Performance Analysis of Investment Portfolio Strategy Using Warren Buffett, Benjamin Graham, and Peter Lynch Method in Indonesia Stock Exchange

Warren Buffett, Benjamin Graham, and Peter Lynch are three (3) famous investors’ gurus in the world that have already proved that they can outperform the market by value investing method. Method that they are using are based on fundamental analysis and they screen the company’s stock based on several key financial ratios and criteria that they found important in analyzing the company. In this project, Author conducted research and study to find out the applicability of the screening method made by the gurus in Indonesia Stock Exchange (IDX) using equally weighted method, back testing it in May 2012 until December 2020 periods, and evaluate the performance of each type of portfolios made using Sharpe ratio, Treynor ratio, and Jensen’s alpha. The result of this project is all type of these portfolios are having positive risk adjusted returns. Peter Lynch type of portfolio is having the highest annualized return 24.04 % or 613 % cumulative return, while Warren Buffett and Benjamin Graham are having annualized returns 9.42 % (or cumulative return 216.48%) and 8.3 % (or cumulative return 198.27%) respectively. Moreover, Author found that those three types of portfolios are having beta (β) nearly the same with one (1) means that the portfolios are having same risk with its systematic (market) risk.

Effect of Portfolio Management Strategies on the Returns of Mutual Funds in Kenya

The study explored the effect of portfolio management strategies on portfolio returns of mutual funds in Kenya. The population of the study was all the mutual funds licensed by CMA as at 2018. The study concluded that portfolio management strategies have an impact on portfolio returns. In Kenya, the most preferred strategy was active portfolio strategy. Mutual funds that employed active and growth portfolio management strategy generated negative returns, although active strategy is the most preferred strategy, the costs that the strategy attracts leads to negative returns. Those that employed value and passive portfolio management strategies generated positive returns. The study recommends that mutual funds should use value and passive strategies as they produce positive returns, and this is because of the low cost incurred when using these strategies. Keywords: Portfolio Management Strategies, Returns, Mutual funds, Kenya.

Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation

The study aims to develop a dynamic model for the management of a strategic investment portfolio, taking into account the impact of crisis processes on asset value. A mathematical model of a dynamic portfolio strategy is developed, and guidelines for framing a long-term investment strategy based on the current state of the investment market are formalized. An efficient method of long-term ensemble forecasting to increase the accuracy of predicting financial time series is elaborated. A methodology for constructing and rebalancing a dynamic strategic investment portfolio based on a changing portfolio strategy that results from assessing the current market state and forecast is developed. The obtained strategic portfolio model has been estimated empirically based on historical data and its rate-of-return characteristics have been compared with those of the existing conventional models used in strategic investment.

Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

This paper studies how to construct and compare various optimal portfolio frameworks for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the Vietnamese stock market. The study contains a census of the top 43 companies listed on the Ho Chi Minh stock exchange (HOSE) over the ten-year period from July 2010 to January 2021. Optimal portfolios are constructed using Mean-Variance Framework, Mean-CVaR Framework under different copula simulations. Two-thirds of the data from 26/03/2014 to 27/1/2021 consists of the data of Vietnamese stocks during the COVID-19 recession, which caused depression globally; however, the results obtained during this period still provide a consistent outcome with the results for other periods. Furthermore, by randomly attempting different stocks in the research sample, the results also perform the same outcome as previous analyses. At about the same CvaR level of about 2.1%, for example, the Gaussian copula portfolio has daily Mean Return of 0.121%, the t copula portfolio has 0.12% Mean Return, while Mean-CvaR with the Raw Return portfolio has a lower Return at 0.103%, and the last portfolio of Mean-Variance with Raw Return has 0.102% Mean Return. Empirical results for all 10 portfolio levels showed that CVaR copula simulations significantly outperform the historical Mean-CVaR framework and Mean-Variance framework in the context of the Vietnamese stock exchange.

Understanding the core elements of event portfolio strategy: lessons from Auckland and Dunedin

Purpose An event portfolio is a vital part of economic and socio-cultural processes designed around the use of public events in cities and destinations around the world. The purpose of this paper is to suggest a new research framework for comparative studies of diverse event portfolio strategies. Design/methodology/approach The discussion in this paper is based on a review of the literature and content analysis of event strategies from two New Zealand cities: Auckland and Dunedin. Findings The paper suggests an empirically tested framework for exploring event portfolios. It entails such dimensions as the event portfolio strategy, event portfolio focus, portfolio objectives and evaluation tools and event portfolio configuration. Originality/value This exploratory research provides a comparative analysis of diverse portfolio contexts and offers insights on developing sustainable event strategies while considering diverse local contexts. Core conditions and processes shaping event portfolio design and management are evaluated and strategic factors articulated.

MAIN DIRECTIONS FOR IMPROVING THE PORTFOLIO STRATEGY IN THE REAL ESTATE MARKET

The article analyzes the main participants of the real estate market, presents the classification of real estate objects, clarifies the definition of the real estate portfolio, considers the main stages of managing the real estate portfolio and defines the main directions for improving the portfolio strategy in the real estate market.