Analyzing the efficiency of portfolio strategies based on the dividend yield concept: Evidence from the Russian stock market

2021 ◽  
Vol 14 (3) ◽  
pp. 323-346
Author(s):  
Natal'ya A. KHUTOROVA ◽  
Nikita A. NAZIN
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Foreign Currency ◽  
Management Strategies ◽  
Dividend Yield ◽  
Developed Economies ◽  
Portfolio Strategies ◽  
Portfolio Balance ◽  
Portfolio Managers ◽  
Russian Stock Market

Subject. The article focuses on the formation and management of the securities portfolio. In developed economies, various strategies are used to manage portfolios. The tendencies permeate the practice of portfolio managers and in the domestic market. Objectives. We analyze the efficiency of portfolio management strategies based on the dividend yield concept in order to find the most appropriate one for the Russian market for mid-term investment. Methods. The study is based on general methods of logic, comparative and statistical analysis, graphical and indicative comparative analysis. Results. Having tested strategies based on the dividend yield concept, we suggested using an improved mid-term strategy, which may suit many investors, including institutional ones. The article presents our suggestions on the improvement of a strategy for creating and managing a securities portfolio in the Russian stock market, which is based on the Dogs-of-the-Do principle. Conclusions and Relevance. Drawing upon the dividend yield concept, the proposed strategy ensures the average yield exceeding those of DOW 5 and DOW 10 strategies, bank deposit and investment in federal loan bonds. However, it is inferior to IMOEX and MOEXBS due to the lose of the portfolio balance once a year. Securities within the strategy make up ETF to lure more investors. The inclusion of FXUS increased the average annual yield by 2.45 percent. The addition of FXMM significantly reduces foreign currency risks. To optimize the strategy, there should be REPO with the central counterpart and CCP-cleared REPO, which raises its yield through arbitrage transactions.

scholarly journals Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

2017 ◽  
Vol 64 (3) ◽  
pp. 325-338 ◽  
Author(s):  
Amanjot Singh
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Management Strategies ◽  
Conditional Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Egarch Model ◽  
The Global Financial Crisis

Abstract The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies

2004 ◽  
Vol 224 (5) ◽  
Author(s):  
Markus Spiwoks
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Management Strategies ◽  
Active Portfolio Management

ZusammenfassungEinzeltitelempfehlungen von Banken oder Fachzeitschriften treffen in den vergangenen Jahren bei der Investorenschaft immer häufiger auf Misstrauen. Zunehmende Aufmerksamkeit wird hingegen indexbasierten aktiven Portfoliomanagement-Strategien gewidmet. Trotzdem werden nur selten Prognosen zur Entwicklung von Aktienindizes veröffentlicht. Im deutschsprachigen Raum publiziert lediglich das Zentrum für Europäische Wirtschaftsforschung (ZEW) regelmäßig Prognosen zu wichtigen internationalen Aktienindizes. Im vorliegenden Aufsatz wird der Frage nachgegangen, ob diese Prognosen geeignet sind, um darauf aktive Portfoliomanagement-Strategien aufzubauen. Neben der grafischen Gegenüberstellung von Prognosedaten und tatsächlichen Marktdaten werden die einschlägigen Wendepunktfehlerquoten, der Theilsche Ungleichheitskoeffizient „neuer Art“ (U

Debt Portfolio Management

2019 ◽  
pp. 679-698
Author(s):  
Zachary Jersky ◽  
He Li
Keyword(s):  
Risk Factors ◽  
Decision Making ◽  
Portfolio Management ◽  
Management Strategies ◽  
Initial Formation ◽  
Passive Strategies ◽  
Portfolio Managers ◽  
Common Risk Factors ◽  
The Common ◽  
Over Time

Debt portfolio management has received increasing attention over time as both academics and practitioners have become aware of its unique challenges. This chapter discusses the common risk factors faced by debt portfolio managers and introduces a set of portfolio management strategies that are targeted at addressing major debt portfolio risks in order to achieve common portfolio management goals. These strategies differ in both style and objective. Passive strategies only require investor effort and decision-making at the initial formation of the portfolio, whereas active strategies require frequent restructuring and rebalancing of the portfolio. Some strategies aim at funding liabilities, while others attempt to seek total return. The chapter also provides a discussion of the application of modern portfolio theory within the context of debt portfolio management.

How to Assure Stable Development in Unstable Financial Environment?

2007 ◽  
pp. 4-26 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Stock Market ◽  
Developed Countries ◽  
Market Liquidity ◽  
Market Mechanisms ◽  
Russian Economy ◽  
The Developed Countries ◽  
Russian Stock Market ◽  
Stable Development ◽  
Financial Environment

Growing involvement of Russian economy in international economic sphere increases the role of external risks. Financial problems which the developed countries are encountered with today result in volatility of Russian stock market, liquidity problems for banks, unstable prices. These factors in total may put longer-term prospects of economic growth in jeopardy. Monetary, foreign exchange and stock market mechanisms become the centerpiece of economic policy approaches which should provide for stable development in the shaky environment.

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.

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