SIGNIFICANCE OF THE PORTFOLIO SCOPE FOR IMPROVING THE RESULTS OF THE ACTIVE PORTFOLIO MANAGEMENT FOLLOWING THE EXAMPLE OF THE EMERGING STOCK MARKETS IN SOUTHEAST ASIA

Authors

Keywords
breadth, strategy risk, alpha, active portfolio management

Abstract
Active portfolio management is widely used in investment practice with the goal of securing better performance results from the investment process. Active portfolio management has gathered significant attention from both academics and practioners. Our goal is to investigate the class between two competing ideas. On one hand increasing the Breadth of the portfolio we should have bigger diversification effect. On the other hand increasing the number of assets (Breadth) should lead to smaller forecasting ability and therefore lower . Presented results show that our first hypothesis is confirmed increasing the number of assets in the portfolio magnifies the effect of the active management. Additionally we show that when managers increase their Breadth, they increase not only IR, but also manage to decrease which shows better stability of our forecasting skill through time.

JEL: G11, G15, C21.
Pages: 18

To view the full text of the article click on the relevant button below.

More titles

  • OPTIMIZATION OF HEALTH CARE FINANCIAL RESOURCES IN BULGARIA THROUGH HOME CARE AND ASSISTANCE SERVICES

    Health care in Bulgaria is based on hospital care. According to the Euro Health Consumer Index for 2016, our country ranks first in terms of hospital stay. However, in small towns and villages, the cost of hospital care is too high and unviable. This calls for the development of a new type of health services to reduce costs and optimize the ...

  • THE DEVELOPMENT OF HUMAN POTENTIAL IN KAZAKHSTANS INNOVATION ECONOMY

    In this paper, statistical analysis of indicators of innovative growth in the Republic of Kazakhstan was conducted. The indicators were compared to those of technologically advanced countries, in particular to such indices as: the share of innovation-active enterprises, domestic spending on research and development (Percentage to GDP), total ...

  • THE DEVELOPMENT OF A MODEL FOR THE CONSOLIDATION OF INFORMATION IN SMALL AND MEDIUM-SIZED ENTERPRISE (SME) CLUSTERS

    The aim of this study is to improve the level of information support of a cluster by developing a model of an ERP system that consolidates information at the cluster level. The research tasks are: - a survey of the clusters, members of the Association of Business Clusters (ABC) in Bulgaria, analysis of the results of the survey and drawing of ...