научная статья по теме PORTFOLIO INVESTMENT MANAGEMENT BASED ON DOUBLE DIVERSIFICATION Экономика и экономические науки


Portfolio investment management based on double diversification

A.I. Skopinskii,

Bachelor of International Economic Relations, Bachelor of Finance and investment Management, student, Financial university under the Government of the Russian Federation, Northumbria University (125993, Россия, г. Москва, ГСП-3, Ленинградский проспект, 49; e-mail: Financial.king@yandex.ru)

Аннотация. Создание оптимального инвестиционного портфеля это один из наиболее важных вопросов, встающих перед профессиональными инвесторами. Базовые принципы диверсификации были заложены в 1952 г. Гарри Марковицем. Выбор наиболее эффективного инвестиционного портфеля предоставляет собой анализ различных возможных портфелей ценных бумаг через использование корреляции, чтобы выбрать наиболее хорошо диверсифицированный. Первопроходцы диверсификации отмечали, что его модель позволяет снизить риск портфеля. Некоторые авторы, например, Литнер [4] и Шарп [6] ими разработаны предложенные идеи Гарри Марковица [2] и обеспечили новый виток использования диагональной модели и линии рынка капитала. Глобальные финансовые рынки становятся все более интегрированными. В более интегрированном в мировой рынок капитала, понимание влияния инвестиционных ограничений на льготы и портфельное распределение международной диверсификации имеет решающее значение для финансовых инвесторов. Временной анализ показывает, что диверсификация портфелей на международном и секторальном уровне полезно. В работе исследуются распределение активов, базирующееся на международной и секторальной диверсификации для инвесторов с применением методов различных методов управления и более того противоречивых теорий, применяемых для портфелем путем управления портфелем в режиме реального времени, используя Bloomberg Terminal.

Abstract. Creation of optimal portfolio is one of the main questions staying in front of professional investors. The base of diversification was provided in 1952 by Harry Markowitz in his portfolio selection theory. The selection of the most efficient investment portfolio by providing analysis of various possible portfolios of given securities through using correlation to choose well-diversified securities, which movements are opposite each other. The pioneer of diversification stand for the point that his, model allows reducing portfolio risk. Several authors, e.g. Lintner [4] and Sharpe[6], developed the proposed ideas of Harry Markowitz [2] and provide usage of the Diagonal Model and the Capital Market Line. The global financial markets becoming more integrated. In increasingly integrated global capital market, understanding the impact of investment constraints on the benefits and portfolio allocation of international diversification is crucial for financial investors. The over-time analysis shows that diversifying portfolios internationally is still beneficial even through financial markets. This paper investigates the benefits and asset allocation of the optimal international and sector diversification for the investors with applying different contradictory theories methods applied for the portfolio management through real-time portfolio management using Bloomberg Terminal.

Ключевые слова: управление портфелем, двойная диверсификация, финансы и управление инвестициями.

Keywords: portfolio management, double diversification, finance and investment management.

1. Introduction.

Since 70-s a large number of empirical research papers provide studies about profitability of international portfolio diversification. During the time when globalization and international investing started to become important understanding and quantifying the co-movements between equity markets has attracted considerable attention because it determines profitability changes of international diversification. Recent empirical results evidence on time variation in cross-country correlation basically has mixed results. Return correlation upward trend among the investment area of European stock markets was found and pointed by Bekaert, Hodrick, Zhang [21], however Baele and Inghelbrecht [28], You and Daigler [30] and Christoffersen, Errunza, Jacobs, and Langlois [33] argued with that and stand for the correlations have increased markedly in a large number of markets. Moreover, the also add that international diversification benefits have reduction affect over time period. Group of researches based their investment research on using capital asset pricing model (CAPM) to get an application in portfolio risk management, fund perfomance measurement, security valuation and etc. this model was developed by y Sharpe [6], Lintner [4], and Mossin [7].

This line of research is significant for investors because of it gives them the opportunity to find a solution of the classical allocation problem with forward-looking correlation forecasts obtained from dynamic correlation models. My research basically demonstrates real 10 weeks management of investment portfolio process in Bloomberg Terminal. The main idea is that international diversification is profitable and all of different and even contradictory each other theories methods could be applied. Additionally, my results suggests that taking into account all fundamental, technical and sentimental analysis correctly applying them during your portfolio management time horizon could also be profitable.

The reminder of the paper is organised as follow. In Section 2 the methodology employed to construct and evaluate the proposed international diversification and portfolio management is described. Section 3 provides the database employed. Section 4 presents the process of the 10-week portfolio management and the empirical results. Finally, section 5 describes the main conclusion.

2. Methodology

This section covers and describes research paper models. Firstly, used fundamental analysis presented. Secondly, description of the methodology for the construction of the international diversifi-

cation portfolios provided. Thirdly, the employed to evaluate the performance of the strategy criterion analysed.

2.1. Fundamental analysis

Fundamental analysis involves analysis of financial statements and health its management and competitive advantages, and its competitors and markets. When the objective of the analysis basically aimed at determination of what stock to buy and at what price, there are two main methodologies:

Maintains of markets by fundamental analysis may misprice a security in the short run but the correct price will be reached.

Technical analysis, which is maintains that all information is reflected already in stock price.

Basically the choice of stock analysis is determined by the investor's belief based on the efficient-market hypothesis (EMH), random walk hypothesis, capital asset pricing model and etc., but as it was mentioned before, in this research supposed that the main idea is to get a profit by using everything to help us to reach a goal. Fundamental analysis based on:

1. Economic analysis;

2. Industry analysis;

3. Company analysis;

According to technical analysis, the following types were used during research:

Simple moving average (SMA) is the un-weight mean of the previous n data. The following formula was used:

SMAt = SMAt - 1 - — + —;

n n

Where SMAt - Simple Moving Average at t-point, SMAt-1 - previous value of the simple moving average, Pt-n - the value of the original function at the point) [9].

Moving average convergence/divergence (MACD), is a trading indicator used in technical analysis of stock prices, created by Gerald Appel in the late 1970s [18]. The following formulas were used:

MACD = [stockPrices,13]EMA -[stockPrices,21]EMA;

Signal = [MACD,8]EMA;

Divergence = MACD - signal. [18].

Ichimoku clouds s a technical analysis method that builds on candlestick charting to improve the accuracy of forecast price moves. The following formulas were used:

Tenkan-sen line calculated using formula Tenkant =(maxie[t-t s ,t] (high i )+min ie[t-t s ,t] (low i))/2 (High i - maximum price of I-period; Lowi - minimum price of i-perioud);

Kijun-sen line calculated formula Kijun t =(maxie[t-t m ,t] (high i)+min ie[t-t m ,t] (low i))/2;

Senkou A line calculated using formula Senkou At =(Tenkan t-t m +Kijun t-t m)/2;

Senkou B line calculated using formula Senkou B t =max iE[t-t m -t l ,t-t m ] (high i )+min iE[t-t m -t l ,t-t m ] (low i )/2;

Chikou line calculated using formula Chikou = close t+t m (close t+t m - Close price at t+tm time period).

The Elliott wave principle is a form of technical analysis that some traders use to analyse financial market cycles and forecast market trends by identifying extremes in investor psychology, highs and lows in prices, and other collective factors created by Ralph Nelson Elliott (1871-1948). This

model stand for the fact, that market price has impulsive and corrective phases on all time scales of trend. Impulses are divided into a 5 lower-degree waves set. Corrective waves are divided into 3 smaller-degree waves starting with a five-wave counter trend impulse, a retrace, and another impulse.

2.2. Performance evaluation

Sharp ratio was used. It is defined as the sample mean of out-of-sample excess returns over the risk-free asset, divided by their sample standard deviation: [4] [6].


Expected returns for the portfolio were calculated using CAPM model: E(rm)=rf+p*(rm-rf). [4] [6]. (Beta was got by using formula: 1) Beta = COVAR /VAR, than to get an advantage if gauging the reliability of Beta through: R-Squared = RSQ.)

Risk measure was done by applying following methods to the portfolio: Jensen's measure [10], Treynor's measure [5], Sharpe's measure [6].

Jensen's measure method using formula

Jensen's Measure = (Total Portfolio Return -Risk Free Rate) - (Portfolio Beta*(Market Return -Risk Free Rate)).

Secondly, Treynor's measure [5] to compare portfolio's return with Beta, using formula:

Treynor's Measure =

Total Portfolio Return-Risk Free Rate -,-, ,, , , ,

-. The res

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