scholarly journals Style Analysis: Asset Allocation and Evaluation of Sharia Equity Fund Performance

2020 ◽  
Vol 8 (2) ◽  
pp. 46
Author(s):  
Opi Prisilia ◽  
Acong Dewantoro Marsono
Keyword(s):  
Asset Allocation ◽  
Investment Strategy ◽  
Style Analysis ◽  
Equity Fund ◽  
Actual Performance ◽  
Equity Funds ◽  
Asset Class ◽  
Characteristic Style ◽  
Almost All ◽  
Passive Strategy

The purpose of this research is to analyze the characteristic style of sharia equity funds such as asset allocation, investment strategy, and evaluation of its performance. The analysis technique used in this study is return based style analysis by observing ten asset class factor and eight of sharia equity funds in Indonesia. The results found that sharia equity fund in Indonesia allocates funds to the Sharia shares in almost all asset class factor with passive strategy, but the actual performance has not been able to outperform its style performance. Only one from eight Equity funds can outperform its style by using a more passive strategy compared to other equity funds. Its result indicates that almost all sharia equity funds in Indonesia do not choose the correct investment strategy style.

Using VIX to Dynamically Hedge Portfolio Risk

GIS Business ◽  
1970 ◽  
Vol 13 (3) ◽  
pp. 15-22
Author(s):  
Richard Cloutier
Keyword(s):  
Asset Allocation ◽  
Market Timing ◽  
Investment Strategy ◽  
Market Risk ◽  
Portfolio Risk ◽  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Tactical Asset Allocation ◽  
Asset Class ◽  
Timing Strategies

Many investors accept buy and hold as their long-term investment strategy. However, during periods of heightened risk, staying disciplined can be problematic. Alternatively, market timing appeals to our emotions but is very difficult to employ successfully. Between these two extremes lies tactical asset allocation, where limited variances are allowed to take advantage of market conditions. Dynamic hedging is a form of tactical asset allocation. Instead of relying on future predictions of asset class returns, dynamic hedging strives to reduce portfolio risk when market risk is elevated. This paper presents a dynamic hedging strategy developed to accomplish this goal. It uses VIXs normal trading range to assess market risk. When VIX trades above its normal trading range and the upper Bollinger band, the dynamic hedging strategy is applied. The result is that portfolio risk is lowered when market risk is extreme. The application of this strategy provides better returns, lower volatility, and better downside protection than a strategic buy and hold allocation. It also avoids the deployment problems associated with market timing strategies.

scholarly journals Systematic Transfer Plan (STP): An Alternative Investment Strategy to reduce Risk of Market Timing

2020 ◽  
Vol 8 (6) ◽  
pp. 2351-2354
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Equity Fund ◽  
Fixed Amount ◽  
Bank Account ◽  
Lump Sum ◽  
Equity Funds ◽  
Asset Sale ◽  
Alternative Investment

Systematic Transfer Plan (STP) is a plan where an investor moves from one scheme to another a fixed amount of money, typically from debt funds to equity funds. STP is similar to SIPs or systematic investment plans, where money is moved from bank account to mutual equity funds. In STP, money is transferred in a few installments from a debt mutual fund to a mutual equity fund, so that the total purchase price is weighted suppose investor have earned 20 lakh from an asset sale and want to invest over 24 months in an equity fund through STP. Investor must first pick a debt fund that gives STP choice to invest in an equity fund. Then, choose an equity fund. Invest Rs 20 lakh in the debt fund and then determine the balance from the debt fund to the equity fund and the duration. In the alternative investment plan, the Systematic Transfer Plan (STP) has emerged for a large number of investors interested in high returns but less risk with lump sum investments. The purpose of the study is to know how to put money into STP reduces the risk of market timing and also helps investors to gain more from their source corpus by investing in debt funds. Results of the study found that awareness and operational framework, on the other hand, is one of the key barriers that investors face. The strategy of rupee cost average is an approach that motivates the investor to invest in a systematic transfer plan to gain from market timing risk. This research is also beneficial. The present study also allows investors to analyze the decisions and determine whether or not to invest in them and provides advice to protect their financial goals.

scholarly journals A Study on the Style Investment of Equity Funds

2021 ◽  
Vol 50 (2) ◽  
pp. 201-245
Author(s):  
Eunyoung Cho ◽  
Juil Ban
Keyword(s):  
Investment Strategy ◽  
Fiduciary Duty ◽  
Size Factor ◽  
Style Analysis ◽  
Timing Ability ◽  
Equity Funds ◽  
Fund Size ◽  
Very High ◽  
Market Factor

We classify “fund style” by the fund name and conduct a portfolio-based style analysis. The main results are as follows. First, the proportion of value-style and dividend-style funds is very high compared to other style types in active funds. Second, managers tend not to adhere strictly to the fund style classified by the fund name. Interestingly, the smaller the fund size, the weaker the style characteristics. This result suggests that the management industry neglects small funds and does not fulfill its fiduciary duty. Third, we find that the persistency of the growth style is far behind the value style, and both winner and loser styles have the lowest persistency among all styles. Fourth, timing abilities for market factor, size factor, and value factor are not observed in general, but the timing ability for momentum factor is significantly observed in the active fund group. Fifth, we define artificial fund styles with consistent style investment strategy and compare those with the actual fund styles. We find that the risk of artificial types is generally lower than that of actual types and that several artificial types dominate real types due to higher returns and smaller risks.

scholarly journals Implicit incentives for fund managers with partial information

2021 ◽  
Author(s):  
Flavio Angelini ◽  
Katia Colaneri ◽  
Stefano Herzel ◽  
Marco Nicolosi
Keyword(s):  
Asset Allocation ◽  
Partial Information ◽  
Market Price ◽  
Investment Strategy ◽  
Expected Returns ◽  
Martingale Method ◽  
Fund Manager ◽  
Market Price Of Risk ◽  
Fund Managers ◽  
Price Of Risk

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

scholarly journals HEDGE FUNDS: RISK AND PERFORMANCE

2018 ◽  
Vol 06 (01) ◽  
pp. 1850003
Author(s):  
SANGHEON SHIN ◽  
JAN SMOLARSKI ◽  
GÖKÇE SOYDEMIR
Keyword(s):  
Risk Factors ◽  
Hedge Funds ◽  
Factor Model ◽  
Explanatory Power ◽  
Hedge Fund ◽  
Investment Strategy ◽  
Time Varying ◽  
Asset Class ◽  
And Performance ◽  
Fund Portfolio

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.

scholarly journals Market Timing For active Asset Allocation: A Discrete Regression Model Approach

2011 ◽  
Vol 11 (1) ◽  
pp. 125
Author(s):  
Glen A. Larsen, Jr. ◽  
Gregory D. Wozniak
Keyword(s):  
Regression Model ◽  
Asset Allocation ◽  
Market Timing ◽  
The Other ◽  
Portfolio Performance ◽  
Empirical Results ◽  
Portfolio Strategies ◽  
Fixed Weight ◽  
Asset Class ◽  
Model Approach

A discrete regression model (DRM) approach to timing the asset class markets for stocks, bonds, and cash in active asset allocation is presented. The technique involves investing in the asset class whose return is predicted to exceed the other asset class return after observing a sequential signal of estimated probabilities. The empirical results show that the DRM approach provides enhanced portfolio performance when compared to more passive fixed-weight portfolio strategies.

scholarly journals Cultural Mobility, Networks, and Theatre

2021 ◽  
Vol 32 (2) ◽  
pp. 6-25
Author(s):  
Zoltán Imre
Keyword(s):  
Actual Performance ◽  
Nineteenth And Twentieth Centuries ◽  
Almost All ◽  
Cultural Mobility ◽  
Different Levels

The Budapest premiere of Henrik Ibsen’s Kísértetek (Gengangere) was on 17 October 1908 by the Thália Társaság, a Hungarian independent theatre. Though banned earlier, by 1908, Ibsen’s text had already been played all over Europe. Between 1880 and 1908, the search of IbsenStage indicates 402 records, but probably the actual performance number was higher. The popularity of the text can be seen in the fact that all the independent theatres staged it, and most of the famous and less famous travelling companies and travelling stars also kept it in their repertoires. Though, usually, the high-artistic independent and the commercial international and regional travelling companies are treated separately, here, I argue for their close real and/or virtual interconnections, creating such a theatrical and cultural network, in which the local, the regional, the national, and the transnational interacted with and were influenced by each other. At the turn of the nineteenth and twentieth centuries, such interaction among different forces and agents on different levels was one of the special features of cultural mobility (Greenblatt) which characterized intercultural theatre culture, existing in Europe and America, and extending its influence almost all over the globe.

Industry-Wise Investment Pattern of Select Private Equity Funds in India

2018 ◽  
Keyword(s):  
Financial Services ◽  
Private Equity ◽  
Equity Fund ◽  
Equity Investment ◽  
Private Equity Fund ◽  
Investment Pattern ◽  
Equity Funds ◽  
Private Equity Funds ◽  
Indispensable Tool

The article is an analysis of Private Equity investment deal values across 24 industries by select Private Equity funds from 2007–2016. The purpose of the research is to identify any patterns of movement of deal values. The study established the growth rate of deal values and observed the performance of each Private Equity fund throughout the 10-year period. The purpose of the study is to determine the significance of Private Equity investment for the promotion, growth, and development of industries. In the case of heavy industries such as Energy, Engineering and Construction and Manufacturing, Private Equity investment becomes inevitable, at least as a supplement to government funding. Due to rising disposable income and purchasing power of people, industries such as BFSI (Banking, Financial Services, and Insurance) Retail, and other services such as Travel, Transport, and Telecom are also attracting considerable Private Equity. The role of Private Equity as an indispensable tool for industrialization is emerging and becoming dynamic. Furthermore, the government’s go-ahead attitude towards reforms is further boosting Private Equity investment’s opportunities and impact on India’s economic development.

Sign in / Sign up

Export Citation Format

Share Document