scholarly journals Does Value Averaging Strategy Improve Investment Performance? Evidence from the Korean Fund Market

2020 ◽  
Vol 49 (3) ◽  
pp. 313-340
Author(s):  
Hyuk Choe ◽  
Ju Il Ban
Keyword(s):  
Standard Deviation ◽  
Performance Analysis ◽  
Asset Allocation ◽  
Expected Return ◽  
Investment Performance ◽  
Average Return ◽  
A Value ◽  
Ex Ante ◽  
Lower Standard ◽  
Two Alternatives

This study analyzes whether a value averaging (VA) strategy, which adjusts the amount of investment each period to achieve the target amount of investment in risk assets, as a modified form of a dollar cost averaging (DCA) strategy, improves investment performance. Using 18.5 years of fund market data in Korea from 2001 to June 2019, we compare the investment performance of VA strategy relative to two alternatives: DCA strategy, which invests a certain amount in each period, and Buy-and-Hold (BH) strategy, which refers to half-and-half asset allocation between risky and risk-free assets and has an expected return which is the same as that of DCA in the ex-ante sense. Our historical performance analysis reveals that the VA strategy has lower average return and higher standard deviation compared to the BH strategy and has lower average return and lower standard deviation compared to the DCA strategy. These findings are in stark contrast to the claims made by advocates of VA strategy that the strategy improves investment performance.

scholarly journals Introducing REITs (Real Estate Investment Trusts) to Enhance the Risk Adjusted Returns of the Risky Direct Real Estate Portfolio

2016 ◽  
Vol 2 (2) ◽  
pp. 323
Author(s):  
David HO Kim Hin ◽  
Justin WONG Chia Chern
Keyword(s):  
Standard Deviation ◽  
Real Estate ◽  
Asset Allocation ◽  
Efficient Frontier ◽  
Investment Strategy ◽  
Sharpe Ratio ◽  
Expert Opinions ◽  
Allocation Process ◽  
Asian Cities ◽  
Ex Ante

<p><strong><em>Purpose</em></strong><strong><em>:</em></strong><em> </em><em>The paper has several objectives in mind: to examine whether or not </em><em>a dynamic, ex ante AHP-SAA model and a dynamic Markowitz QP TAA model that utilizes de-smoothed data, produces an investment strategy, which further optimizes the risk-adjusted return of the pan-Asian real estate portfolio. It examines the required de-smoothing and Modern Portfolio Theory (MPT) for the TAA. </em><em></em></p><p><strong><em>Design/Methodology/Approach</em></strong><strong><em>:</em></strong><em> </em><em>This paper reveals that the efficient frontier of risk-adjusted returns for direct real estate portfolio is enhanced by introducing REITS. The portfolio comprises the Pan-Asian office and industrial real estate markets for 13 major Asian cities, to which Asian REITS are added. Direct real estate total return data is in its </em><em>“</em><em>smooth</em><em>”</em><em> form while the REIT data is </em><em>“</em><em>de-smoothed</em><em>”</em><em> under the 1<sup>st</sup> and 4<sup>th</sup> order autoregressive model. The efficient frontier is constructed under a dynamic Strategic Asset Allocation (SAA) model, incorporating the Analytic Hierarchy Process (AHP) approach. Secondly, the dynamic Markowitz quadratic-programming Tactical Asset Allocation (TAA) model is adopted to obtain a geographically and real estate sector diversified portfolio.</em><em></em></p><p><strong><em>Findings</em></strong><strong><em>:</em></strong><em> </em><em>The resulting efficient frontier with the de-smoothed data reveals a higher overall TR for every corresponding standard deviation as compared to the smoothed data. TAA for the de-smoothed returns would lie on the efficient frontier at the maximum Sharpe ratio of 1.44 with a TR on 15.30% and a standard deviation of 7.31%. Conversely, TAA for the smoothed returns would lie on the efficient frontier at the maximum Sharpe ratio of 1.31 with a lower TR of 14.2% and a standard deviation of 7.18%.</em><em></em></p><p><strong><em>Practical implications</em></strong><strong><em>: </em></strong><em>This paper should serve as a meaningful guide to look at </em><em>an alternative asset allocation process that can be effectively adopted and refined by practitioners and researchers. It enables asset managers/or investors to deploy expert opinions on an ex ante basis for a longer term dynamic SAA model and a short term dynamic Markowitz QP TAA model. </em><em></em></p><p><strong><em>Originality/Value</em></strong><strong><em>:</em></strong><em> The paper offers insightful information for </em><em>in adopting the AHP to develop a dynamic SAA and the dynamic Markowitz QP TAA model in utilizing de-smoothed direct real estate TR data. This paper is specific to a Pan Asian direct real estate portfolio of 13 Asian cities together with the introduction of Asian REITS, to provide greater diversification and risk-return benefits.</em><em></em></p>

PENGARUH PENDIDIKAN KESEHATAN REPRODUKSI PADA PEER GROUP (TEMAN SEBAYA) TERHADAP PENGETAHUAN DAN PERSEPSI REMAJA TENTANG PENDEWASAAN USIA PERKAWINAN DI SMA NEGERI 1 KECAMATAN NAMORAMBE KAB. DELI SERDANG 2018

2020 ◽  
Vol 1 (2) ◽  
pp. 56-66
Author(s):  
Irma Linda
Keyword(s):  
Standard Deviation ◽  
Health Education ◽  
Reproductive Health ◽  
Peer Group ◽  
Peer Groups ◽  
A Value ◽  
Significant Difference ◽  
Reproductive Health Education ◽  
The Mean ◽  
Adolescent Perceptions

Background: Early marriages are at high risk of marital failure, poor family quality, young pregnancies at risk of maternal death, and the risk of being mentally ill to foster marriage and be responsible parents. Objective: To determine the effect of reproductive health education on peer groups (peers) on the knowledge and perceptions of adolescents about marriage age maturity. Method: This research uses the Quasi experimental method with One group pre and post test design, conducted from May to September 2018. The statistical analysis used in this study is a paired T test with a confidence level of 95% (α = 0, 05). Results: There is an average difference in the mean value of adolescent knowledge between the first and second measurements is 0.50 with a standard deviation of 1.922. The mean difference in mean scores of adolescent perceptions between the first and second measurements was 4.42 with a standard deviation of 9.611. Conclusion: There is a significant difference between adolescent knowledge on the pretest and posttest measurements with a value of P = 0.002, and there is a significant difference between adolescent perceptions on the pretest and posttest measurements with a value of p = 0.001. Increasing the number of facilities and facilities related to reproductive health education by peer groups (peers) in adolescents is carried out on an ongoing basis at school, in collaboration with local health workers as prevention of risky pregnancy.

Risk-Relevance of Fair-Value Income Measures for Commercial Banks

2006 ◽  
Vol 81 (2) ◽  
pp. 337-375 ◽  
Author(s):  
Leslie D. Hodder ◽  
Patrick E. Hopkins ◽  
James M. Wahlen
Keyword(s):  
Standard Deviation ◽  
Stock Returns ◽  
Commercial Banks ◽  
Fair Value ◽  
Net Income ◽  
Income Volatility ◽  
Expected Return ◽  
Market Pricing ◽  
Share Prices ◽  
Comprehensive Income

We investigate the risk relevance of the standard deviation of three performance measures: net income, comprehensive income, and a constructed measure of full-fair-value income for a sample of 202 U.S. commercial banks from 1996 to 2004. We find that, for the average sample bank, the volatility of full-fair-value income is more than three times that of comprehensive income and more than five times that of net income. We find that the incremental volatility in full-fair-value income (beyond the volatility of net income and comprehensive income) is positively related to marketmodel beta, the standard deviation in stock returns, and long-term interest-rate beta. Further, we predict and find that the incremental volatility in full-fair-value income (1) negatively moderates the relation between abnormal earnings and banks' share prices and (2) positively affects the expected return implicit in bank share prices. Our findings suggest full-fair-value income volatility reflects elements of risk that are not captured by volatility in net income or comprehensive income, and relates more closely to capital-market pricing of that risk than either net-income volatility or comprehensiveincome volatility.

scholarly journals Closing a Bitcoin Trade Optimally under Partial Information: Performance Assessment of a Stochastic Disorder Model

Mathematics ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 157
Author(s):  
Zehra Eksi ◽  
Daniel Schreitl
Keyword(s):  
Performance Analysis ◽  
Performance Assessment ◽  
Partial Information ◽  
Exit Time ◽  
Exit Strategy ◽  
Random Drift ◽  
Expected Return ◽  
Drift Model ◽  
Out Of Sample ◽  
Partially Observable

The Bitcoin market exhibits characteristics of a market with pricing bubbles. The price is very volatile, and it inherits the risk of quickly increasing to a peak and decreasing from the peak even faster. In this context, it is vital for investors to close their long positions optimally. In this study, we investigate the performance of the partially observable digital-drift model of Ekström and Lindberg and the corresponding optimal exit strategy on a Bitcoin trade. In order to estimate the unknown intensity of the random drift change time, we refer to Bitcoin halving events, which are considered as pivotal events that push the price up. The out-of-sample performance analysis of the model yields returns values ranging between 9% and 1153%. We conclude that the return of the initiated Bitcoin momentum trades heavily depends on the entry date: the earlier we entered, the higher the expected return at the optimal exit time suggested by the model. Overall, to the extent of our analysis, the model provides a supporting framework for exit decisions, but is by far not the ultimate tool to succeed in every trade.

scholarly journals Measuring User Assessments and Expectations: The Use of WebQual 4.0 Method and Importance-Performance Analysis (IPA) to Evaluate the Quality of School Websites

2019 ◽  
Vol 4 (1) ◽  
pp. 76
Author(s):  
Aulia Akhrian Syahidi ◽  
Arifin Noor Asyikin ◽  
Subandi Subandi
Keyword(s):  
Performance Analysis ◽  
Digital Media ◽  
User Satisfaction ◽  
Structural Equation ◽  
Information Quality ◽  
Equation Modeling ◽  
Accurate Information ◽  
Data Processing Software ◽  
A Value ◽  
School Websites

As time goes by and technology advances, any information can be easily obtained from many media, both from various print media or digital electronic media. One of the fastest growing digital media and the main choice for individuals or agencies to get fast and accurate information is the website. One of the benefits of the website is that it can be used as an effective promotional media because it can be accessed by anyone and at any time. This study discusses the evaluation of school websites with a case study at the SMK Muhammadiyah 1 Banjarmasin using the WebQual 4.0 and Importance-Performance Analysis (IPA) methods. This study aims to measure user ratings of performance and expectations of users/visitors to the website of the SMK Muhammadiyah 1 Banjarmasin. The data in this study were obtained from the questionnaire using a sample of web visitors themselves, both through online based questionnaires and offline questionnaires with paper. This study uses data processing software, namely Structural Equation Modeling (SEM) 2.0. It can be concluded that in this study the results are measured by the level of performance (actual) and the level of importance (expectations) which shows that there is an overall gap for all dimensions -0.38 ie the website needs improvement and tends to still not be as expected. The biggest gap is in the Usability dimension with the largest value being -1.07 on USE5 variables, which means that the appearance of this website tends to be unattractive, not in line with expectations, and needs improvement. Then the acquisition of the value of R Square for the variable user satisfaction is 0.61, which means that the value indicates that the variable user satisfaction can be explained by usability, information quality, and service interaction with a value of 67.7%, while the remaining 32.3% is influenced by variables others not found in the research model.

A Simple Method for Estimating the Parameters of the Beta Distribution Applied to Modeling Uncertainty in Gas Turbine Inlet Temperature

2002 ◽  
Author(s):  
Frederic A. Holland
Keyword(s):  
Standard Deviation ◽  
Conventional Method ◽  
Beta Distribution ◽  
Conventional Approach ◽  
Algebraic Solution ◽  
Inlet Temperature ◽  
Shape Parameters ◽  
Simple Method ◽  
New Approach ◽  
A Value

The beta distribution is a particularly convenient model for random variables when only the minimum, maximum and most likely values are available. It is also very useful for estimating the mean and standard deviation given this information. In this paper a simple method is proposed to estimate the beta parameters from these three values. The proposed method has advantages over the conventional approach. In the conventional approach, the four parameters of the beta distribution are determined from only three values by assuming a standard deviation that is one-sixth the range. In contrast, the new method assumes a value for one of the beta shape parameters based on an analogy with the normal distribution. This new approach allows for a very simple algebraic solution of the beta shape parameters in contrast to the simultaneous solution required by the conventional method. The results of the proposed method are very similar to the conventional method. However, the proposed method generally gives a slightly higher (more conservative) estimate of the standard deviation when the distribution is skewed. In addition, the new approach allows the standard deviation to vary as the shape or skew of the distribution varies. Both methods were applied to modeling the probability distribution of temperature.

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