Αξιολόγηση της αποτελεσματικότητας εναλλακτικών στρατηγικών διαμόρφωσης και διαχείρισης χαρτοφυλακίων
An appraisal of the effectiveness of various strategies of portfolio formation and portfolio management
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Keywords
Χρηματοπιστωτικές αγορές ; Διαχείριση χαρτοφυλακίου ; Ανάλυση επενδύσεων ; Επενδυτικό σχέδιοAbstract
The evaluation of the effectiveness of various portfolio formation and management strategies was conducted in two steps. The first step refers to the comparison of passive and active management strategies to the market index and the second step to the comparison between all the strategies. The results suggest that the strategies Buy and Hold, Buy Losers, Fundamentals, high Dividend Yield low Price to Book value and low Price to Earnings outperformed and showed higher yield relative to the index, through different market conditions. Furthermore significant performance was shown by the strategies of Relative Strength Index (RSI), Bollinger Bands and the calendar strategy End of Month, unlike the strategies of Simple Moving Average (SMA), technical Convergence Divergence indicator (MACD) and the calendar strategy End of Week.
As a result of the comparison between the strategies, was shown that the strategies Buy Losers and low Price to Book value were the ones with the highest yields and performance in cases of large-cap or high systemic risk portfolios. Also strategies Fundamentals and Buy and Hold showed the highest yields in cases of small capitalization or low systemic risk portfolios, especially in cases of Bull markets. Finally Dividend Yield strategy showed in general good behavior through different market and portfolio conditions.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
146Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές