Portfolio Holders Research Articles

Kinerja Portofolio Investasi Saham Dengan Standar Deviasi Untuk Mengukur Volatilitas Pasar Ekuitas Pada Pasar Modal Indonesia

The Indonesian capital market is a dynamic and challenging area for investment stakeholders, especially stock portfolio holders. This objective is to measure and analyze the performance of stock investment portfolios using standard deviation as a key indicator to measure equity market volatility in the Indonesian capital market. The writing method used is a descriptive method using standard deviation. The result of the standard deviation shows that the higher the investment risk between risk and return to compensate the return corresponding to the greater level of risk taken, but also increases the potential loss. The performance of the stock investment portfolio in 2022 can be said to be good. This can be seen from the growth in portfolio value that continues to increase from month to month. The portfolio's average return on investment (IRR) is 8%.

The paradox of closing mutual funds to new investors.

I provide an explanation for the well-established paradox that mutual funds that close to new investors fail to maintain their pre-closure positive abnormal performance after closing. Using a large sample of active US equity mutual funds, I find that the within-style performance ranks of closed funds revert to the mean as strongly as those of a control group of open funds. Furthermore, I show that funds that are closed do not drastically alter their investment allocations and hold portfolios that are indistinguishable from their portfolios prior to closing in terms of risk-adjusted performance. Therefore, mean reverting stock returns explain the deterioration in fund performance after closing to new investors. I also document that funds are not capable of better preserving their assets when anticipating a decline in performance by closing to new investors and thus adding exclusivity. Furthermore, the control group of open funds does not suffer from excessive flows. Closing to new investors is at best unnecessary from the stand-alone perspective of the fund.

A real estate life cycle meta-instrument assessing and enabling sustainable decision-making and management for real estate owners and stakeholders

There is a need for real estate lifecycle instruments to address the new regulations. So far, no instrument includes all sustainability dimensions in all phases of real estate, due to the heterogeneity of the underlying data. In addition, the leverage of the digital transformation in the sustainability transition is yet to be addressed. The aim of this study is how a meta-instrument should be structured to overcome the existing contradictory challenges in sustainability and to enable sustainable decision-making and management for real estate owners. This study examines this question by applying the following methodological approach: 61 literature studies were re-viewed, and concepts and systems were examined, which contain partial solutions at individual levels, be it for sustainability assessment, for the monetarization of sustainability aspects or for the maturity of technical systems. These instruments have their shortcomings as they only map individual aspects, but do not offer a comprehensive life cycle management solution for portfolio holders. Within the framework of this study, a new concept for a tool was developed, allowing to combine the various levels of real estate life cycle, sustainability, and digitalisation in a single holistic model. This multidimensional model was optimised using experts’ opinions collected in 2 workshops. The first results reveal the applicability of the developed instrument but remains difficult to manage by potential users. The novelty of the approach comes from considering the entire life cycle, technical and management processes enabled by digitalisation.

Australia's political engagement on health and climate change: the MJA-Lancet Countdown indicator and implications for the future.

Australia's political engagement on health and climate change: the MJA-Lancet Countdown indicator and implications for the future.

Spillovers on sectoral sukuk returns: evidence from country level analysis

ABSTRACT Even though numerous studies have looked at the spillover effects in Shari’ah compliant equity returns, little attention has been paid to exploring global shocks’ transmission to the sukuk (Islamic Bond) returns. Our paper attempts to fill this void by quantifying spillovers from developed countries on the sukuk returns of Islamic countries. In this paper, we create sukuk indices for financial and non-financial companies on country basis and, examine the global linkages with those sukuk indices. We have found that global sukuk markets affect the sukuk indices at different levels. A clear distinction would be that global sukuk markets have a substantial impact on the spillovers of the sukuk issued by financial corporations, while sukuk issued by non-financial corporations are more affected by the overall spillover effect the sukuk markets than spillovers from the global Islamic bond markets. Sub-sample analysis during the COVID-19 pandemic yield interesting findings, show that spillover of returns on the sukuk issued by financial corporations during the COVID-19 pandemic was higher than the sukuk issued by non-financial corporations. These findings are mostly consistent for all markets included in our sample and evidently, urge portfolio holders to make clear distinctions between sukuk issued by financial and non-financial corporations.

Bio-evaluation studies of phytoconstituents- A review of the patents granted and filed by CSIR

Botanicals have become a very important part of our life and are increasingly used as a primary source of actives in pharmaceuticals, cosmetics, nutraceuticals and personal care products. Extensive studies have been conducted on botanicals to understand their chemical profile and most of them have a history of safe use. Technical advances to isolate the bioactives, determine their molecular structure as well as their mechanism of action has generated considerable data and are available in the form of scientific publications as well as filing of patents. In this review, we aim to present the information pertaining to therapeutic applications of bioactives from different medicinal plants as disclosed in filed and granted patents to one of the largest publicly funded organizations in India namely Council of Scientific and Industrial Research (CSIR). The review also presents an assignee focused analysis and provides insights into the level of patent filing activity in the area of bioactives and the therapeutic applications by CSIR, India. Such information can provide a valuable tool for exploiting a firm’s portfolio of patent holdings to assist decision-makers to identify the most valuable patents; product area or business opportunities among its own patent holdings.

Empirical Analysis of Rational Expectation and Permanent Income Hypothesis in Lagos State, Nigeria

This study empirically analyses the rational expectation and permanent income hypothesis (PIH) in Lagos State, Nigeria using the ordinary least square method to estimate the long-run relationship and parsimonious error correction model to estimate short-run impacts. Our findings show that permanent income influences permanent monthly consumption in the short and long run but permanent monthly income does not impact temporary monthly consumption both in the short and long run. Financial regulation may be necessary to prevent a significant fall in the value of the portfolio of asset holdings by Lagos residents.

Does Volatility Harvesting Really Work?

A large number of academic papers claim that there is a consistent advantage to rebalancing an investment portfolio relative to a simple Buy&Hold strategy, while other academic papers claim the opposite. The papers on both sides are typically based on unclear mathematical arguments with only few real-world examples. This paper does not try to give a mathematical explanation but is entirely empirical. We use daily stock-returns for more than 900 U.S. stocks between the years 2007 and 2021, where we generate thousands of random portfolios of different sizes and start/end-dates, to compare the Rebalanced and Buy&Hold strategies on different performance metrics. Although the Rebalanced portfolios may seem to perform better than the Buy&Hold portfolios in terms of e.g. the arithmetic mean daily return, it actually depends on which period we consider. We also make preliminary experiments with intraday data, where it does appear that Rebalancing is consistently better than Buy&Hold, although these data-sets are so small that we cannot conclude this advantage holds in general.

18 years old: choose wisely! Provision of information about changing health insurance status

From the age of 18, dental care is no longer covered by basic healthcare insurance [in the Netherlands]. Individuals can voluntarily take out additional insurance however. The aim of this study was to map out what information those nearly 18 years old receive about the changes in coverage of dental care (Part A) and what their preferences were concerning information on this topic (Part B). Part A consisted of desk research on the websites of 4 health insurers and government agencies, complemented with interviews with portfolio holders. Part B consisted of a questionnaire survey among 18-year-old secondary school pupils training for university and vocational students (n = 106).The websites of health insurers and government agencies contained some information, 2 health insurers sent information by post about dental insurance and 1 also got in touch by phone. The level of knowledge about the insurance system among 18-year-olds was low, information often did not seem to have been received and they did not look for information themselves. Secondary school pupils training for university preferred to receive written information, vocational students preferred to receive it orally. Conclusion: Information about the changing health insurance status is available but does not reach those nearly 18 years old effectively. Cooperation and clarity on the responsibilities regarding the provision of information is recommended.

Corporate Succession Practices and the Impact on Portfolio Returns

Recent years have seen a rapid acceleration in the adoption of stakeholder value creation as a core tenet of sound business practice. We examine the impact of a firm's succession practices on a typical financial stakeholder: one who holds a company's stock as part of a diversified investment portfolio. We find that mainly due to intellectual capital losses at firms supplying talent, external executive hiring decisions expected to maximize the hiring firm's value can reduce shareholders' portfolio value. We use the literature, direct calculation, empirical analysis, and an economic model to quantify costs imposed on those who own shares of firms within the context of a larger portfolio. Assuming managers' value-maximizing assignment to jobs, the estimated cost for the S&P 1500, a representative portfolio, is conservatively 0.98 percentage points per year of portfolio returns. Our research motivates portfolio holders to increase their focus on firms' succession practices.

Linear Programming and Its Application Techniques in Optimizing Portfolio Selection of a Firm

Optimization techniques have been used in this paper to obtain an optimal investment in a selected portfolio that gives maximum returns with minimal inputs based on the secondary data supplied by a particular firm that is examined. Sensitivity analysis is done to ascertain the robustness of the resulting model towards the changes in input parameters to determine a redundant constraint using linear programming. The challenge of determining the available funds and allocating each component of the portfolio to maximize returns and minimize inputs by portfolio holders and managers who are the major decision-makers in allocating their resources cannot be quantified. This optimization technique is used to obtain an optimal investment portfolio including financial risks of a firm with disposable of $15,000,000.00 invested in crude oil, mortgage securities, cash crop, certificate of deposit, fixed deposit, treasury bills, and construction loans. The model is a single-objective model that maximizes the return on the portfolio as the interests on the original data reduces by 5%; then, the return on investments also reduced by almost 15%, with the quantum of money on treasury bills and construction loans posing a significant reduction for the maximum return. The investment in the other options saw a slight decrease. Also, as the interest rates of the original data increase by 5%, the return on investments also grows by almost 17% while the quantum of money on the treasury bills and construction loans increases, and the quantum of money on the other options experienced a decrease except for mortgage securities which recorded a slight increase.

New Portfolio-Rating-System based on LEVEL(S)

In Switzerland, there are currently no instruments for the holistic and easily applicable assessment of the sustainability of existing buildings, which can also be applied to larger real estate portfolios and which are structurally based on Swiss or European sustainability standards. The instrument, developed as part of a ZHAW R&D project for the City of Zurich, Public Real Estate Management, is based on the already existing LEVEL(S) criteria structure. As distinguished from LEVEL(S), it can be applied to all types of buildings, including mixed buildings, and also scalable to larger portfolios of cities, banks, insurances or real estate investment funds.LEVEL(S) is a voluntary reporting framework to improve the sustainability of buildings. Using existing standards, LEVEL(S) provides a common EU approach to the assessment of environmental performance in the built environment. In the current Version LEVEL(S) is suitable for new office and residential buildings and existing buildings at the time of a major refurbishment.The paper shows, how the rating structures of Agenda2030/SDG’s/GAPFRAME, ESCI City Rating System, DGNB and LEVEL(S) can be combined into a holistic evaluation system. If required, the developed portfolio analysis instrument can be coupled - with a more detailed building analysis as an intermediate step - directly with a DGNB renovation certification. It will show how sustaining property owners can be supported in this holistic way. Finally, the first findings from the practical application are explained. It will be shown how it is possible to support sustainably acting portfolio holders in this holistic way.

The Promises and Pitfalls of Robo-Advising

We study the introduction of a wealth-management robo-adviser that constructs portfolios tailored to investors’ holdings and preferences. Adopters are similar to non-adopters in terms of demographics and prior interactions with human advisers but tend to be more active and have greater assets under management. Investors adopting robo-advising experience diversification benefits. Ex ante undiversified investors increase stock holdings and hold portfolios with less volatility and better returns. Already well-diversified investors hold fewer stocks, yet see some reduction in volatility, and trade more after adoption. All investors increase attention based on online account logins. We find that adopters exhibit declines in prominent behavioral biases, including the disposition, trend chasing, and rank effect. Our results emphasize the promises and pitfalls of robo-advising tools, which are becoming ubiquitous all over the world.Received May 31, 2017; editorial decision August 21, 2018 by Editor Wei Jiang.

Determinants of Foreign Portfolio Flows in South Africa: Vector Error Correction Model (VECM) Analysis

Over the past 10 years, South Africa has been increasing its reliance on portfolio flows compared to foreign direct investments in order to finance productive investments annually. Emanating from weak savings by both government and households. Portfolio flows have shown a positive upward trend which is stable. However, portfolio assets are liquid and volatile in nature. Subject to reversal because majority of portfolio holders are speculators who stand to gain from the short term movement in financial indicators. Therefore the portfolio maintenance behavior of investors is important in South Africa due to in impact on macroeconomic indicators like exchange rate, interest rate and inflation. Should risks exist, investors do not hesitate to internationally diversify their portfolio. South Africa being a small emerging economy with much potential for growth, endowed with a sophisticated financial market, but with uncertainties associated with its political transition to a mature democracy makes it an attractive destiny for foreign portfolio flows. It is for this reason that the determinants and their effect on portfolio flows are investigated. The primary task of the study was to analyse the effect of interest rate differentials on foreign portfolio flows. Furthermore, extend the investigation to include other domestic factors (market capitalisation and inflation) and global factors (world output and US inflation) using annually data from 1960 to 2016 from International Financial Statistics (IFS) and South African Reserve Bank (SARB). A VECM was conducted to analyse the short and long relationship between the economic variables and foreign portfolio flows. VECM outcome indicated that investors tend to follow higher paying assets as they search for higher yield in South Africa. Investors continue to view inflation as a risk factor because it weakens the spending power of individuals, affects asset prices, and thus generates portfolio outflows, resulting exchange rate depreciation. A well-managed economy and sustainable growth enhancing policies will attract initially short term foreign capital flows to the South African shores that will be followed by long term investment flows.

Engaging clinical leadership with a passport to excellence in national standard 3

Introduction: Whilst infection prevention (IP) teams remain the leaders in national standard 3 (NS3) of the National Safety and Quality in Health Service standards, it is equally essential that there are engaged leaders within clinical areas through portfolio holders. The aim was to develop a framework to support the development of clinicians holding the NS3 portfolios. The passport provides a structured framework, whilst broadening knowledge, expertise and competence of IP principles within the clinical environment.

Rebalancing versus buy and hold: theory, simulation and empirical analysis

We consider returns from rebalanced and buy and hold portfolios consisting of the same stocks. Theoretical properties are derived using Jensen’s inequality and the Holder’s Defect Formula. Simulations are used to confirm theory and to investigate ambiguous cases where theory is silent. Rebalancing decreases total return volatility, while buy and hold produces greater expected return. Results are more opaque with respect to Sharpe Ratios and expected geometric means. Our empirical tests are based on portfolios composed of the risk-free asset, CRSP market value returns and returns from five Fama–French industries. While rebalancing reduces volatility and momentum effect, our tests largely favor the buy and hold strategy due to the high relative returns enjoyed by stocks vis-a-vis the risk-free asset. Transactions cost for rebalancing the portfolio are economically negligible.

Assessing distributed leadership for learning and teaching quality: a multi-institutional study

ABSTRACTDistributed leadership has been explored internationally as a leadership model that will promote and advance excellence in learning and teaching in higher education. This paper presents an assessment of how effectively distributed leadership was enabled at five Australian institutions implementing a collaborative teaching quality development scheme called the Peer Assisted Teaching Scheme. The Scheme brings together expertise from teams of academics, coordinators, and institutional learning and teaching portfolio holders to the shared goal of enhancing learning and teaching quality. A distributed leadership benchmarking tool was used to assess the Scheme’s effectiveness, and we found that (i) the Scheme is highly consistent with the distributed leadership benchmarks, and that (ii) the benchmarking tool is easily used in assessing the alignment (or otherwise) of teaching and learning quality initiatives with distributed leadership benchmarks. This paper will be of interest to those seeking to assess implementations of distributed leadership to improve teaching quality and leadership capacity.

Gold as a Tool for Hedging Financial Risks

The article discusses gold as a protective asset, which claims to be a high-efficiency tool for hedging financial risks. In the introductory part the general characteristics of hedging as a method of full or partial risk elimination is given, and the main known types of risk hedging typical for a financial asset portfolio holder are considered. Further, dynamics of the world prices for gold is analyzed in a historical retrospective, whereby the conclusion is drawn on a tendency of this asset to grow during the periods of financial instability, and also if new financial assets appear. In the final part of the article the assessment of gold as a tool for hedging financial risks is given.

Characterization of gas and oil portfolios of exploration and production assets using a methodology that integrates value, risk and time

Asset portfolio modelling and optimization are critical activities for upstream (exploration and production) gas and oil companies in order for decision makers to establish the combined value of their assets and to select assets for further development, divestment and/or acquisition. However, it is an activity that is typically not conducted in a standardized and systematic way, with many companies relying on simple deterministic discounted cash flow asset-value-roll-up analysis, but missing vital insight to the subtle, but significant characteristics of their portfolios. A more systematic, multi-stage stochastic methodology is proposed to reveal detailed characterization of gas and oil asset portfolios in terms of value, risk and timing. The non-linear nature of risk is taken into account in an approach to risk analysis that begins at the asset level and progresses through to the pre-corporate rolled-up asset portfolio to post-tax portfolio factoring in the corporate financial dimension. The proposed methodology emphasizes the importance of considering financial and non-financial metrics (i.e. production, reserves and timing) over each year of a planning horizon. In addition, those same metrics summed over all the years of a planning horizon, expressed in terms of risked value and downside risk of the portfolio failing to achieve certain strategic targets identifies feasible envelopes for possible asset combinations. The downside risk measures apply important modifications to standard risk-variance analysis, introducing flexibility into the approach to suit diverse strategic objectives of potential portfolio holders. Further analysis of those risk versus risked value feasible envelopes reveals the efficient frontiers representing the asset combinations that achieve the highest value for specific levels of downside risk. Characterizing a portfolio of gas and oil assets with such a methodology helps to frame multi-objective optimization algorithms tailored to suit the unique characteristics of each asset portfolio. Excel spreadsheets driven by visual basic for applications (VBA) macros offer the advantages of flexibility, transparency and customization to characterize asset portfolios with the methodology proposed. A small portfolio involving eleven exploration, appraisal, development and production gas and oil assets (Portfolio X) is presented to illustrate the benefits of the proposed approach to gas and oil asset portfolio characterization. The diversity in character of conventional and unconventional upstream gas assets makes a portfolio approach to their understanding extremely worthwhile.

Limits to mutual funds' ability to rely on mean/variance optimization

Our evidence suggests that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The results suggest that funds tend to outperform the optimized portfolio out-of-sample (when means/variances/covariances are unknown), but under-perform in-sample (when the required statistics in the optimization are known). Therefore, a popular assumption in asset pricing models that investors rely on a basic mean/variance analysis with known underlying statistics is likely to be grossly violated in the case of mutual funds.