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This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.

The objective of this study is to evaluate assets’ performance by considering the exit time within the risk measurement framework alongside Shannon entropy and, alternatively, excluding these factors, which can be used to create a portfolio aligned with short- or long-term objectives. This portfolio effectively balances the potential risks and returns, guiding investors to make decisions that are in line with their financial goals. To assess the performance, we used data envelopment analysis (DEA), whereby we utilized the risk measure as an input and the mean return as an output. The stop point probability–CVaR (SPP-CVaR) was the risk measurement used when considering the exit time. We calculated the SPP-CVaR by converting the risk-neutral density to the real-world density, calibrating the parameters, running simulations for price paths, setting the stop-profit points, determining the exit times, and calculating the SPP-CVaR for each stop-profit point. To account for negative data and to incorporate the exit time, we have proposed a model that integrates the mean return and SPP-CVaR, utilizing DEA. The resulting inefficiency scores of this model were compared with those of the mean-CVaR model, which calculates the risk across the entire time horizon and does not take the exit time and Shannon entropy into account. To accomplish this, an analysis was conducted on a portfolio that included a variety of stocks, cryptocurrencies, commodities, and precious metals. The empirical application demonstrated the enhancement of asset selection for both short-term and long-term investments through the combined use of Shannon entropy and the exit time.

The study addresses the growing popularity and need of green investing. Green investing have been shown to churn lesser yields and underperform general market portfolios. Rapid growth of green bonds, green funds and green theme indices worldwide indicate towards the growing segment within investment community. The ethical screens lead to crunching of investable universe as a result such funds are expected to lose on diversification benefits. The study attempts to investigate the performance of green and non-green portfolios during the crisis and validate the differential impact of crisis on their demand. It further examines the impact of market cycles on the returns of portfolios. The period is classified into pre-crisis, crisis and post-crisis period. Asset pricing models believed to explain the returns on well diversified market portfolio have been applied on constructed green and non-green portfolios to measure the abnormal return. Green portfolios are noticed to be picking pace and outperforming market after the crisis surpassed. Indian investors are not penalizing companies for their green initiatives and such initiatives are believed to drive demand for the stock.

Employing main and sector-specific investment-grade CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices to a traditional financial portfolio consisting of stock and sovereign bond indices. As a baseline result, we initially find an increase in portfolio (downside) risk-diversification when adding CDS indices, which is observed irrespective of both CDS markets, investor-types and different sub-periods, including the global financial crisis and European sovereign debt crisis. In addition, the analysis reveals higher portfolio excess returns and performance in CDS index portfolios, however, these effects clearly differ between markets, investor-types and sub-periods. Overall, portfolio benefits of adding CDS indices mainly result from the fact that institutional investors replace sovereign bond indices rather than stock indices by CDS indices due to better risk-return characteristics. Our baseline findings remain robust under a variety of robustness checks. Results from sensitivity analyses provide further important implications for institutional investors with a strategic focus on a long-term conservative portfolio management.

In this research we evaluate the performance of 73 Colombian stock mutual funds from 2005 to 2015. To quantify the value added by these funds compared to their respective benchmarks, Jensen’s alpha is calculated using two regression methodologies: Ordinary Least Squares (OLS) and Quantile Regression. We also analyze whether these funds show any evidence of market timing. We recommend the creation of a private firm in Colombia that would provide investors with accurate information about the features and historical performance of Colombian mutual funds, as Morningstar Inc. does in the USA. This would enable investors to choose the best fund options andmake the mutural fund market more efficient and appealing to new potential investors.

Interest rate sensitivity of USD-denominated emerging market sovereign debt over 1997-2017 is studied through comparative price dynamics of emerging market sovereign bonds versus US governmental securities. The proposed methodology derives important insights for practical strategies of managing interest rate risk in the banking book. We find that the direct positive interest rate sensitivity under normal economic conditions is interchanged with the inverted negative sensitivity during distressed crisis-affected market turbulences. Due to the time-varying behavior of interest rate sensitivity, the hedging of interest rate risk must be a dynamic process linked to phases of the business cycle.

En este trabajo se analiza el valor del nivel de las recomendaciones de consenso en el mercado de capitales español en el periodo 1994-2003, con datos procedentes de Factset-JCF Quant. Los resultados obtenidos muestran que los analistas identifican oportunidades de inversión rentables, dado que con una estrategia de inversión autofinanciada, consistente en comprar la cartera con recomendaciones más favorables y vender la cesta de activos con peores recomendaciones, se pueden obtener rentabilidades significativamente positivas incluso después de ajustar por riesgo. Parte de esta rentabilidad no es atribuible a su propia capacidad sino a la tendencia a recomendar la compra de activos grandes de valor y la venta de activos pequeños con momentum de precios negativo.

This chapter focuses on evaluating the overall portfolio performance, and the manager's asset allocation decisions. It emphasizes that the evaluation of portfolio performance must be based on specific, measurable criteria. Performance can be measured against an index or an investment universe. In selecting an index or indexes, the evaluator must be careful that the measure selected matches the desired characteristics of the fund to be evaluated. Even so, the evaluator must recognize that indexes do not reflect the transaction costs and fees, which are reflected in managed investment accounts. Given this problem, evaluators should also use investment universes as a means of comparison. These universes or grouping of funds with desired characteristics provide a better means of comparison. These benchmarks can be used to evaluate overall portfolio performance and/or their components. Regardless of the comparison method, performance should be evaluated on the basis of return and risk. As part of the evaluation process, the relative impacts on performance of security selection and asset allocation should also be examined.

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., portfolios with only few active positions), and allows accounting for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve evenly weighted portfolio.

Published in association with In 2017, Bret Eynon and Laura M. Gambino released High-Impact ePortfolio Practice, which drew broad acclaim from faculty and educational leaders. \"An instant classic,\" wrote one reviewer. \"The book I've been waiting for!\" exclaimed another. With compelling evidence of the impact of ePortfolio \"done well,\" and a practical framework for educators to follow, this research study quickly led to the formal recognition of ePortfolio as a validated High Impact Practice.Now, with Catalyst in Action: Case Studies of High-Impact ePortfolio Practice, Eynon and Gambino have taken the next step. The book offers 20 powerful case studies, drawn from campuses ranging from Bronx Community College to Yale University, from the University of South Carolina, to Dublin University and Arizona State. In High Impact ePortfolio Practice, Eynon and Gambino outlined the Catalyst Framework, spotlighting the strategies needed to launch, build and sustain a \"high-impact\" ePortfolio practice. Linking integrative social pedagogy to technology, assessment and professional development, the Catalyst Framework offers guiding principles and classroom-based ePortfolio practices that improve student success, deepen the student learning experience, and catalyze learning-centered institutional change. In Catalyst in Action, teams of faculty and college leaders detail their experiences exploring and testing the Framework on their campuses. Working with diverse groups of students in a broad range of disciplines and settings, the case study authors put Eynon and Gambino's integrative strategies into practice. Catalyst in Action shares their findings and their insights. As higher education enters a challenging new era, it must find new ways adapt and change, to support and demonstrate student growth and development. Catalyst in Action is a powerful combination of intensive research and practical experiencing. Offering exciting new evidence and fresh new insights, Catalyst in Action