A Multi-Factor Strategy for Index Alpha Enhancement

Henriksson, Roy; Livnat, Joshua; Pfeifer, Patrick; Stumpp, Margaret

doi:10.3905/jii.2019.9.4.067

Cited by 1 publication

(1 citation statement)

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“…As done by Agapova et al (2017), which results in stocks belonging to the High Volatility group with a high beta resulting in lower growth when compared to Low Volatility stocks with a low beta. The study was conducted by Henriksson et al (2019) who performed the same weighting in portfolios based on Smart Beta but used Variable Rate Preferred (VRP) as a portfolio tool to increase returns and diversification.…”

Section: Introductionmentioning

confidence: 99%

Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia

Salim

Iradianty

Kristanti

et al. 2022

Investment Management and Financial Innovations

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Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market caps are chosen because of one of the indicators of blue chip stock. The sample will be divided into three portfolio groups, High Volatility, Moderate Volatility, and Low Volatility. The results obtained that High Volatility became the best portfolio during the Covid-19 period. The results of this study prove that the group of stocks with High Volatility will get positive returns and sharpe performance results are the highest and positive, compared to moderate volatility and low volatility portfolios. This result arises because stocks with High Volatility are subject to large price fluctuations and in this situation, investors can invest in these stocks in a short time frame. The short-term process is carried out regularly so that it can be in accordance with investors' expectations for investments in the portfolio.

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Section: Introductionmentioning

confidence: 99%