The Im­pact of as­set al­lo­ca­tion strat­egy on port­fo­lio per­for­mance: Ev­i­dence from Dam­as­cus Se­cu­ri­ties Ex­change ( DSE )

Back­ground

In­vestors and port­fo­lio man­agers who in­tend to in­vest in stocks listed on Dam­as­cus Se­cu­ri­ties Ex­change (DSE) should un­der­stand and eval­u­ate the per­for­mance of port­fo­lios con­structed us­ing dif­fer­ent as­set al­lo­ca­tion strate­gies, which in turn helps them shape their al­lo­ca­tion de­ci­sion with this un­der­stand­ing in mind.

The pur­pose of this pa­per is to in­ves­ti­gate the im­pact of as­set al­lo­ca­tion strat­egy on port­fo­lio per­for­mance.

It com­pares the out-of-sam­ple per­for­mance of mean-vari­ance, min­i­mum vari­ance, equally weighted and mar­ket value-weighted strate­gies. The study uti­lized Sharpe ra­tio as a proxy for per­for­mance mea­sure­ment.

Meth­ods

This pa­per dis­cusses first the back­ground and lit­er­a­ture re­lated to as­set al­lo­ca­tion strate­gies’ per­for­mance com­par­i­son. Then, moves on to test the im­pact of four as­set al­lo­ca­tion strate­gies on port­fo­lio per­for­mance of stocks listed on Dam­as­cus Se­cu­ri­ties Ex­change (DSE) us­ing boot­strap­ping tech­nique as a ro­bust in­fer­ence method pro­posed by Ledoit et al. (2008). They sug­gest to con­struct a stu­den­tized time se­ries boot­strap con­fi­dence in­ter­val for the dif­fer­ence of the Sharpe ra­tios and to de­clare the two ra­tios as sig­nif­i­cantly dif­fer­ent if zero is not con­tained in the ob­tained in­ter­val. Re­sults: Mean-vari­ance, min­i­mum vari­ance, equally weighted and mar­ket value-weighted strate­gies do not re­al­ize sig­nif­i­cantly dif­fer­ent per­for­mance as mea­sured by Sharpe ra­tio.

Con­clu­sion

The as­set al­lo­ca­tion strat­egy does not have an im­pact on port­fo­lio per­for­mance of stocks listed on Dam­as­cus Se­cu­ri­ties Ex­change (DSE).

for more de­tails, re­fer to: https://​www.​jou​rnal​cra.​com/​article/​impact-​asset-​all​ocat​ion-​str​ateg​y-​por​tfol​io-​per​form​ance-​evi​denc​e-​dam​ascu​s-​sec​urit​ies-​exchange