Downside risk properties of foreign exchange and equity investment strategies

2012 ◽  
Vol 1 (2) ◽  
pp. 3-21
Author(s):  
Jacob Gyntelberg ◽  
Andreas Schrimpf
Keyword(s):  
Foreign Exchange ◽  
Downside Risk ◽  
Investment Strategies ◽  
Equity Investment

Asymmetry and downside risk in foreign exchange markets

2006 ◽  
Vol 12 (4) ◽  
pp. 313-332 ◽  
Author(s):  
Shaun A. Bond ◽  
Stephen E. Satchell
Keyword(s):  
Foreign Exchange ◽  
Downside Risk ◽  
Foreign Exchange Markets ◽  
Exchange Markets

scholarly journals Equity Investment Strategies: The Case of Croatia

2010 ◽  
Vol 23 (4) ◽  
pp. 63-77
Author(s):  
Tajana Barbič ◽  
Iva Čondic-Jurkič
Keyword(s):  
Investment Strategies ◽  
Equity Investment

scholarly journals Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

2019 ◽  
Vol 32 (59) ◽  
Author(s):  
Fredy Alexander Pulga Vivas ◽  
María Teresa Macías Joven
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Risk Measures ◽  
Downside Risk ◽  
Investment Strategies ◽  
Short Term ◽  
Past Performance ◽  
Investment Trusts ◽  
Bond Funds ◽  
Equity Funds

This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.

Very Long Term Equity Investment Strategies

2008 ◽  
Vol 17 (2) ◽  
pp. 15-23 ◽  
Author(s):  
Owain AP Gwilym ◽  
James Seaton ◽  
Stephen H Thomas
Keyword(s):  
Investment Strategies ◽  
Equity Investment

scholarly journals Venture Capital and Private Equity Investment Preferences in Selected Countries

e-Finanse ◽  
2015 ◽  
Vol 11 (3) ◽  
pp. 128-137
Author(s):  
Krzystof Dziekoński ◽  
Sławomir Ignatiuc
Keyword(s):  
Venture Capital ◽  
Capital Market ◽  
Private Equity ◽  
New Technology ◽  
Investment Strategies ◽  
Equity Investment ◽  
Equity Funds ◽  
Return On Capital ◽  
Private Equity Funds ◽  
Capital Access

Abstract Sources of capital to finance companies in the SME sector is one of the basic conditions for the functioning and development of enterprises, especially in the early phase of their development. Increasingly popular is the use of capital market instruments, Private Equity, Venture Capital, Business Angels or Mezzanine. Funding of this kind can finance risky investments in return for a higher expected rate of return on capital. Access to financial resources and the conditions under which entrepreneurs can use them can determine the introduction of new technology, new products and services, expand distribution channels, implement changes that may lead to the growth in competitiveness and above all, innovation, thus the growth of the company. The paper presents results of statistical analysis of the venture capital and private equity funds investment strategies in selected countries. As a result investment profiles are created.

Predicting Hedge Fund Failure: A Comparison of Risk Measures

2009 ◽  
Vol 45 (1) ◽  
pp. 199-222 ◽  
Author(s):  
Bing Liang ◽  
Hyuna Park
Keyword(s):  
Standard Deviation ◽  
Risk Measures ◽  
Explanatory Power ◽  
Hedge Fund ◽  
High Water ◽  
Downside Risk ◽  
Attrition Rate ◽  
Investment Strategies ◽  
Explanatory Variables ◽  
Annual Basis

AbstractThis paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for investment strategies, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with larger downside risk have a higher hazard rate. However, standard deviation loses the explanatory power once the other explanatory variables are included in the hazard model. Further, we find that liquidation does not necessarily mean failure in the hedge fund industry. By reexamining the attrition rate, we show that the real failure rate of 3.1% is lower than the attrition rate of 8.7% on an annual basis during the period of 1995–2004.

scholarly journals Volatility in Indian Stock Markets During COVID-19

2022 ◽  
Vol 9 (1) ◽  
pp. 1-16
Author(s):  
Khushboo Gupta ◽  
Seshanwita Das ◽  
Kanishka Gupta
Keyword(s):  
Special Reference ◽  
Stock Markets ◽  
Decision Process ◽  
Stock Exchange ◽  
Investment Decision ◽  
Time Frame ◽  
Investment Strategies ◽  
Equity Investment ◽  
Augmented Dickey Fuller ◽  
The Impact

The aim of the paper is to evaluate the impact of novel COVID-19 on the returns and volatility of Indian stock markets with special reference to equity investment strategies of Bombay Stock Exchange. For the purpose of evaluating the impact, the study has applied GARCH) The research has considered a time frame from March, 2015 to January, 2021. Prior to implementing GARCH model, pre-estimation tests i.e., Augmented Dickey-Fuller and ARCH-Lagrange Multiplier, were conducted. Outcomes clearly indicate that the returns during the crisis for all the strategy indices have been negative which means that the COVID-19 outbreak resulted in massive losses. Additionally, 'during crisis' period showed increase in volatility for all the strategy indices depicting that the pandemic has a long-lasting effect and will take time to fade off. This research will help the investors in the investment decision process by giving them insights about the different strategies.

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