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The investment performance of ethical equity funds in Malaysia

Fadillah Mansor; Bhatti, Muhammad Ishaq; Rahman, Shafiqur; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/219, pp. 1-14

This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our...

Persistent link: https://www.econbiz.de/10012384341

Surviving black swans : the challenge of market timing systems

Topiwala, Pankaj; Dai, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-25

fare even worse, barely treading water. Algorithmic trading is now so common, it accounts for over 80% of all trades and is …

Persistent link: https://www.econbiz.de/10013369153

Surviving Black Swans II: timing the 2020-2022 roller coaster

Topiwala, Pankaj - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-26

investors fare even worse, barely treading water. Algorithmic trading now accounts for over 80% of all trades and is the domain …

Persistent link: https://www.econbiz.de/10014305882

Maximum drawdown, recovery, and momentum

Choi, Jaehyung - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25

consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these … outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In … more consistent prediction on the direction of assets in future. Moreover, turnover rates of these momentum …

Persistent link: https://www.econbiz.de/10012795860

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

Persistent link: https://www.econbiz.de/10014301573

Defined contribution pension plans : who has seen the risk?

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27

The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

Persistent link: https://www.econbiz.de/10012022143

Investor sentiment, portfolio returns, and macroeconomic variables

Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14

Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the...

Persistent link: https://www.econbiz.de/10012389848

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

factor exposure of each fund to market, size, value, and momentum factors, according to the pertinent model. In order to do … and momentum, are able to certify better risk-adjusted returns. …

Persistent link: https://www.econbiz.de/10012622400

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

Persistent link: https://www.econbiz.de/10012627066

Unleveraged portfolios and pure allocation return

Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...

Persistent link: https://www.econbiz.de/10012795929

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