ASSESSING THE VALUE OF SUBJECTIVE VIEWS ON MACROECONOMIC FACTORS VIA BLACK-LITTERMAN BASED PORTFOLIO OPTIMIZATION

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in building their clients’ portfolios. The advancement of machine-learning algorithms and computing resources helps portfolio managers explore rich information by incorporating macroeconomic conditions into their investment strategies and optimizing their portfolio performance in a timely manner. In this paper, we present a simulation-based approach by fusing a number of macroeconomic factors using Neural Networks (NN) to build an Economic Factor-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR) framework to derive an optimal portfolio comprised of six index funds. Empirical tests on the resulting portfolio are conducted on an out-of-sample dataset utilizing a rolling-horizon approach. Finally, we compare its performance against three benchmark portfolios over a period of almost twelve years (01/2007–11/2019). The results indicate that the proposed EFPM-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility, Sharpe ratio, maximum drawdown, and 99% CVaR.

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Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

Kajian Bisnis STIE Widya Wiwaha ◽

10.32477/jkb.v24i1.217 ◽

2017 ◽

Vol 24 (1) ◽

pp. 54-70

Author(s):

Hasanah Setyowati ◽

Riyanti Ningsih

Keyword(s):

Exchange Rate ◽

Stock Exchange ◽

Systematic Risk ◽

Secondary Data ◽

Analysis Model ◽

Macroeconomic Factors ◽

Return On Equity ◽

Equity Ratio ◽

Regression Techniques ◽

The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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Estimasi Pengaruh Faktor Internal Bank dan Stabilitas Makroekonomi terhadap Profitabilitas dengan Mediasi Rasio Pembiayaan Bermasalah di PT Bank Muamalat Indonesia

Jurnal MAPS (Manajemen dan Perbankan Syariah) ◽

10.32483/maps.v3i2.37 ◽

2020 ◽

Vol 3 (2) ◽

pp. 93-108

Author(s):

Annisa Siti Fathonah ◽

Dadang Hermawan

Keyword(s):

Secondary Data ◽

Financial Statements ◽

Significant Positive Effect ◽

Return On Assets ◽

Internal Factors ◽

Macroeconomic Factors ◽

Operating Income ◽

Significant Negative Effect ◽

Negative Effect ◽

Positive Effect

This study aims to determine and analyze how much influence the bank's internal factors such as Equity, Operational Costs per Operating Income (BOPO), Financing Deposit to Ratio (FDR), Non Performing Financing (NPF) as a mediator and external or macroeconomic factors namely inflation and Gross Domestic Product (GDP) on profitability represented by Return on Assets (ROA) at Bank Muamalat Indonesia for the period 2008-2018. The data used in this research are secondary data obtained from the publication of quarterly financial statements from 2008 to quarter 2 of 2018. The method that used in this research is path analysis with SPSS 20.0 as the analytical tool. The results of the study partially test the hypothesis (t-test), in substructure I shows that the capital variable has a significant negative effect on NPF, BOPO and inflation has a significant positive effect on NPF, FDR and GDP do not significantly influence NPF at Bank Muamalat Indonesia. In substructure II partially, Capital, BOPO, significant negative effect on ROA, FDR and NPF has a significant positive effect on ROA, Inflation and GDP does not significantly influence ROA while simultaneously significantly influencing ROA. Based on the sobel test, capital has a significant effect on ROA through NPF, BOPO has a significant effect on ROA through NPF, FDR has a significant effect on ROA through NPF, Inflation has a significant effect on ROA through NPF, while GDP has no significant effect on ROA through NPF.

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