Quantitative Techniques in Stock Selection and Portfolio Management

2006 ◽  
Vol 23 (3) ◽  
pp. 71-78
Author(s):  
Oliver Buckley
Keyword(s):  
Portfolio Management ◽  
Stock Selection

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

scholarly journals Deep Reinforcement Learning Agent for S&P 500 Stock Selection

Axioms ◽  
2020 ◽  
Vol 9 (4) ◽  
pp. 130
Author(s):  
Tommi Huotari ◽  
Jyrki Savolainen ◽  
Mikael Collan
Keyword(s):  
Portfolio Management ◽  
Stock Selection ◽  
Real World Data ◽  
Data Set ◽  
Agent Based ◽  
Trading Systems ◽  
Learning Agent ◽  
Trading Agent ◽  
Risk Taker ◽  
Insight Into

This study investigated the performance of a trading agent based on a convolutional neural network model in portfolio management. The results showed that with real-world data the agent could produce relevant trading results, while the agent’s behavior corresponded to that of a high-risk taker. The data used were wide in comparison with earlier reported research and was based on the full set of the S&P 500 stock data for twenty-one years supplemented with selected financial ratios. The results presented are new in terms of the size of the data set used and with regards to the model used. The results provide direction and offer insight into how deep learning methods may be used in constructing automatic trading systems.

scholarly journals Mutual Fund Performance: Evidence from India

2019 ◽  
Vol 8 (4) ◽  
pp. 11714-11723
Keyword(s):  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Stock Selection ◽  
Multifactor Models ◽  
Fund Managers ◽  
Timing Ability

We empirically examine fund managers’ stock selection and market timing ability using various risk-adjusted measures such as CAPM and multifactor models of FamaFrench (1993) and Carhart (1997) to gauge mutual fund performance in India. The sample consists of 183 actively managed equity-oriented funds and covers the period from April 2000 to March 2018. The study, on the whole, documents some evidence of positive and significant stock selection ability but fails to yield any notable evidence of market timing ability of fund managers. Our results are robust according to various riskadjusted performance evaluation techniques, sub-period analysis, excluding the crisis period and at the individual fund level. The findings of our study are in line with the previous studies that report limited selectivity skill and market timing ability among fund managers. The main implication of the study is that active portfolio management may not be very rewarding in comparison to a passive investment strategy.

Does Gender and Family Income Impact Stock Trading of B-School Students? Findings from a Stock Simulation Exercise

2021 ◽  
pp. 097226292199259
Author(s):  
Nisha Prakash ◽  
Subburaj Alagarsamy
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Portfolio Management ◽  
Family Income ◽  
Primary Objective ◽  
Female Students ◽  
Stock Selection ◽  
School Students ◽  
Stock Trading ◽  
Simulation Exercise

Educators across the globe utilize online stock market simulation games to introduce students to trading in the stock market. The primary objective of the simulation exercise is to expose students to the practical application of financial theories on fundamental analysis, stock selection, building an optimal portfolio, monitoring the risk-return characteristics and continuously improving the portfolio based on changing realities. This article utilizes the trading data from a simulation exercise conducted by a leading B-school in India. The exercise was conducted as part of Security Analysis and Portfolio Management (SAPM) course offered by the B-school. The objective of the article is to understand the role of gender and family income in the trading patterns of students in the simulation exercise. The article covers 163 students who were part of the simulation exercise in 2019. The results indicate that male students trade more aggressively than female students, both in terms of number of trades and the number of companies traded. However, the female students reported higher stock trading performance, measured in stock returns. This is observed to be true at all the quartiles, with the largest magnitude of the difference in the mid-quartiles. The study also indicates that the students from wealthier families perform better than those from poorer backgrounds. However, family income is an insignificant differentiating factor. Further, regression analysis indicates that gender is a significant determinant of stock returns. Based on these findings, the authors argue that gender has a significant role in the stock trading performance of B-schoolers. The article contributes to the field of behavioural finance, especially on the literature of gender and performance in financial markets.

Heuristic methods for stock selection and allocation in an index tracking problem

2021 ◽  
pp. 1-17
Author(s):  
Codrut Florin Ivascu
Keyword(s):  
Portfolio Management ◽  
Tracking Error ◽  
Heuristic Methods ◽  
Index Tracking ◽  
Tracking Problem ◽  
Stock Selection ◽  
Data Driven Approach ◽  
The Usa ◽  
The Uk ◽  
Financial Indices

Index tracking is one of the most popular passive strategy in portfolio management. However, due to some practical constrains, a full replication is difficult to obtain. Many mathematical models have failed to generate good results for partial replicated portfolios, but in the last years a data driven approach began to take shape. This paper proposes three heuristic methods for both selection and allocation of the most informative stocks in an index tracking problem, respectively XGBoost, Random Forest and LASSO with stability selection. Among those, latest deep autoencoders have also been tested. All selected algorithms have outperformed the benchmarks in terms of tracking error. The empirical study has been conducted on one of the biggest financial indices in terms of number of components in three different countries, respectively Russell 1000 for the USA, FTSE 350 for the UK, and Nikkei 225 for Japan.

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