Multi-period Downside Risk Attribution of Observation-driven Investment Strategies

2018 ◽  
Author(s):  
Nabil Bouamara ◽  
Kris Boudt ◽  
Jürgen Vandenbroucke
Keyword(s):  
Downside Risk ◽  
Investment Strategies ◽  
Risk Attribution

Downside risk properties of foreign exchange and equity investment strategies

2012 ◽  
Vol 1 (2) ◽  
pp. 3-21
Author(s):  
Jacob Gyntelberg ◽  
Andreas Schrimpf
Keyword(s):  
Foreign Exchange ◽  
Downside Risk ◽  
Investment Strategies ◽  
Equity Investment

scholarly journals Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

2019 ◽  
Vol 32 (59) ◽  
Author(s):  
Fredy Alexander Pulga Vivas ◽  
María Teresa Macías Joven
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Risk Measures ◽  
Downside Risk ◽  
Investment Strategies ◽  
Short Term ◽  
Past Performance ◽  
Investment Trusts ◽  
Bond Funds ◽  
Equity Funds

This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.

Predicting Hedge Fund Failure: A Comparison of Risk Measures

2009 ◽  
Vol 45 (1) ◽  
pp. 199-222 ◽  
Author(s):  
Bing Liang ◽  
Hyuna Park
Keyword(s):  
Standard Deviation ◽  
Risk Measures ◽  
Explanatory Power ◽  
Hedge Fund ◽  
High Water ◽  
Downside Risk ◽  
Attrition Rate ◽  
Investment Strategies ◽  
Explanatory Variables ◽  
Annual Basis

AbstractThis paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for investment strategies, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with larger downside risk have a higher hazard rate. However, standard deviation loses the explanatory power once the other explanatory variables are included in the hazard model. Further, we find that liquidation does not necessarily mean failure in the hedge fund industry. By reexamining the attrition rate, we show that the real failure rate of 3.1% is lower than the attrition rate of 8.7% on an annual basis during the period of 1995–2004.

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

The relation between R&D accounting treatment and the risk of the firm: Evidence from the Italian market

2014 ◽  
pp. 33-54 ◽  
Author(s):  
Riccardo Cimini ◽  
Alessandro Gaetano ◽  
Alessandra Pagani
Keyword(s):  
Earnings Management ◽  
Fiscal Year ◽  
Investment Strategies ◽  
Capital Assets ◽  
Italian Market ◽  
D Investment ◽  
Firm Evidence

In this paper, we investigate the relation between the different accounting treatments of R&D expenditures and the risk of the entity in order to identify under which treatment insiders are more likely to carry out earnings management. By analysing the R&D investment strategies of a sample of 137 listed Italian entities that complied with the requirements of IAS 38 during fiscal year 2009, following Lantz and Sahut (2005), we calculate several indexes that show the preferences of insiders to account R&D expenditures as costs or capital assets, and we study the relation of such preferences with the risk of the entity, which we measure with the unlevered beta. We hypothesize that the entities, which considered the R&D investments as costs, are the riskiest ones due to the higher probability that insiders carried out earnings management. Our results confirm such hypothesis. This paper could have implications for academics and standard setters that could learn that behind accounting discretion, insiders could opportunistically behave against outsiders.

On the Optimization of Investment Strategies in the Context of Virtual Financial Market by the Individual Approach to Risk

Informatica ◽  
2014 ◽  
Vol 25 (2) ◽  
pp. 241-264
Author(s):  
Jonas Mockus ◽  
Igor Katin ◽  
Joana Katina
Keyword(s):  
Financial Market ◽  
Investment Strategies ◽  
Individual Approach ◽  
The Individual

Earnings Downside Risk, Audit Fees and Audit Hours

2020 ◽  
Vol 29 (2) ◽  
pp. 49-85
Author(s):  
HyeMi Lee
Keyword(s):  
Audit Fees ◽  
Downside Risk

Returns to Contrarian Investment Strategies: Tests of Naive Expectations Hypotheses

CFA Digest ◽  
1997 ◽  
Vol 27 (4) ◽  
pp. 47-48
Author(s):  
H. Kent Baker
Keyword(s):  
Investment Strategies

The Implications of Accounting Research for Accounting-Based Investment Strategies

CFA Digest ◽  
1999 ◽  
Vol 29 (3) ◽  
pp. 23-25
Author(s):  
Roger Ignatius
Keyword(s):  
Investment Strategies ◽  
Accounting Research

Using Municipal Bonds: Investment Strategies for the Institutional Investor

1988 ◽  
Vol 1988 (1) ◽  
pp. 53-64
Author(s):  
John L. Maginn
Keyword(s):  
Institutional Investor ◽  
Municipal Bonds ◽  
Investment Strategies
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