
Natalia Boldyreva
Keyword(s):  
Time Horizon ◽  
Investment Decisions ◽  
Sharpe Ratio ◽  
Momentum Strategy ◽  
Responsible Investment ◽  
Market Index ◽  
Monthly Return ◽  
Key Factor ◽  
Russian Stock Market ◽  
Asset Managers

In modern conditions, the integration of ESG-criteria into investment decisions of asset managers is considered as a key factor in sustainable economic development. We examine the effectiveness of the Momentum-ESG strategy based on the Responsibility and Openness Index in comparison with the Momentum strategy, which is based on the Moscow Exchange Broad Market Index, since December 2011 to December 2020. We propose an algorithm for integrating ESG criteria into momentum strategy. We select "winners" and "losers" stocks based on their monthly return. The Momentum-ESG strategy has a high Sharpe ratio for a time horizon of 12 months, the Momentum strategy - for a time horizon of 6 months. The testing of the Momentum-ESG strategy shows its greater efficiency in terms of the Sharpe ratio compared to the Momentum strategy, which does not take into account the ESG-factors, in the investing period.

scholarly journals A comparison on the performance and risk diversification benefits of real estate investment trusts in Malaysia and Singapore

2018 ◽  
Vol 56 ◽  
pp. 04005
Author(s):  
Ng Ching Yat David ◽  
Leong May Li ◽  
Lau Teck Chai ◽  
Fitriya Abdul Rahim
Keyword(s):  
Investment Decision ◽  
Investment Decisions ◽  
Sharpe Ratio ◽  
Total Risk ◽  
Real Estate Investment ◽  
Investment Performance ◽  
Risk Diversification ◽  
Market Index ◽  
Rate Of Returns ◽  
Better Than

This study analyses the investment performance and effectiveness of risk diversification between M-REITs’ and S-REITs’ by comparing their respective Sharpe Ratio, Treynor Ratio and Jensen’s Alpha including the diversification measures (unsystematic risk divided by total risk and one-minus R squared) calculated on each REITs. The study period for M-REITs’ extends from 2007 to 2016 and for S-REITs’ from 2002 to 2016. Results shows that M-REITs’ perform better than S-REITs’ in terms of Sharpe ratio, Treynor ratio, and Jensen’s Alpha. Total risk of S-REITs’ are higher than M-REITs’. The Beta values for both M-REITs’ and S-REITs’ are less than one, implying that both categories of REITs are less risky than the market index. M-REITs’ have lower R-Squared values than S-REITs’, which suggests that M-REITs’ are poorly diversified than S-REITs’ and therefore, M-REITs’ have more diversification opportunities. The diversification measures computed for M-REITs’ are higher than S-REITs’ and would imply that M-REITs’ have better rate of returns if M-REITs’ diversify their risk (higher risk diversification benefits). The findings from this study aims to help investors to make better investment decision when investing in M-REITs’ and S-REITs’. Top and poor performers of M-REITs’ and S-REITs’ are determined in this study. The findings from this study aims to assist investors determine better investment decisions when considering investing in M-REITs’ and S-REITs’.

scholarly journals ESG-Washing in the Mutual Funds Industry? From Information Asymmetry to Regulation

Risks ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 199
Author(s):  
Bertrand Candelon ◽  
Jean-Baptiste Hasse ◽  
Quentin Lajaunie
Keyword(s):  
Information Asymmetry ◽  
Mutual Funds ◽  
Investment Decisions ◽  
Financial Information ◽  
Socially Responsible ◽  
Responsible Investment ◽  
International Panel ◽  
Equity Mutual Funds ◽  
Financial Ratings ◽  
Asset Managers

In this paper, we study the asymmetric information between asset managers and investors in the socially responsible investment (SRI) market. Specifically, we investigate the lack of transparency of the extra-financial information communicated by asset managers. Using a unique international panel dataset of approximately 1500 equity mutual funds, we provide empirical evidence that some asset managers portray themselves as socially responsible yet do not make tangible investment decisions. Furthermore, our results indicate that the financial performance of mutual funds is not related to asset managers’ signals but should be evaluated relatively using extra-financial ratings. In summary, our findings advocate for a unified regulation framework that constrains asset managers’ communication.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

Investment Management and the Investment Chain

2017 ◽  
Author(s):  
Diane-Laure Arjaliès ◽  
Philip Grant ◽  
Iain Hardie ◽  
Donald MacKenzie ◽  
Ekaterina Svetlova
Keyword(s):  
Decision Making ◽  
Asset Management ◽  
Investment Decisions ◽  
Investment Management ◽  
Money Flows ◽  
Central Argument ◽  
A Chain ◽  
Asset Managers

Chapter 1 introduces the idea of the chain as related to investment management. It highlights the increasing importance and influence of the asset management industry and argues that, despite this fact, the behaviour and decision-making of asset managers has been little studied. The chapter suggests that investment decisions today cannot be understood by focusing on isolated investors. Rather, most of their money flows through a chain: a sequence of intermediaries that ‘sit between’ savers and companies/governments. The chapter introduces the central argument of the book that investment management is shaped profoundly by the opportunities and constraints that this chain creates.

scholarly journals Investment Decisions and Time Horizon: Risk Perception and Risk Behavior in Repeated Gambles

2005 ◽  
Vol 51 (12) ◽  
pp. 1777-1790 ◽  
Author(s):  
Alexander Klos ◽  
Elke U. Weber ◽  
Martin Weber
Keyword(s):  
Risk Perception ◽  
Risk Behavior ◽  
Time Horizon ◽  
Investment Decisions

The Steinhoff signals: The role of responsible investing for asset managers

2020 ◽  
pp. 1-17
Author(s):  
Hendrik Jacobus Haasbroek ◽  
Geoff Bick ◽  
Stephanie Giamporcaro
Keyword(s):  
Corporate Governance ◽  
Boards Of Directors ◽  
Financial Analysis ◽  
Real Life ◽  
List Type ◽  
Responsible Investment ◽  
Teaching Case ◽  
Responsible Investing ◽  
Asset Managers

Subject area of the teaching case: The case can be used in the subject areas of finance and in particular investments, corporate governance, ESG, or responsible investments. It is suitable for students from all financial backgrounds, from a novice in the financial markets to an expert in finance. It is, however, expected that the class should have a sound fundamental grounding in financial analysis and valuations. The purpose of this case is to prepare students for future investments they would make in whatever capacity – whether in private or listed companies – and to prepare them for future roles on boards of directors. The examples of real-life events in this case study are used to prepare students for future similar situations in which they might find themselves. Student level: This teaching case is aimed at postgraduate students pursuing an MBA or a specialist Masters in a finance programme. This case can be used as a master class in corporate governance, investments, or responsible investments. This case is also suited for an executive education class in management. It is particularly relevant to a module that focusses on investments, corporate governance, ESG, or responsible investments. Brief overview of the teaching case: The case study chronicles meetings held on 8 November 2017 at a fictional South African asset manager, Active Investment Management (AIM). These meetings discuss the firm's investment in JSE-listed Steinhoff International Holdings. The case deals with the questions that active fund managers need to address when balancing financial analysis; environmental, social, and governance (ESG) analysis; portfolio management; and the need to comply with their fiduciary duty to clients. It also looks at the need for responsible investing in decision-making. Expected learning outcomes: The understanding of the assessment around the complexities of asset management when it comes to responsible investment. To determine why institutional investors should apply responsible investment principles when making investment decisions. An understanding of the evaluation of the unique roles of the three pillars of corporate governance, namely asset managers, auditors, and the board of directors. The ability to assess how to integrate financial analysis and ESG principles in making investment recommendations.

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