Balanced Portfolio Research Articles

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik 2014, and Dewey and Haghani 2016). In sum, this research has found that historically, these Valuation-and-Momentum-driven investment approaches have produced higher returns and more attractive risk-adjusted returns than a static-weight approach. However, the above-cited research has been mostly silent on the question of how such an approach could be implemented and would have performed in the context of an All-Equity portfolio, where the Valuation and Momentum signals would drive a dynamic allocation between different regional equity markets. This note explores this question. It finds that such a dynamic approach would have produced higher absolute returns, and higher risk-adjusted returns, than a static approach would have produced. However, the improvement in simulated historical returns is less than the improvement that Valuation and Momentum deliver when applied to a balanced baseline portfolio of equities and fixed income. For example, simulated historical returns for the All-Equity strategy described below over the past roughly 40 years had about 50% more variability but only 20% higher returns than did a similar dynamic Global Balanced strategy. We examine a form of the strategy that can be followed by any investor with a simple brokerage account, using low-cost, liquid and widely available ETFs or index funds, and without use of leverage or shorting. The implementation we explore in this note trades monthly, with turnover averaging about 50% per annum. It is be based on data that is freely available in the public domain.

Going All In: A Strategic Investment in In Silico Toxicology.

As vast numbers of new chemicals are introduced to market annually, we are faced with the grand challenge of protecting humans and the environment while minimizing economically and ethically costly animal testing. In silico models promise to be the solution we seek, but we find ourselves at crossroads of future development efforts that would ensure standalone applicability and reliability of these tools. A conscientious effort that prioritizes experimental testing to support the needs of in silico models (versus regulatory needs) is called for to achieve this goal. Using economic analogy in the title of this work, we argue that a prudent investment is to go all-in to support in silico model development, rather than gamble our future by keeping the status quo of a "balanced portfolio" of testing approaches. We discuss two paths to future in silico toxicology-one based on big-data statistics ("broadsword"), and the other based on direct modeling of molecular interactions ("scalpel")-and offer rationale that the latter approach is more transparent, is better aligned with our quest for fundamental knowledge, and has a greater potential to succeed if we are willing to transform our toxicity-testing paradigm.

Multi-perspective design of energy efficiency policies under the framework of national energy and climate action plans

Towards the fulfilment of Paris Agreement, European Union aims to achieve a set of ambitious climate and energy targets, with energy efficiency pillar having the protagonist role. The paper proposes a multi-perspective approach towards designing a balanced, realistic and cost-optimal energy efficiency policy portfolio, in the extended framework of the NECP, taking into account a set of targets, constraints, particularities and political priorities. In this respect, going from measures to policies, the proposed methodology achieves to design an optimal energy efficiency portfolio, balancing the scale between the diversification of different financial sources and the associated risk. The proposed methodology is applied for supporting the Greek NECP. Greek State has declared its financial limitations towards the fulfillment of its EE targets. The results of the application show that the mobilisation of additional public-private co-investments, through the use of appropriate financial mechanisms, appears to be a feasible model, and reveals a high cost effectiveness improvement potential against the existing policies.

Excess volatility and market efficiency in government bond markets: the ASEAN-5 context

This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon.

Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity

Socially responsible investment (SRI) practices are increasingly widely adopted, and moving into mainstream investment activity. Among the suite of instruments available to responsible investors is a fixed-income offering known as a green bond - a specialized bond in which the use of proceeds are strictly earmarked for projects with an explicit ‘green’ orientation. The market for green bonds was established in 2007, and in recent years is achieving a phase of maturity. Notwithstanding this, there is as yet scant evidence or empirical insights around their potential value to investors. Here we question whether green bonds have a (value-enhancing) role to play in a balanced fixed-income investment portfolio. We phrase our analysis around international bond indices, for green versus black bonds in the three major market regions for green bonds, namely the US, Europe and China. A time-varying parameter vector auto-regression (TVP-VAR) econometric framework is applied to daily data - spanning July 2016 to April 2019 - to examine aggregate network, and pairwise dynamics as they have evolved through time and illustrate the evolving nature of connectedness between these core bond-market benchmarks. Following this, bond portfolios are constructed with dynamic weighting schemes (including a novel ‘minimum connectedness’ portfolio) to question, if, when and to what extent green bonds are part of an international fixed-income investor’s portfolio. The results indicate a non-trivial role for green bonds, with weights ranging from approximately 40% to 80% depending on time, and portfolio construction choice. Chinese green bonds typically have the largest weight of the green bond indices, especially under minimum-variance portfolios, while in the preferred ‘minimum connectedness’ portfolio there is a much more balanced representation of US, European and Chinese green bonds. Our analysis contributes unique evidence to the literature on the role of SRI practices as a complement to mainstream investment.

Government Support and Cross-Border Innovation: A Quasi-Experiment in China

Nation states want firms to innovate new processes and products not only within national boundaries, but also across countries. China initiated the policy of constructing national in 2009 and has been supporting global innovation of firms in selected cities, to converge with more developed countries. But how does government support influence firms' innovation in another country? Viewing government support as a critical external source for cross-border innovation of firms, this study employs the difference-in-differences (DiD) technique in a quasi-experimental setting to examine the influence of the government support, provided by the innovative city policy intervention, on Chinese firms' innovation in the U.S. We find that firms in the innovative increase their cross-border innovation more than firms in the cities without the policy intervention. We further show that firms with higher R&D capacity take better advantage of government support and create more cross-border innovation. In addition, we examine longitudinally how firms shift their strategic focus of innovation with government support. The analysis reveals that government support leads to more balanced portfolios of firms between exploratory and exploitative innovation. Taken together, findings of the study suggest that government actions that improve the ecosystem of innovation in one country also strengthen firms' innovation and competitiveness overseas.

Investment outlook and Asset Allocation in US Pension Funds

The classic balanced portfolio for more than 7 decades has been the blend of equities and bonds in the ratio of 60% to 40% respectively. But declining interest rates have forced investors to divert from this investing strategy and look over other alternatives. This has affected bond returns. And once again due to pandemic interest rates were cut down to near zero resulting in very little returns in bonds. To overcome this, alternative investment opportunities should be looked for and several factors which are important in deciding the future investments are to be considered. Some of them are interest rates, valuations, volatility, etc. Based upon the factors and other parameters, the best alternatives will be Equities (cyclical industry, stocks providing dividends, etc), Corporate bonds (with higher investment grades), and government bonds of emerging markets (like China and Peru). These alternatives will act as better investment alternatives to traditional 60/40 asset allocation in the current scenario.

A report on the future of independent and scholarly publishing webinar by the Scholarly Kitchen

Key points The open access movement continues to gain pace, resulting in increasing regulatory requirements that constrain business models. Plan S itself may only have a modest immediate effect on industry‐wide sustainability but is the clearest indication of the ‘direction of travel’ for our industry yet. Recent negotiations between publishers and consortia represent a ‘bigger deal’ and may therefore lead to even greater economic power for large commercial publishers. Societies have a greater role than merely allowing researchers to get credit for and disseminate their work. A one‐size‐fits‐all model of open access may threaten the sustainability of other community services managed by learned societies. Do not panic about Plan S! Look to the needs of your community and offer a balanced portfolio of publications and services.

Influence of Investors’ Preference towards SBI Mutual Fund in Chennai City

In India, the savings from individual households contribute a large share in the capital appreciation. There are various ways such as purchase of real assets, Shares, stocks and securities in which the savings can be invested. Mutual Funds play a predominant role in collecting the funds from small investors and invest in balanced portfolio of securities. Investors have completely different outlook while they choose of investing in a specific avenue. The primary objective of investor is to safeguard his saving in safer and liquid investment opportunity taking into account his anticipation and his risk tolerance capacity. Hence, an attempt is made to identify the preferential attitude of investors and its influence on SBI mutual fund schemes taking into account social economic individual saving habit, social, economic, individual savings pattern and the level of confidence on investment schemes.

Regime-based tactical allocation for equity factors and balanced portfolios

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this research, we consider whether regimes can add value to the asset allocation process. Four methods for regime identification—economic cycle variables, fundamental valuation metrics, technical market indicators and statistical regime-switching models—are discussed and tested on two asset universes—longonly South African equity factor returns and representative balanced portfolio asset class returns. We find several promising regime indicators and use these to create two regime-based tactical allocation frameworks. Out-of-sample testing on both the equity factor and balanced asset class data shows very promising results, with both regime-based tactical strategies outperforming their respective static benchmarks on an absolute return and risk-adjusted return basis. We also turn our attention to a potentially major recent development in the local fund management space; namely, the introduction of Capped Shareholder-Weighted indices as new benchmarks. We provide comparative analysis between the capped and uncapped Shareholder-Weighted indices in terms of sector weights, stock concentration, currency exposure and factor risk contributions.Keywords: Tactical asset allocation; equity factors; balanced portfolios; market regimes; regime-switching models; turbulence index; technical indicators

Stock hunting or blue chip investments?

PurposeThe purpose of this paper is to study the individual investors’ preferences towards stock selection in social media environments. The study is conducted to understand the implications and conceptual directions for the corporates and financial advisors to understand the choices of individual investors applied in financial markets. Further, this study aims to examine the selection of the most preferred social media platform and behavioral intentions of investors towards selection of investment portfolios in Indian stock markets.Design/methodology/approachA questionnaire was designed based on the technique of conjoint analysis and was responded by 428 respondents belonging to the Northern region of India. The estimation of preference functions in Conjoint Analysis was designed by using orthogonal arrays and was calculated using the ordinary least square regression technique.FindingsThis study reveals that while making selection of desired investment portfolios, the investors give highest preference to social media platforms in terms of highest utility value and range followed by their preference for behavioral intentions to invest. Among different social media platforms, the investors preferred Twitter the most, followed by Facebook and the primary interest of investors was observed towards Intra-day trading purposes and balanced portfolio investments in financial markets. The major reason behind opting the social media platforms was selection of speculative stocks.Research limitations/implicationsThe actual individual investment behavior cannot be observed through the survey, which limits the external validity of the study.Practical implicationsThe paper presents a very important practical tool that can help financial advisors, opinion leaders and corporates in defining their target audience more sharply for investment-related advice. The findings revealed by the study will put them in a better position to understand how investors differ behaviorally and they will get acquainted with their choices and preferences while making investment decisions in the backdrop of social media environments. The preferences of the investors based on social media usage discovered by the study will not only enable the individual investors understand their own preferences, but those of the other investors as well in terms of planned investment decisions and choices.Originality/valueThe paper is a first of its kind to empirically identify the individual investors and their preferences and choices by applying conjoint analysis in the new social media environment. The study thus integrates the gap between marketing theories and emerging theories of behavioral finance to understand the investor behavior in a better way.

Predicting Time-Lag Stock Return Using Tactical Asset Allocation Trading Strategies Across Global Stock Indices

This paper investigates the effectiveness of different tactical asset allocation trading strategies on global stock market indices in order to better forecast the returns. It has been revealed that timing model strategies are appeared to be the best performing one than the passive buy and hold strategy. Results show that the simulated moving average is the best strategy in order to generate buy and sell signals to minimize the investor’s risk and maximize the return of the portfolio. It has been recommended that investors who are looking to minimize the risk of their portfolio and decrease the drawdown can use the proposed timing model strategy to achieve a balanced portfolio in the future.

Best portfolio management strategies for synthetic and real assets

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential equations, stochastic calculus and advanced statistics. In this paper, using a set of tools from the probability theory, various strategies of building financial portfolios are analysed in different market conditions. A special attention is given to several realisations of a so called balanced portfolio, which is rooted in the natural “buy-low-sell-high” principle. Results show that there is no universal strategy, because they perform differently in different circumstances (e.g. for varying transaction costs). Moreover, the planned time of investment may also have a significant impact on the profitability of certain strategies. All methods have been tested with both simulated trajectories and real data from the Polish stock market.

Unraveling the genetic architecture of major depressive disorder: merits and pitfalls of the approaches used in genome-wide association studies.

To identify genetic risk loci for major depressive disorder (MDD), two broad study design approaches have been applied: (1) to maximize sample size by combining data from different phenotype assessment modalities (e.g. clinical interview, self-report questionnaires) and (2) to reduce phenotypic heterogeneity through selecting more homogenous MDD subtypes. The value of these strategies has been debated. In this review, we summarize the most recent findings of large genomic studies that applied these approaches, and we highlight the merits and pitfalls of both approaches with particular attention to methodological and psychometric issues. We also discuss the results of analyses that investigated the heterogeneity of MDD. We conclude that both study designs are essential for further research. So far, increasing sample size has led to the identification of a relatively high number of genomic loci linked to depression. However, part of the identified variants may be related to a phenotype common to internalizing disorders and related traits. As such, samples containing detailed clinical information are needed to dissect depression heterogeneity and enable the potential identification of variants specific to a more restricted MDD phenotype. A balanced portfolio reconciling both study design approaches is the optimal approach to progress further in unraveling the genetic architecture of depression.

MECHANISM FOR FORMING AN EFFECTIVE PORTFOLIO OF RESEARCH PROJECTS OF INSTITUTION OF HIGHER EDUCATION

The subject matter of the article is the methods, models and mechanisms of forming a portfolio of research projects of higher education institutions. The goal of the work is to develop a mechanism for managing a portfolio of research projects of a higher education institution based on the commercialization of the results of scientific activities of the university based on a risk management system. The following tasks were solved in the article: analysis of the scientific management model of higher education institutions, the study of modern methods of managing portfolios of research projects of universities, the development of a mechanism for the formation of an effective portfolio of research projects of higher education institutions taking into account risks and the commercialization of scientific results. The following methods used are – project and portfolio management methods, systems theory and systems analysis, risk management methods. The following results were obtained – the mechanism for creating a portfolio of research projects taking into account the strategic goals of a higher education institution was developed, a consolidated plan for the implementation of scientific projects of a portfolio was created, a mechanism for managing a portfolio of research projects of a higher education institution was developed based on a grouping of projects according to risk criteria and the commercialization of scientific results. Conclusions: using the portfolio management mechanism will allow higher education institutions to form balanced portfolios of scientific projects, thereby more effectively implementing innovative programs taking into account risk criteria and the commercialization of scientific results. The most difficult task of the scientific project management system is the task of forming a portfolio of research projects. The portfolio of research projects of a higher education institution is valuable if it allows you to develop activities aimed at creating and strengthening competitive advantages. However, the university’s capabilities in terms of forming a portfolio of research projects are limited by available resources, as well as by the increasing complexity of developing the latest technologies that require the involvement of third-party organizations, because the possibilities of establishing a higher education for independent conduct and processing of the results of scientific activities are limited. At the stage of selection of research projects, a list of current projects is formed; an analysis of research projects in the portfolio is carried out for compliance with the strategic goals of the institution of higher education. By grouping research projects in a portfolio and forming the necessary criteria for the projects to correspond to a particular group (direction) of scientific research, the projects are linked both with each other and with the goals of a higher education institution, and the transparency of the formed portfolio of research projects is increased. At the stage of balancing research projects, resources are allocated in accordance with the directions of research projects and the objectives of the portfolio of projects of higher education institutions. At the same time, the portfolio should increase the share of research projects with high value for higher education institutions and the share of projects designed to bring higher education institutions dividends from the commercialization of scientific results (patent implementation) and reduce the share of high-cost research projects, as well as projects with high risks. The following criteria are used as the main criteria in balancing the portfolio of research projects of higher education institutions in work: expenses for the implementation of research projects; the value of projects for higher education institutions; project risk; proportion of projects in the portfolio.

Evaluating the Changed Collection of Equity Mutual Funds for Vanguard Participants in the Duke University Retirement Plan

From January 2019 Duke employees who are paid monthly have a changed set of mutual funds to choose from in their Duke University Faculty and Staff Retirement Plan. Which mutual funds are good choices? We compare the new lineup of funds with the Vanguard funds that have been cut from the retirement plan. We find that the new plan contains funds which on average have outreturned their benchmarks by more than the Vanguard funds that have been cut. We also characterize the styles of the funds in the new lineup to help the construction of balanced portfolios.

Pharmacokinetic and Drug Metabolism Properties of Novel Therapeutic Modalities.

The discovery and development of novel pharmaceutical therapies is rapidly transitioning from a small molecule-dominated focus to a more balanced portfolio consisting of small molecules, monoclonal antibodies, engineered proteins (modified endogenous proteins, bispecific antibodies, and fusion proteins), oligonucleotides, and gene-based therapies. This commentary, and the special issue as a whole, aims to highlight these emerging modalities and the efforts underway to better understand their unique pharmacokinetic and absorption, disposition, metabolism, and excretion (ADME) properties. The articles highlighted herein can be broadly grouped into those focusing on the ADME properties of novel therapeutics, those exploring targeted-delivery strategies, and finally, those discussing oligonucleotide therapies. It is also evident that whereas the field in general continues to progress toward new and more complex molecules, a significant amount of effort is still being placed on antibody-drug conjugates. As therapeutic molecules become increasingly complex, a parallel demand for advancements in experimental and analytical tools will become increasingly evident, both to increase the speed and efficiency of identifying safe and efficacious molecules and simultaneously decreasing our dependence on in vivo studies in preclinical species. The research and commentary included in this special issue will provide researchers, clinicians, and the patients we serve more options in the ongoing fight against grievous illnesses and unmet medical needs. SIGNIFICANCE STATEMENT: Recent trends in drug discovery and development suggest a shift away from a small molecule-dominated approach to a more balanced portfolio that includes small molecules, monoclonal antibodies, engineered proteins, and gene therapies. The research presented in this special issue of Drug Metabolism and Disposition will serve to highlight advancements in the understanding of the mechanisms that govern the pharmacokinetic and drug metabolism properties of the novel therapeutic modalities.

Challenges in the Conservation of an Over-Harvested Plant Species with High Socioeconomic Values

Overexploitation to meet commercial demands has threatened the existence of many species. In theory, one can adopt a portfolio of policies and measures from both the supply (i.e., encourage cultivation while punishing poaching) and demand (i.e., education of consumers) sides to achieve sustainable use. Here we examine the effects of governmental policies and measures towards the utilization of Aquilaria sinensis, a threatened species with high cultural and economic values. We found that, despite national protected status and a suite of government initiatives and granted projects to implement cultivation of the species, poaching persisted and even intensified. From the consumer side, current cultural education related to the species was not coupled with equally strong conservation education, which might have inadvertently reinforced the notion that wild-sourced materials are better, and facilitated a luxury goods-like market for wild products. It appeared that the current government portfolio of initiatives was highly skewed towards utilization, and therefore not effective for promoting the long term ecological persistence of the species. This finding is likely not unique to A. sinensis, nor limited to China. A more balanced portfolio of government initiatives to include stronger and more direct conservation measures towards highly exploited species is needed to achieve sustainable use of this species and related species.

Metodología incluyente para la valoración equilibrada de proyectos productivos regionales

Es común la evaluación de proyectos productivos con un enfoque marcado por la factibilidad técnica-financiera del proyecto. El presente artículo hace una propuesta alternativa que da sustento a una valoración más incluyente y desarrolladora de estados de bienestar para las comunidades, integra una evaluación equilibrada de aspectos socioculturales, ecológicos y económicos para un real desarrollo integral sostenible. La metodología propuesta focaliza sus consideraciones a problemas y necesidades reales de la zona de evaluación y que mediante el potencial de desarrollo de la misma pueda generar una cartera flexible, adaptable y equilibrada de proyectos productivos.

What 5 Years of Digitisation Teaches Us About What Comes Next

The Natural History Museum, London (NHM) has now carried out more than five years of digitisation under its Digital Collections Programme (DCP), working with peers from around the world as well as with industrial partners. Data from this and similar programmes are a key input to shared infrastructures and knowledge, for informing research and decision-making for a sustainable future. In keeping with the Biodiversity Next aims of sharing experiences, promoting innovation and inspiring the next leap forward, this presentation will share key lessons learned, including what has gone well and what we will change going into the next phase. To tackle the challenge of 80 million items, prioritisation is always at the forefront of NHM’s approach. Scientific and public value, as well as feasibility, have remained at the core, but we will share how and why our prioritisation methods have evolved over time, managing multiple sources of project ideas to develop a balanced portfolio of mass digitisation, pilot studies and bespoke projects for key specimens that do not lend themselves to a mass approach. The DCP is not just a set of digitisation projects or workflows – it has always been intended as a business transformation programme, catalysing much wider organisational and cultural changes. In key areas, including data standards and the Museum’s data portal, DCP has led the way and changes have matured into ‘business as usual’. The Programme and portal teams have been a focus for a much wider span of digitising and databasing activity, involving curators and others, and lead or input to a growing technology portfolio, e.g. influencing collections management systems and data storage. We will discuss our ‘culture is as culture does’ approach to change management. From an early stage, DCP has sought to work with industrial and commercial partners, benefiting from their expertise and resources. We have also worked continuously to raise additional funds by ‘selling’ the Programme. This comes with considerable challenges, including selecting the right ‘window’ on digitisation for each potential partner or funder; managing internal resource demands e.g. to give tours and respond to partner needs; and finding the right partners for different projects. When it works, however, this can give access to new resources and approaches, pushing digitisation forward. To make the case for continued investment in the Programme, including the digitiser team, NHM has worked to develop a data-driven approach, consistently measuring the time and cost of digitisation workflows, as well as continuously improving the wider case around the impact of digital collections data, drawing on sources such as citations collated by GBIF. Sometimes that data, and assessment of lessons learned, has led us to stop or change our approach, for example to crowdsourcing transcription. A key challenge going forward remains how to estimate economic value from collections, their data, and the research that uses them, to give us the strongest possible case for the next stages of global efforts to digitise natural history collections.