Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?

Is there a green fund premium? Evidence from twenty seven emerging markets

Constant Proportion Portfolio Insurance

Application of a fuzzy-logic based model for risk assessment in additive manufacturing R&D projects

Portfolio Insurance Trading Rules

Like every equity investment strategy, a Shariah compliant equity portfolio makes implicit bets. The most obvious bet is the application of sector and financial screens to select the Shariah-compliant stocks. In this paper, we focus on the impact of the weighting method. Most Shariah compliant equity portfolios are market capitalization weighted. We first of all demonstrate the negative impact on the Islamic investor of choosing market capitalization weighting under the assumption of mispricing. We then investigate the use of alternative weighting methods in Shariah compliant equity investing, namely the approach of equal-weighting and low risk weighting. For the universe of Shariah compliant S&P 500 stocks over the period 1984-2014, we show that the equal-weighting and low risk weighted portfolios outperform the market capitalization weighted benchmark.

/pdf/evaluating-the-shariah-compliance-of-equity-portfolios-the-18bac6j9n0.pdf

Evaluating the Shariah-Compliance of Equity Portfolios: The Weighting Method Matters

https://research.vu.nl/ws/files/108221835/Evaluating_the_Shariahcompliance_of_equity_portfolios_The_weighting_method_matters.pdf

Evaluating the Shariah-compliance of equity portfolios : the weighting method matters

https://research.vu.nl/ws/files/108249126/The_response_of_multinationals_foreign_exchange_rate_exposure_to_macroeconomic_news.pdf

The response of multinationals’ foreign exchange rate exposure to macroeconomic news

Les strategies d’assurance CPPI sont des investissements d’horizon moyen a long terme, qui allouent dynamiquement entre un actif sans risque et un portefeuille d’actifs risques. Leur objectif est de combiner un potentiel de gain tout en garantissant un capital a l’horizon. Notre article utilise une approche de simulation par bloc pour determiner si la combinaison de strategies « smart beta » et l’assurance de portefeuille est utile sous divers scenarios de marche. Nos resultats montrent une amelioration significative de la performance pour le CPPI combine avec un portefeuille « low-risk ». Ceci est coherent avec le vega negatif des strategies CPPI ainsi qu’avec leur dependance par rapport aux pertes passees.

Smart beta and CPPI performance

Many exchange traded funds track simple characteristic-based equity portfolios such as the market capitalization, the fundamental value or the inverse volatility portfolio. This paper provides theoretical and empirical evidence for the economic benefits in exploiting the timing-gains that result from the time-varying relative performance of these characteristic-based portfolios. Under a factor model for expected returns, we show that this dynamic portfolio allocation can be efficient across the low-dimensional set of characteristic-based portfolios. We assess the out-of-sample performance on the S&P 100 universe over the period 1990-2013 and show gains in stability and significant positive risk-adjusted returns for the dynamic style portfolio. We conduct several robustness tests and extensions confirming the benefits of dynamic style allocation across characteristic-based portfolios.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2706766_code2262273.pdf?abstractid=2458851&mirid=4

Marjan Wauters

Papers

Evaluating the Shariah-Compliance of Equity Portfolios: The Weighting Method Matters

Evaluating the Shariah-compliance of equity portfolios : the weighting method matters

The response of multinationals’ foreign exchange rate exposure to macroeconomic news

Smart beta and CPPI performance

The Economic Benefits of Market Timing the Style Allocation of Characteristic-Based Portfolios