Performance of risk-based portfolios under different market conditions: Evidence from Iranian stock market

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ABOUNOORI ESMAEIL; TEHRANI REZA; Shamani Masoud

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Journal: Financial Economics Year:2019 | Volume:12 | Issue:45 Page(s): 51-71

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Title

Performance of risk-based portfolios under different market conditions: Evidence from Iranian stock market

Author(s)

ABOUNOORI ESMAEIL | TEHRANI REZA | Shamani Masoud | Issue Writer Certificate

Keywords

Risk-based portfolioQ1

Most diversified portfolioQ1

Equal risk contributionQ1

Minimum variance portfolioQ1

Sharpe ratioQ1

Abstract

This study evaluates the performance of Risk-based portfolios under different market conditions. We compare four strategies, namely, the equally weighted portfolio (EW), the global Minimum variance portfolio (GMV), the Most diversified portfolio (MDP) and the Equal risk contribution portfolio (ERC) for the 2009-2016 period and 30 top companies of the stock exchange. No single strategy consistently dominates the others, under different market conditions. As expected, the GMV has the least downside risk. Although there is no clear winner among the Risk-based portfolios, there is evidence that they generally outperform the market capitalization based portfolio. These strategies are also compared with market index as market capitalization and the most popular way of making the portfolio. To achieve this goal, the portfolios of the portfoliosortinoand omega are used, as well as the difference between Sharpe ratios each of the Risk-based portfolios with Sharpe ratio of the market index. To evaluate the adverse risk of strategy risk measurement measures such as VaR and CVaR were used. The results show that the GMV model has the least adverse risk among strategies.

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APA: Copy

ABOUNOORI, ESMAEIL, TEHRANI, REZA, & Shamani, Masoud. (2019). Performance of risk-based portfolios under different market conditions: Evidence from Iranian stock market. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 12(45 ), 51-71. SID. https://sid.ir/paper/229100/en

Vancouver: Copy

ABOUNOORI ESMAEIL, TEHRANI REZA, Shamani Masoud. Performance of risk-based portfolios under different market conditions: Evidence from Iranian stock market. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;12(45 ):51-71. Available from: https://sid.ir/paper/229100/en

IEEE: Copy

ESMAEIL ABOUNOORI, REZA TEHRANI, and Masoud Shamani, “Performance of risk-based portfolios under different market conditions: Evidence from Iranian stock market,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 12, no. 45 , pp. 51–71, 2019, [Online]. Available: https://sid.ir/paper/229100/en

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