Browsing by Subject "active management"

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    Investing in Small Basket Portfolios of DJIA Low Return Stocks: The Potential for Losers to Become Winners
    (Journal of Business, 2017) Larsen, Glenn A.
    The focus of this research is on the performance of portfolios constructed on an annual basis from stocks that make up the Dow Jones Industrial Average (DJIA)using a long-only minimum realized return small-basket portfolio (MinRet SBP)strategy. The MinRet SBP is formed each year using those stocks in the DJIA that had the lowest realized returns in the previous five-years with the weight constraint that no more than 20% of the portfolio can be invested in a single security. Over the 20-year period from 1996 through 2015, the MinRet SBP strategy generates a higher average annual total return and a lower risk per unit of return measure than the DJIA. Perhaps even more importantly, measures of downside risk support the enhanced out-of-sample performance of the actively managed MinRet SBP strategy.
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    A Short Note on the Potential for a Momentum Based Investment Strategy in Sector ETFs
    (SECNA, 2018) Larsen, Glen A.; Larsen, Erik P.; Kelley School of Business - Indianapolis
    The focus of this research is on the enhanced one-year average annual return performance of Select Sector SDPR EFFs with the highest average annual realized return over the previous five-year period [MaxRet strategy]. From 2004 through 2015, the MaxRet strategy generates a higher average annual total return than an equal weight portfolio [EW strategy] of the same sector funds. The average annual return for the MaxRet strategy is 14.13% compared to 9.75% for the EW strategy. In addition, the coefficient of variation [CV] for the MaxRet and EW strategies are 1.52 and 1.59 respectively. The MaxRet strategy, therefore, is a more efficient strategy in that it generates less standard deviation risk per unit of average annual return than the EW strategy over the study period. Measures of downside risk further support the enhanced out-of-sample performance of the MaxRet strategy.