Number Of Holdings Research Articles

Using machine learning to predict investors’ switching behaviour

Individual investors’ decisions to switch investments very often lead to significantly lower investment returns so having an effective predictive model of these switches would be of value to clients, advisors and investment managers. A random forest algorithm was applied to a new dataset of over 20 million observations relating to 95,685 clients on Momentum Investments’ platform between 2018 and 2024. It identified a combination of investor characteristics (number of holdings, past switching behaviour, total assets) and external features (past returns, macroeconomic variables) as the key features of investor switch behaviour. This model exceeds commercially accepted standards in respect of the AUC and Gini metrics showcasing the model’s strength in its ranking capability. It can thus provide a useful basis for client segmentation and engagement by financial advisors.

Indian institutional investor's portfolio concentration decision: skill and performance

PurposeThis study examined Indian institutional investors' holding data to understand their investment strategy (Portfolio Concentration/Diversification) and explored whether their skills were associated with their portfolio strategy and performance. The study introduced a new proxy to identify skilled investors by forecasting abnormal returns. Moreover, the study also highlighted where skilled Indian investors put their money for long-term investment.Design/methodology/approachThis study measures portfolio concentration based on the number of holdings, the Hirschman–Herfindahl index (HHI) and benchmarks adjusted industry concentration. The study introduced a new proxy to identify skilled investors. We measured Investors' performance with the help of Carhart's four factors model and examined the relationship between variables through various regression models.FindingsThe study concluded a negative relationship between portfolio concentration and performance. However, skilled Indian investors get rewards from portfolio concentration decisions. It was found that skilled investors with few stocks and an industry concentration in their portfolio show a positive association between concentration and fund performance. Additionally, this study found Indian investors showing their faith in the financial sector for long-term investment.Originality/valueThis study examined Indian institutional investors' portfolio concentration strategy and introduced a new proxy to measure investors' skills.

The agrarian landscape and the change in its subdivision of plots

The article presents an analysis of changes in the agrarian landscape and the subdivision of its plots, using three Lithuanian municipalities as examples (Kaunas, Trakai and Šilutė). Statistical, comparative and multicriteria analysis methods were applied in the study. It was found that in all the studied municipalities, the area of the agrarian landscape was decreasing during the study period. The largest decreasing trends were in the municipality of Šilutė district, where the area covered by agrarian landscape decreased by more than 3%. At the same time, in the municipalities of Kaunas and Trakai districts, the area of agrarian landscape decreased quite evenly and did not reach 3%. It was also found that the number of agricultural holdings also decreased: by 27% in Kaunas district municipality and by over 33% in Trakai district municipality, but the area of agricultural holdings increased in all of the studied municipalities: in Kaunas district by over 5%, in Trakai district by over 37% and in Šilutė district by over 8%. The average size of a farm in Kaunas district remained rather stable, increasing by only 1%, in Šilutė district municipality the average farm size increased by more than 71% and in Trakai district municipality the tendency was the opposite, i.e. the average farm size decreased by more than 36%. The multicriteria analysis shows that the most common factors influencing changes in the agrarian landscape and its subdivision of plots vary between municipalities, but in general the following factors influence the changes in the agrarian landscape and its subdivision of plots: the land productivity score, the number of inhabitants, the distance to the centre of the city, the average size of the farms, the number of holdings, and the amount of land area occupied by bodies of water. The information collected and the results obtained show that in the municipalities analysed, the causes of change in the agrarian landscape and its subdivision of plots have a positive impact on the sustainable development of agriculture and rural areas.

Analysis of the Nexus between Structural and Climate Changes in EU Pig Farming

The EU’s ambition to establish economy-wide climate neutrality by 2050 requires challenging transformations in many economic activities. This paper aims to investigate the nexus of structural changes and greenhouse gas emissions (GHGEs) in an important sector of the livestock system, namely pig farming, during the period of 2010–2020 and to discuss the main directions of GHGE reduction. The academic novelty of this contribution is characterised by a combination of the shift-share and cluster analysis that allows for the investigation of the evolution phenomenon, applying the sustainability prism in order to understand the nexus between pig farming and the livestock system, as well as combining the national and EU levels. Results suggest that the steep decline in the number of holdings and a moderate reduction in livestock units (LSUs) on farms do not bring tangible GHGE reduction results. The cluster analysis confirms that pig farming systems in pre-2004 member states, except for Finland and Greece, demonstrated positive developments or a lower decline in holdings with pigs and live swine LSUs compared to other countries, while in the dominant share of post-2003 member states, the GHGE reduction rate was higher. This research identifies a reduction in the pig population, improvement in feed production and the development of related supply chains, and changes in manure management and utilisation as the main directions of GHGE reduction; however, the identified clusters are related with different potentials of GHGE reduction when applying the aforementioned measures. Recommendations include the development and support of actions that focus on GHGE reduction from swine manure and contribute to the establishment of a circular economy in the EU.

REGIONAL DIMENSION OF CHANGES IN BULGARIAN AGRICULTURAL STRUCTURE

Agriculture is an important sector in Bulgaria, especially in the rural areas where it is considered an important source of income and employment. Bulgarian agriculture has changed substantially over the past ten years, which has led to a transformation in production, farm, organizational and sectorial structures. The aim of the paper is to observe the regional differences in Bulgarian farm structure and outline main prospects for the next programming period, 2023-2027. The survey reveals a significant decline in the number of holdings in parallel with the decreased role of small farms. By contrast, the importance of large holdings is increasing. There are different patterns of agricultural transformation in the regions of Bulgaria. While large extensive producers dominate North Bulgaria, there is more balanced agricultural development in the South part of the country. The new CAP 2023-2027 is directed to more ambitious objectives related to climate, innovations and convergence. The subsidiarity principles could help Bulgaria to overcome some of these challenges if the agricultural policy is better targeted and oriented towards intensive sectors and more balanced and sustainable rural development.

Shared Experience in Top Management Team and Mutual Fund Performance

This article examines the role of top management teams (TMTs) in the US mutual fund industry, focusing on the shared experience between fund managers. We find that there is a significant positive relation between shared experience in TMTs and fund performance. In our subsequent analysis, we find our shared experience measure to be associated with several documented characteristics (e.g., industry concentration, number of holdings, turnover, duration, and active management) that are found in the prior literature to be associated with positive fund performance. This provides some insights on the potential channels through which shared experience results in positive fund performance. Our overall findings have important implication for investors in considering the shared experience in TMTs when making an investment decision.

Spatiotemporal Analysis of Size and Equity in Ownership Dynamics of Agricultural Landholdings in India Vis-à-Vis the World

The increasing threat to sustainable agriculture is a major concern of planners worldwide. Human population growth together with increasing food requirements and competition for land use is leading to land scarcity for agricultural purposes. Farm size influences the extent of the adoption of mechanization and modern methods of farm management practices, which in turn results in increased productivity, production efficiency and agricultural income. We studied changes in macroeconomic factors such as dependency on agriculture, growth of the sector, the pattern of landholdings and tenure rights across major agriculturally important countries, as well as the priority of agriculture for the national economy (i.e., the share of agriculture in the national income) and its relationship to changes in farm size. The data on the percentage of area under farming, population growth, size of the agricultural workforce and other social dimensions from 24 countries of different geographical sizes were analysed. We used parameters such as the extent of changes in cropland, family-owned land, the agricultural workforce and their productivity, number of holdings and their distribution, women-headed holdings and finally total and per capita agricultural income, and measured the changes over time and space. The published data from national and international sources were used to establish the relationship between farm size and farm efficiency measured through the selected parameters. The results clearly establish that the size of farm holdings had an inverse relationship with the population dependent on agriculture, share of agriculture in national income and tenure rights. Australia had the largest average agricultural landholding (3243 ha), while India and Bangladesh had the lowest (1.3 and 0.3 ha, respectively). The inequality in the distribution of farmland ownership was greater in developed countries than in developing countries. Female farmland ownership was less than 20% in most developing countries and the relationship between the number of farm households and farm outcomes was found to have weakened over time. India, a developing as well as an agriculturally important country, was subjected to detailed analysis to understand the spatiotemporal dynamics of the size, distribution and ownership patterns of agricultural landholding.

Structural changes in agricultural tenure in light of the liberalization of the relationship of owners and tenants of agricultural land (Case Study: For Assiut Governorate)

The policies pursued by the state affect many of the phenomena that are related to the agricultural sector and in turn are reflected in the interests of those associated with this sector and the efficient use of its resources. With the shift towards liberalizing agricultural policy in general and the relationship between owners and tenants of agricultural land in particular, this study aims to shed light on what accompanied this transformation that have affected the tenure structure, whether in the number of holdings or their capacity or the extent of their fragmentation and their fair distribution and classification between ownership and rent. Depending on the data derived from the results of the holding of inventory for the two periods (1993-1997) and (2013-2016) in the Directorate of Agriculture, Assiut Governorate. The results of the study indicate that the new liberalization policy was accompanied by an increase in the number of agricultural holdings between the two study periods by about 19.2%, a decrease in the area occupied by about 2.24%, and a reduction in the average holding Size by about 20.38%, The results also indicate an increase of the number of dwarf holdings at the expense of both medium and large holdings, as the first increased from 49.55% to 56.03%, at the expense of the decrease in the number of medium holdings from 46.82% to 39.65%, and the decrease in the number of large holdings from 3.63% to 3.58% Likewise, t

Implementation of a Long-Range Air Traffic Flow Management for the Asia-Pacific Region

We provide a concept of operations and a corresponding implementation of a long-range air traffic flow management in the Asia-Pacific region. This management will provide an appropriate demand-capacity balancing considering both aircraft sequencing by local arrival management procedures and flow optimization to prevent over-demand in the approach area around the airport. Thus, coordination of long-range international flights demands collaboration between different flight information regions and local regulations. As Singapore Changi Airport is a central element of the Asia-Pacific flow management high share of long-haul air traffic, we use this airport to demonstrate our approach. To derive the operational conditions and actual traffic patterns at the airport, ADS-B messages and flight plan information are processed. The data are cleaned, analyzed, and filtered to provide information about arrival flows within given distances to the airport. We provide an efficacy analysis of the long-range air traffic flow management using two approaches. First, we applied a mixed-integer optimization of time shifts of normal distributed flight times. Here, the regulation of long-range flights by time shifts (e.g., achieved by speed advisories) shows a significant relief from periods of over-demand at the airport approach sector. Second, we implement a reference and a test case scenario in an agent-based simulation environment including the local arrival management procedures. Here, the number of holdings and the associated holding time could be reduced by at least 26%.

Changes in agrarian structure in the EU during the period 2010-2016 in terms of typological groups of countries

The paper presents the changes in the spatial structure of agricultural holdings in the European Union between 2010 and 2016 from the perspective of typological groups of countries. The research was conducted based on Eurostat data. The holdings were divided into the following groups: up to 5 ha of agricultural land (AL), 5–20 ha, 20–50 ha, and over 50 ha. Based on the fuzzy classification method, 4 typological groups of countries with a similar spatial structure of holdings were distinguished. The intergroup diversity is high. The dynamics of changes in the number of holdings in particular countries per typological group was presented. A downward trend in the total number of holdings and smallholdings was observed, in particular in countries characterised by a fragmented structure of holdings. In these countries, an upward trend in the number of holdings of 20–50 ha and over 50 ha was noted. Between 2010 and 2016, the structure and composition of typological groups changed. There were also slight changes (in different directions) in the structural distance between the groups.

How to Increase the Odds of Owning the Few Stocks that Drive Returns

Some investment strategists advocate concentrated “best ideas” portfolios as the surest path to equity market outperformance. The premise is obvious: When a portfolio consists only of a manager’s best ideas, returns are undiluted by second-best or lesser ideas—but the reality is different. We used simulations and empirical analysis to evaluate the relationship between portfolio diversification and outperformance. We found that increasing concentration doesn’t raise the odds of outperformance; it lowers them. The less diversified a portfolio, the less likely it is to hold the small percentage of stocks that account for most of the market’s long-term return. Concentration can increase the odds of earning high margins of outperformance, but the probability of missing that return target increases more quickly than the probability of reaching it. Our analysis yielded two measures that a manager must meet to outperform the market: the “excess return hurdle” and the “success rate.” The excess return hurdle is the expected gap between portfolio and market returns at different levels of concentration; our analysis shows this decreases with increased holdings. Success rate is a measure of the manager’s ability to identify outperformers. The success rate necessary for a portfolio to outperform decreases as the number of holdings increases. TOPICS:Portfolio theory, portfolio construction, statistical methods, simulations Key Findings • The expected gap between portfolio and market returns decreases with increased holdings. • The “success rate” necessary for a portfolio to outperform decreases as the number of holdings increases. • There is a highly significant positive relationship between the number of holdings and net excess returns.

Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and Generation

Securities and Exchange Commission (SEC) 13f filing data offer valuable insight into top asset managers’ holdings at each quarterly filing point. Using these data, several quantitative statistical models were designed and back tested, both for portfolio optimization and generation. All models for portfolio optimization outperformed a traditional market cap weighting strategy in terms of Sharpe ratio but did not outperform traditional market cap weighting in returns. Portfolio generation models yielded mixed results: Some failed to break even, whereas others outperformed the S&amp;P 500 by a large margin. The most successful generation model, firm-specific overweighted investment extraction with market cap balancing, consistently generated more than 85% in returns over the five-year backtested period, even surpassing 95% for various numbers of holdings; in comparison, the S&amp;P 500 yielded approximately 72% over the same period. Overall, these results indicate that SEC 13f data can be used to construct quantitative models for long-term equity investing that achieve noteworthy performance. <b>TOPICS:</b>Statistical methods, simulations, big data/machine learning <b>Key Findings</b> • SEC 13f data can be used to construct quantitative models that generate equity portfolios of various sizes that outperform the S&amp;P 500 in historical backtesting. • The most successful 13f portfolio generation models rely upon identifying equities in each examined asset manager’s portfolio that are overweighted relative to a benchmark weighting approach. • SEC 13f data can be used to optimize holdings in an existing portfolio; all proposed portfolio optimizers outperform traditional market cap weighting in terms of Sharpe ratio in historical backtesting.

Does the number of holdings in a risk parity portfolio matter?

This empirical study is an endeavor to assess the impact of the number of securities in a risk parity portfolio on its performance. The study focuses on performance analysis of fifty, seventy-five and hundred stocks risk parity portfolio for emerging markets—India and China—and the developed market—the USA. Alpha of the risk parity portfolio has shown sensitivity to the change in the size as a number of holdings of the portfolio. The findings of this empirical study reveal that seventy-five stocks risk parity portfolio is in a sweet-spot for the full sample time period from Dec 2002 to Dec 2014. It not only generates statistically significant superior alpha, but also achieves a similar level of risk diversification as to fifty and hundred stocks portfolio. Testing of sub-periods of the full sample time period, which is coinciding with interest rate cycle, suggests that during the crucial period of financial crisis of 2008, seventy-five stocks portfolio shows the superior performance of alpha, Sharpe ratio and Treynor ratio over fifty stocks and hundred stocks portfolio with a similar level of risk diversification. However, the possibility of superior risk parity portfolio with a marginally higher or lower number than seventy-five stock portfolio cannot be denied.

Practical Applications of Portfolio Optimization Strategy for Concentrated Portfolios: Models and Time Horizons

<h3>Practical Applications Summary</h3> In <b>Portfolio Optimization Strategy for Concentrated Portfolios: <i>Models and Time Horizons</i></b>, from the Fall 2018 issue of <b><i>The Journal of Wealth Management</i></b>, authors <b>Sarah Campbell</b>, <b>James Chong</b>, <b>William Jennings</b>, and <b>G. Michael Phillips</b> (all of <b>MacroRisk Analytics</b>) examine the relative merits of portfolio-construction approaches for concentrated, or high-conviction, (i.e., 15 or fewer holdings) portfolios. The authors’ study in part stems from the debate over the efficacy of an optimization approach to portfolio construction compared with an equally weighted (or “naïve”) approach. The authors’ intention is to help guide wealth managers in choosing a portfolio-optimization method best suited to their investment priorities (e.g., maximizing returns, minimizing risk, balancing risk and returns). The authors apply a Monte Carlo simulation to generate 18,000 buylists of stocks. From each buylist, the simulation derives an optimized portfolio and two equally weighted portfolios: one of stocks selected through optimization (a “hybrid” portfolio) and the other of randomly selected stocks (a “benchmark” portfolio). The study calculates each portfolio’s forward average yearly returns, annual standard deviations, and forward risk–return ratios for several different time frames, and then compares relative performance. The authors emphasize the importance of choosing the suitable portfolio-construction approach: one aligned with the number of holdings in a portfolio and investment horizon or one that best performs under the distinct circumstances faced by the wealth manager. <b>TOPICS:</b>Portfolio construction, analysis of individual factors/risk premia, tail risks, performance measurement

Synthetic Peer Benchmarking for Diversified PrivateEquity Programs

Private equity is … private. This means that it can be challenging to monitor, examine, and benchmark the performance of private equity investments. As pension plans, insurers, and endowments are making private equity a larger part of their portfolios, it is becoming more important to respond to this challenge. Various methods exist to value and benchmark the performance of a single private equity fund. These include the popular public market equivalent method and peer benchmarking that compares the performance of a private equity investment with the broad private equity industry. Most institutional investors, however, have a collection of private equity investments (a diversified program); and techniques that analyze and compare the performance of a diversified program have not been readily available. Hence, investors in diversified programs are in the dark about their performance relative to the broader industry. This study has developed a simulation technique to peer benchmark diversified private equity programs, using a large universe of underlying funds. The method considers a program’s exact composition and number of holdings. It overcomes three key challenges that have prevented peer benchmarking of diversified programs until now: a lack of comparable data, a misleading practice of averaging underlying performances of individual funds, and no visibility on the drivers of out- (or under-) performance.

PCDDB: new developments at the Protein Circular Dichroism Data Bank.

The Protein Circular Dichroism Data Bank (PCDDB) has been in operation for more than 5 years as a public repository for archiving circular dichroism spectroscopic data and associated bioinformatics and experimental metadata. Since its inception, many improvements and new developments have been made in data display, searching algorithms, data formats, data content, auxillary information, and validation techniques, as well as, of course, an increase in the number of holdings. It provides a site (http://pcddb.cryst.bbk.ac.uk) for authors to deposit experimental data as well as detailed information on methods and calculations associated with published work. It also includes links for each entry to bioinformatics databases. The data are freely available to accessors either as single files or as complete data bank downloads. The PCDDB has found broad usage by the structural biology, bioinformatics, analytical and pharmaceutical communities, and has formed the basis for new software and methods developments.

Modified IR As a Predictor of Fund Performance

One of the most crucial decisions for investors and plan sponsors is the selection of funds among the thousands of available alternatives. We stress that an investor first needs to specify a target alpha, i.e., the expected fund return in excess of a benchmark, and that the target alpha determines the types of funds that are most likely to fulfill that objective. We propose a modified Information Ratio (IR), i.e., the average past alpha above both the benchmark and the target alpha, scaled by tracking error, as a screening tool for future fund performance. We find that the Modified IR is a better predictor of future fund performance than many of the other predictors in the literature, including past performance (alpha) of the fund, the fund's past tracking error, active share, the fund's intercept in regressing its return on the Fama-French factors, and that regression's R2. Consistent with intuition, we find that as the target alpha increases, "winner" funds, i.e., those in the top quintile during the past 36 months according to the Modified IR and which were also able to achieve the target alpha, have higher tracking error, fewer stock holdings on average, higher expense ratio, higher active share, higher turnover ratio, and are smaller in terms of Total Net Assets (TNA). However, we also find that the actual average annual return on "winner" funds in the year after fund selection does not increase with target alpha, and that the higher the target alpha selected by the investor the lower the likelihood of actually attaining it. Finally, for any given target alpha, past "winner" funds that were able to achieve the target alpha in the prior 36 months vary considerably in the number of positions that they have in their portfolio. However, we find that past "winner" funds with a larger number of holdings are more likely to have better future performance than those that are more concentrated and have higher active share. These results point to the advantages of performance consistency that is more likely to be achieved through diversified portfolios.

Analysis of Agricultural Holdings of the Visegrad Four in the Post-Accession Period

Abstract Visegrad Cooperation is the regional organization of four states known as the Visegrad Group or the Visegrad Four (the Czech Republic, Poland, Hungary, and Slovakia). The purpose of cooperation is joint representation of economic, diplomatic and political interests of these Central and Eastern European countries and coordination of their possible measures. In the framework of this study, the major trends regarding the average area and farm number of agricultural holdings in the Visegrad Group are examined and evaluated. We attempted to elucidate structural differences between the farm structures of these countries, their different and unusual development and its reasons. Despite these differences, we have uncovered a number of identical trends and joint points as well. The average farm size in Slovakia and the Czech Republic was 28 or 135 hectares in 2007, while in 2010, this figure changed to 75 or 152 hectares in the circle of the observed agricultural holdings. For both countries, therefore, a significant increase in farm size was observed in the period under survey. While in Hungary the average size of 6 hectares in 2007 increased to 8 hectares in three years, then in Poland, the average farm was 12 or 10 hectares in size in the years under survey. In the circle of these countries, therefore, only a slight shift, mainly stagnation was observed, albeit on different bases: while the number of holdings under survey increased in Poland, it decreased in Hungary (similarly to Slovakia and the Czech Republic). Investigating the details regarding farm structure in these countries, it can be stated that most holdings carried out their activities on an area of under 20 hectares, in respect of distribution of agricultural land in the countries of the Visegrad Four. However, the survey results also revealed that in the vast majority of cases, the number of farms decreased, but there was an increase in their average size, that is, the process of concentration that has been experienced in the Western part of the European Union for the last two decades can be observed in these four countries as well.

“New Farmers” a Crucial Parameter for the Greek Primary Sector: Assessments and Perceptions

The steady decline in the number of holdings and farmers in the EU has led to a distressing shortage of new farmers. Today, the European Union is consequently faced with a dual problem: the scarcity of new and consequently young farmers and the rapid ageing of the farmer population. Young farmers can bring new skills and energy, and a more professional management to the farming sector. Against the context of an ageing agricultural labour force, the future of the farmers’ profession must be ensured. Thus, European Unions’ Common Agricultural Policy pays particular attention to the decline in young farmers, having established different policy measures and motives for new entrants in agriculture. Support to the setting up of young farmers includes support to facilitate the initial establishment and the structural adjustment of their holding afterwards. This paper attempts to identify Greek new farmers’ perceptions about their participation in this policy measurement. For this reason a questionnaire was developed and distributed among young farmers participating in the measure 112 ‘Setting up of young farmers’ (Common Agricultural Policy, Pillar II), in order to explore their expectations, perceptions and their daily practices in the field. The survey took place in different regions in Greece during an educational course series designed for new farmers. In total 254 new farmers answered questions concerning economic, environmental and cultivation practices.

Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World

Abstract Using unique data on mutual fund portfolios with different investment scopes, we study the extent of international diversification. Mutual funds invest in a surprisingly limited number of stocks—about 100. The number of holdings from a given region declines as the investment scope broadens. Moreover, unexploited gains exist from international diversification. Funds that invest globally could achieve better risk-adjusted returns by adding stocks held by more specialized funds within the same family. These findings are not driven by different sectoral allocations, lack of information or instruments, transaction costs, or different tail risks. Instead, organizational factors might play an important role.