Search results

1 – 3 of 3
Per page
102050
Citations:
Loading...
Access Restricted. View access options
Article
Publication date: 31 May 2022

Paskalis Glabadanidis

The purpose of this article is to help investors build less-concentrated portfolios as well as to construct optimal return-concentration portfolios.

190

Abstract

Purpose

The purpose of this article is to help investors build less-concentrated portfolios as well as to construct optimal return-concentration portfolios.

Design/methodology/approach

An alternative portfolio objective is proposed where investors care about the level of concentration of their portfolio weights. Minimizing the concentration of portfolio weights leads to the well-known equal-weight portfolio as the optimal choice. Maximizing the trade-off between the portfolio's expected return and the weight concentration produces a novel portfolio with weights proportional to the expected return of each security.

Findings

An empirical application with 30 industry portfolios and 1,000 individual stocks finds that both proposed strategies perform well out-of-sample both in terms of the proposed concentration measure but also in terms of more traditional risk-based measures like Sharpe ratios, abnormal returns and market betas.

Originality/value

The optimal risk-concentration portfolio proposed in this paper is a novel result. The portfolio generalizes prior practitioner intuition on focusing on securities with the highest expected returns and the concept of diversification.

Details

International Journal of Managerial Finance, vol. 19 no. 3
Type: Research Article
ISSN: 1743-9132

Keywords

Access Restricted. View access options
Article
Publication date: 28 January 2014

Mohammad Reza Tavakoli Baghdadabad and Paskalis Glabadanidis

The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and…

1335

Abstract

Purpose

The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance.

Design/methodology/approach

This study includes 163 stocks traded on the Malaysian stock market and uses eight macroeconomic variables as the dependent and independent variables to investigate the relationship between the adjusted returns and the downside factors’ betas over the whole period 1990-2010, and sub-periods 1990-1998 and 1999-2010. It proposes a new version of the APT, namely, the D-APT to replace two deficient measures of factor's beta and variance with more efficient measures of factors’ downside betas and semi-variance to improve and dispel the APT deficiency.

Findings

The paper finds that the pricing restrictions of the D-APT, in the context of an unrestricted linear factor model, cannot be rejected over the sample period. This means that all of the identified factors are able to price stock returns in the D-APT model. The robustness control model supports the results reported for the D-APT as well. In addition, all of the empirical tests provide support the D-APT as a new asset pricing model, especially during a crisis.

Research limitations/implications

It may be worthwhile explaining the autocorrelation limitation between variables when applying the D-APT.

Practical implications

The framework can be useful to investors, portfolio managers, and economists in predicting expected stock returns driven by macroeconomic and financial variables. Moreover, the results are important to corporate managers who undertake the cost of capital computations, fund managers who make investment decisions and, investors who assess the performance of managed funds.

Originality/value

This paper is the first study to apply the concepts of semi-variance and downside beta in the conventional APT model to propose a new model, namely, the D-APT.

Details

International Journal of Managerial Finance, vol. 10 no. 1
Type: Research Article
ISSN: 1743-9132

Keywords

Access Restricted. View access options
Article
Publication date: 21 June 2013

Mohammad Reza Tavakoli Baghdadabad and Paskalis Glabadanidis

This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the…

1327

Abstract

Purpose

This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M‐DRM) based on the modern portfolio theory. The purpose is to report the findings in a manner which is realizable by the average investors and portfolio managers.

Design/methodology/approach

This paper evaluates the performance of more than 400 Malaysian mutual funds using risk‐adjusted returns over the two sub‐periods of 2000‐2005 and 2006‐2011. The M‐DRM, as a different measure from downside risk, is applied to improve nine risk‐adjusted performance measures of Sortino, Treynor, M‐squared, Jensen's alpha, information ratio (IR), MSR, upside partial ration (UPR), FPI, and leverage factor. It proposes a new single‐factor model to test the maximum drawdown beta and alpha in the M‐DRM framework.

Findings

The evidence clearly indicates that the replacement framework in terms of MDB, the maximum drawdown beta, and the maximum drawdown CAPM can be replaced by the conventional frameworks in terms of MVB, beta, and the CAPM and also MSB, downside beta, and D‐CAPM for modifying nine performance evaluation measures from the management styles of Malaysian mutual funds.

Practical implications

The research evidence reported in this paper can be applied as input in the process of decision making by small and average investors and portfolio managers who are seeking the possibility of participating in the global stock market through mutual funds.

Originality/value

This paper is the first study to estimate a new regression model in the M‐DRM framework to evaluate the performance of Malaysian mutual funds. In addition, it proposes nine modified performance evaluation measures in the M‐DRM framework for the first time.

Details

International Journal of Managerial Finance, vol. 9 no. 3
Type: Research Article
ISSN: 1743-9132

Keywords

1 – 3 of 3
Per page
102050