Izvorni znanstveni članak
https://doi.org/10.51680/ev.37.1.1
Estimation of an efficient benchmark portfolio for the Eastern European market
Marta Tušek
; Ekonomski fakultet Sveučilišta u Zagrebu, Zagreb, Hrvatska
Davor Zoričić
; Ekonomski fakultet Sveučilišta u Zagrebu, Zagreb, Hrvatska
Denis Dolinar
orcid.org/0000-0001-9489-9990
; Ekonomski fakultet Sveučilišta u Zagrebu, Zagreb, Hrvatska
Zrinka Lovretin Golubić
orcid.org/0000-0002-6446-8505
; Ekonomski fakultet Sveučilišta u Zagrebu, Zagreb, Hrvatska
Zrinka Orlović
orcid.org/0000-0003-2508-2658
; Ekonomski fakultet Sveučilišta u Zagrebu, Zagreb, Hrvatska
Sažetak
Purpose: This paper explores the mean-variance inefficiency of cap-weighted indices based on the CECE index as a benchmark. Methodology: For the period from March 2014 to September 2021, several proxies of efficient portfolios were estimated: the Global Minimum Variance (GMV) portfolio, the Maximum Sharpe Ratio (MSR) portfolio and the portfolio with equal weights of constituents (EW). Diversification of strategies was also considered by analyzing the performance of a portfolio consisting of GMV and MSR that were weighted equally. Based on monthly data, 90 out-of-sample estimations were made for each strategy in order to compare their risk-return characteristics. Furthermore, to confirm the differences in the riskiness and returns of the estimated portfolios, the F-test and the Welch test were performed, respectively. Results: The results show that all analyzed portfolios achieved superior performance compared to the CECE index with the GMV portfolio leading the way. Conclusion: Research findings highlight the importance of market development and liquidity when pursuing popular scientific diversification methods.
Ključne riječi
efficient portfolio estimation; risk-reward ratio; diversification strategies; “smart” beta; the CECE Composite Index
Hrčak ID:
317947
URI
Datum izdavanja:
17.6.2024.
Posjeta: 372 *