Index Portfolio Research Articles

Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review

We introduce a new goodness-of-fit test for regular vine (R-vine) copula models, a flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from the information matrix ratio and assumes fixed margins. The corresponding test statistic is derived and its asymptotic normality is shown. The test’s power is investigated and compared to 14 other goodness-of-fit tests, adapted from the bivariate copula case, in a high-dimensional setting. The extensive simulation study on the copula level shows the excellent performance with respect to size and power as well as the superiority of the information matrix ratio based test against most other goodness-of-fit tests. The best performing tests are applied to a portfolio of stock indices and their related volatility indices validating different R-vine specifications. • We present a new goodness-of-fit test for regular vine copula models. • The test arises from the information matrix ratio. • The test’s power is investigated and compared to 14 other goodness-of-fit tests. • A simulation study shows the excellent performance with respect to size and power. • An application to stock indices and their related volatility indices is performed.

A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?

We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold schemes and compared with portfolios rebalanced using weights from different points on the Markowitz efficient frontier. We also examine portfolios that are rebalanced across monetary policy regimes. We find that portfolios rebalanced using Markowitz weights that allow for shifts in monetary policy regimes easily outperform both threshold rebalancing and buy and hold strategies.

A Risk Metric Assessment of Scenario-Based Market Risk Measures for Volatility and Risk Estimation: Evidence from Emerging Markets

Abstract The study evaluated the sensitivity of the Value- at- Risk (VaR) and Expected Shortfalls (ES) with respect to portfolio allocation in emerging markets with an index portfolio of a developed market. This study utilised different models for VaR and ES techniques using various scenario-based models such as Covariance Methods, Historical Simulation and the GARCH (1, 1) for the predictive ability of these models in both relatively stable market conditions and extreme market conditions. The results showed that Expected Shortfall has less risk tolerance than VaR based on the same scenario-based market risk measures

THE INDEX EFFECT ON THE POLISH EQUITY MARKET BASED ON THE EXAMPLE OF THE WIG20 INDEX

The aim of this article is to examine, on the example of companies whose shares are to be included into the WIG20 index portfolio, whether the index effect occurs on the Polish stock market. Based on the study event conducted in 2010–2014 (first quarter) it was demonstrated that abnormal positive returns of new index participants occurred mainly before the announcement of the information about the new index composition. Cumulative abnormal returns were observed for 9 out of 11 analysed companies and the average cumulative abnormal return amounted to 3.38%. This means that on the Polish stock market, like on the foreign markets examined earlier, there is an anomaly in the form of the index effect.

Active Allocation of Smart Beta Indices Based on Factor Timing and Regime Switching

There has been significant evidence on the forecasting ability of Regime switching regression models. Smart beta or alternative beta indices are gaining wide popularity among investment community. Smart beta indices constructed with either fundamental or scientific weighting schemes are proven to outperform cap-weighted portfolios in the long run. At the same time, smart beta indices have significant exposure to risk factors such as size, value, momentum and volatility. The risk factors exhibit different behaviour in different regimes. In this research we examine and present evidence of the presence of regimes in smart beta indices. We also examine the possibility of adding value to a portfolio by switching between regime dependent portfolios of smart beta indices exploiting factor exposures.

Smart Beta Through the Lens of Risk Factors

We analyze five popular smart beta indices with a simple two risk-factor framework. Our analysis shows that majority of the return variations of these five smart beta indices can be explained by S&P 500 and Barclays Treasury index. We also demonstrate that the diversification effect is limited by including the smart beta indices in an equity index portfolio with a metric called implied breath.

Market efficiency in developed and emerging markets

The weekly and monthly returns of stock indices and portfolios of stock indices were analysed to investigate the weak form of market efficiency in developed and emerging capital markets using standard tests of market efficiency. Our results, based on an analysis of 13 years of data, show mixed results for different indices. However, portfolio returns of developed and emerging markets indicate the absence of market efficiency. Developed markets show inefficiency for monthly returns that is contrary to the conventional perception that developed markets are efficient in comparison to emerging markets owing to their long existence, better maturity, depth and technological development.

Issues in Trends in Sustainability Reporting by Indian Companies as per Global Standards

It's high time that Indian companies today to shift their focus from single bottom line of earning profit to a triple bottom line such as profit, planet and people. Along with the economic objective, the fulfillment of Social and environmental objectives are equally important. The corporate houses need to understand that they cannot sustain for a long run in society without catering to the needs of the society in which they operate and without fulfilling the urgent demands of the environmental requirements which offers the resources to survive. Rapid industrialization, deforestation and disproportionate growth of cities may damage the ecological balance of the planet which leads to Air pollution, water stress and global warming etc. So all the stake holders including the investors are concerned for company's involvement in sustainable development practices. It has been observed in the present study that the S & P BSE Greenex index which is formed with 25 Companies who are engaged in green initiatives, have performed better than the BSE Sensex. This indicates the preference of investors for environment friendly companies. The second part of the study is based on the issues related to sustainability reporting in India as per GRI standards. Though regulatory norms are in place with respect to mandatory spending in CSR activity or Business responsible reporting for top 100 listed companies, but this much initiative is not enough to protect the planet from the adverse impact of Climate change. The study found that only 104 companies have taken initiatives to publish sustainability reports as per GRI guideline in the last 10 years, out of which only 60 companies show consistency in the last two years. As far as investors sentiments are concerned, the green initiative index have outperformed the market index portfolio in the last 27 months.

冠层水平互花米草叶片光合色素含量的高光谱遥感估算模型

PDF HTML阅读 XML下载 导出引用 引用提醒 冠层水平互花米草叶片光合色素含量的高光谱遥感估算模型 DOI: 10.5846/stxb201304270834 作者: 作者单位: 福建师范大学地理科学学院,福建师范大学地理科学学院,福建师范大学地理科学学院,福建师范大学地理科学学院,福建师范大学地理科学学院,福建师范大学地理科学学院,福建师范大学地理科学学院 作者简介: 通讯作者: 中图分类号: 基金项目: 福建省科技计划项目(2010R1037);福建师范大学研究生科技创新基金资助 Hyperspectral remote sensing estimation models for foliar photosynthetic pigment contents at canopy level in an invasive species, Spartina alterniflora Author: Affiliation: Fujian Nomal University,Fujian Nomal University,,,,, Fund Project: 摘要 | 图/表 | 访问统计 | 参考文献 | 相似文献 | 引证文献 | 资源附件 | 文章评论 摘要:以闽江河口鳝鱼滩湿地互花米草(Spartina alterniflora)的实测冠层高光谱反射率和叶片光合色素含量(LPPC)为数据源,在分析LPPC与原始光谱反射率、一阶导数光谱反射率、22种已报道光谱指数和14种新构建的植被指数相关性的基础上,利用直线回归、指数回归、对数回归以及乘幂回归方法,系统地比较了36种植被指数在估算互花米草LPPC中的表现。研究表明:(1)一阶导数光谱反射率组合的植被指数用于估算互花米草的LPPC优于原始光谱反射率;(2)红边区域一阶导数光谱是估测互花米草LPPC的最佳波段;(3)对于单一色素含量的估算,叶绿素a (Chla)的最佳估算指数为FDNDVI[723,703];叶绿素b (Chlb)的最佳估算指数为FDRVI[723,525];类胡萝卜素(Cars)的最佳估算指数为FDNDVI[723,703];(4)对于使用统一参量同时估算Chla、Chlb、Cars,由FDRVI[723,703]建立的对数估算模型效果最佳。研究成果可为湿地植物生化参量反演提供参考,也可为闽江河口湿地入侵种互花米草的动态监测和生态评估管理提供有力的科学依据。 Abstract:Foliar photosynthetic pigments are the most important biochemical parameters relative to the physiological function of wetland plants. Quantitative estimation of photosynthetic pigments can provide important information about the dynamics of the vegetation productivity, vegetation stress, or nutrient cycles within wetland ecosystems. However, the estimation of foliar photosynthetic pigments is complicated because canopy reflectance in the visible and near infrared wavelengths is affected by confounding effects that come not only from foliar photosynthetic pigment contents variation but also from the changing environmental conditions of wetland ecosystem. Our objective was to address the question by establishing hyperspectral remote sensing estimation models for foliar photosynthetic pigments at canopy level in an invasive species, Spartina alterniflora. In this study, the hyperspectral reflectance of canopy leaf and leaf photosynthetic pigment contents (LPPC) from S. alterniflora in Min River Shanyu beach were recorded as data source. The correlation between LPPC and raw spectral reflectance, the first derivative reflectance, 22 reported vegetable indices and 14 new formed indices were determined. Based on the results of correlation analysis, a total of 36 indices were tested by linear regression, exponential regression, logarithm regression and the power of regression to explore their potentials in LPPC estimation in S. alterniflora. The results showed that: (1) This study selected 5 wavebands in the region of 400-900 nm, which appeared to be the optimal wavebands for the S. alterniflora foliar photosynthetic pigments estimation. Of the selected wavebands, the most frequently occurring wavebands were 723 nm, 703 nm, 525 nm, 752 nm, 668 nm. (2) Vegetation index portfolio by the first derivative reflectance was evidently better than raw reflectance for estimating LPCC in S. alterniflora. Combining the optimal wavebands, the results indicated that the first derivative of reflectance in the red edge region (680-760 nm) was the optimal band for estimating LPCC. (3) For a single pigment content, the best indexes for estimating chlorophyll a (Chla), chlorophyll b (Chlb) carotenoids (Cars) were FDNDVI[723,703], FDRVI[723,525], and FDNDVI[723,703], respectively. The three new formed indices were proved to have better linearity with corresponding photosynthetic pigment. (4) Using the same index to estimate different pigments, the best model was the logarithmic model using FDRVI[723,703], with high predicted correlation coefficients R2 of 0.6997, 0.7187, and 0.7132, respectively. This study would not only provide a good reference for hyperspectral remote sensing retrieval of biochemical variables in wetland vegetation, but also provide a strong scientific basis for the dynamic monitoring of S. alterniflora and management of ecological assessment in Min River estuary. 参考文献 相似文献 引证文献

Stock Mispricing Induced by a Flawed Stock Market Index

Despite the introduction of sophisticated stock market indices, investors often trade portfolios of the flawed indices to change their exposure to the market. In this study, we show that these transactions cause significant mispricing in individual stocks, especially during periods of significant market movement. As an influential, albeit flawed, stock index, we focus on the Nikkei 225. We find index constituents that are excessively weighted on the index, experience buying (selling) pressure when the stock market surges (falls), and experience price corrections after such periods of change. In contrast, non-constituent stocks do not experience such trading pressure.

Matching the BRIC equity premium: A structural approach

The equity risk premium (ERP) in BRIC markets is, on average, significantly higher than that in the US market. This paper employs an endowment economy with recursive preferences and long-run risk to explain the ERP generated by a portfolio of BRIC equity indices. The combination of recursive preferences and long-run risk partially explains the BRIC ERP. It turns out that there is a puzzle with respect to BRIC data as well. This holds even if we account for high levels of aversion to consumption and utility risk and for the empirically observed autoregressive structure of US consumption and BRIC dividend growth.

Forecasting VaR and ES of stock index portfolio: A Vine copula method

Risk measurement has both theoretical and practical significance in risk management. Using daily sample of 10 international stock indices, firstly this paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Secondly, the Value-at-Risk (VaR) and Expected Shortfall (ES) of the international stock markets portfolio are forecasted using Monte Carlo method based on the estimated dependence of different Vine copulas. Finally, the accuracy of VaR and ES measurements obtained from different statistical models are evaluated by UC, IND, CC and Posterior analysis. The empirical results show that the VaR forecasts at the quantile levels of 0.9, 0.95, 0.975 and 0.99 with three kinds of Vine copula models are sufficiently accurate. Several traditional methods, such as historical simulation, mean-variance and DCC-GARCH models, fail to pass the CC backtesting. The Vine copula methods can accurately forecast the ES of the portfolio on the base of VaR measurement, and D-Vine copula model is superior to other Vine copulas.

Three fuzzy goal programming models for index portfolios

Studies show that most actively managed mutual funds struggle to beat the market, driving an increase in the popularity of index investing. Index investing instruments, including index funds and Exchange-traded Funds, aim to track market performance. This study pursues both tracking error minimization and excess return maximization, two conflicting objectives, to construct an index portfolio. In the real-world financial environment, the desires and expectations of decision makers are generally imprecise. This study applies fuzzy theory to deal with imprecise objectives. This study represents minimizing tracking error and maximizing excess return as ‘fuzzy goals’ to improve traditional goal programming, which is suitable for handling multiple conflicting objectives, but subject to establishing crisp goals. Three fuzzy goal programming (FGP) models that track indexes are compared and discussed, and the results show that through certain membership functions and tracking models, an index tracking portfolio with a tracking error lower than the 0050 index fund, and a similar excess return to 0050 index fund can be constructed using additive type FGP. max-min type FGP underperforms the additive type FGP in index fund construction.

Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios

The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the Greater China Region for both short and long hedgers. The results reveal that the best backtesting VaR for the MVHP considered both the higher moments of the MVHP distribution and the asymmetry in volatility, cross-market asymmetry in volatility, and level effects in the covariance matrix of assets in the MVHP. These empirical results provide references for investors in risk management.

The Effect of Index Fund Competition on Money Management Fees

This paper estimates the effect of competition from low-cost index funds on fees in the money management industry. A difference-in-differences analysis exploiting the staggered entry of index funds finds that while actively managed funds sold directly to retail investors reduce fees by six percent, those sold through brokers increase fees by four percent. Additionally, actively managed funds, especially closet indexers, shift away from holding the index portfolio. A market segmentation model illustrates that beyond a price-competition effect, the index fund entry creates a selection effect that isolates the least-price-sensitive investors and results in a price increase for this group.

Tilt Nickel to Diamond

We propose a simple two-stage portfolio tilting strategy to address the long-standing factors eating alpha problem. Fundamental factors are projected onto risk factors to obtain a set of risk-adjusted fundamental factors. Then we tilt portfolio weights of any selected index based on the risk-adjusted fundamental factors to construct more efficient index portfolios. We illustrate the efficiency of the strategy using a hypothetical index anchored to Russell 1000. The new index outperforms Russell 1000 in raw and risk-adjusted returns. It has greater information and Sharpe ratios while maintaining a lower tracking error than other alternative indices. Further, the index fares better in bearish and turbulent markets than in bull markets.

Profitability under Long-term Exponential Moving Average Indicator for Trading in Index: A Technical Analysis of Bombay Stock Exchange

Fundamental and technical analyses are two methods used to analyse securities and make investment decisions. Technical analysis is interested in the price movements, predicting the future price, buying and selling signals in the market using different indicators. Moving average (MA) is one of the most common technical indicators used to reduce rattle in a time series, so that the underlying behaviour can be more clearly perceived. It is essentially a trend following mechanism focusing to recognise whether a new trend has begun or that an old trend has enabled or reversed. This article incorporates use of 100 days exponential moving average (100 DEMA) indicator on Bombay Stock Exchange (BSE) 30 Index to test its profitability. Success of indicator is studied with a strategy of Price Crossover Signal system. When 100 DEMA line crosses BSE Index line from its below, it generates Buy signal, whereas pierces BSE 30 Index line from its above, it raises Sale signal. After studying Buying and Selling signals generated by indicator, article concludes with testing of hypothesis and comment on profitability of use of 100 DEMA in long run. This article discerns the fact of applying MA technique in long run investment and embodies its fact sheet of employing it by long-term investors, investors having index portfolio. It is a guide to technical analysts, who use technical indicators for trend forecasting. Article also advices whether to invest with the help of MA or else.

High-dimensional volatility matrix estimation via wavelets and thresholding

We propose a locally stationary linear model for the evolution of high-dimensional financial returns, where the time-varying volatility matrix is modelled as a piecewise constant function of time. We introduce a new wavelet-based technique for estimating the volatility matrix, which 10 combines four ingredients: a Haar wavelet decomposition, variance stabilization of the Haar coefficients via the Fisz transform prior to thresholding, a bias correction, and extra time-domain thresholding, soft or hard. Under the assumption of sparsity, we demonstrate the interval-wise consistency of the proposed estimators of the volatility matrix and its inverse in the operator norm, with rates which adapt to the features of the target matrix. We also propose a version of 15 the estimators based on the polarization identity, which permits a more precise derivation of the thresholds. We discuss the practicalities of the algorithm, including parameter selection and how to perform it online. A simulation study shows the benefits of the method, which is illustrated using a stock index portfolio.

Analysis of information disclosure about social investments by companies that declare themselves socially responsible

The research theme is social disclosure, that is, voluntary information disclosure involving community, environment, employees and clients. For this study, the community focus was chosen, that is, companies’ investments in social projects will be studied. According to voluntary disclosure theory, companies are anxious to publish good news, but resistant to the disclosure of bad news. The aim in this research is to analyze social investment information disclosure by companies that declare themselves sustainable. Therefore, an empirical study was undertaken in 31 companies listed in the Corporate Sustainability Index (ISE) portfolio, applying content analysis to the parts on community involvement in the reports published. The results showed: none of the companies fully left out information about the objective of its projects; few companies disseminated the destination of investments in all projects; the sacrifice the companies made frequently was not clear; very little information is available about the use of tax benefits. More frequent disclosure of information with a more immediate positive impact was perceived.

The Role of Options in LongHorizon Portfolio Choice

Option pricing theory depends on the idea that an option is a redundant asset. Its payoff can be replicated by a dynamic strategy involving just the stock and riskless bonds. This leaves the odd theoretical question of what value there is for options to exist in the first place. In this article, Tan tackles this issue in a simulation of long-term equilibrium in an economy with investors who earn labor income over their lifetimes and have access to a stock index portfolio, riskless bonds but limited ability to borrow, and at-the-money calls and puts on the index. Call options provide considerable utility largely because the leverage they permit allows younger workers with future wage income but little current wealth to increase their exposure to the stock market. Put options, by contrast, add little in the context of this economy.