Search results for: Lynmar M. Didal

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Didal</title> <meta name="description" content="Search results for: Lynmar M. Didal"> <meta name="keywords" content="Lynmar M. Didal"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none navbar-toggler ml-auto" type="button" data-toggle="collapse" data-target="#navbarMenu" aria-controls="navbarMenu" aria-expanded="false" aria-label="Toggle navigation"> <span class="navbar-toggler-icon"></span> </button> <div class="w-100"> <div class="d-none d-lg-flex flex-row-reverse"> <form method="get" action="https://waset.org/search" class="form-inline my-2 my-lg-0"> <input class="form-control mr-sm-2" type="search" placeholder="Search Conferences" value="Lynmar M. 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Didal"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 1</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: Lynmar M. Didal</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1</span> A Comparative Analysis of Global Minimum Variance and Na茂ve Portfolios: Performance across Stock Market Indices and Selected Economic Regimes Using Various Risk-Return Metrics</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Lynmar%20M.%20Didal">Lynmar M. Didal</a>, <a href="https://publications.waset.org/abstracts/search?q=Ramises%20G.%20Manzano%20Jr."> Ramises G. Manzano Jr.</a>, <a href="https://publications.waset.org/abstracts/search?q=Jacque%20Bon-Isaac%20C.%20Aboy"> Jacque Bon-Isaac C. Aboy</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study analyzes the performance of global minimum variance and naive portfolios across different economic periods, using monthly stock returns from the Philippine Stock Exchange Index (PSEI), S&P 500, and Dow Jones Industrial Average (DOW). The performance is evaluated through the Sharpe ratio, Sortino ratio, Jensen鈥檚 Alpha, Treynor ratio, and Information ratio. Additionally, the study investigates the impact of short selling on portfolio performance. Six-time periods are defined for analysis, encompassing events such as the global financial crisis and the COVID-19 pandemic. Findings indicate that the Naive portfolio generally outperforms the GMV portfolio in the S&P 500, signifying higher returns with increased volatility. Conversely, in the PSEI and DOW, the GMV portfolio shows more efficient risk-adjusted returns. Short selling significantly impacts the GMV portfolio during mid-GFC and mid-COVID periods. The study offers insights for investors, suggesting the Naive portfolio for higher risk tolerance and the GMV portfolio as a conservative alternative. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=portfolio%20performance" title="portfolio performance">portfolio performance</a>, <a href="https://publications.waset.org/abstracts/search?q=global%20minimum%20variance" title=" global minimum variance"> global minimum variance</a>, <a href="https://publications.waset.org/abstracts/search?q=na%C3%AFve%20portfolio" title=" na茂ve portfolio"> na茂ve portfolio</a>, <a href="https://publications.waset.org/abstracts/search?q=risk-adjusted%20metrics" title=" risk-adjusted metrics"> risk-adjusted metrics</a>, <a href="https://publications.waset.org/abstracts/search?q=short-selling" title=" short-selling"> short-selling</a> </p> <a href="https://publications.waset.org/abstracts/171550/a-comparative-analysis-of-global-minimum-variance-and-naive-portfolios-performance-across-stock-market-indices-and-selected-economic-regimes-using-various-risk-return-metrics" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/171550.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">96</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" 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Search results for: Lynmar M. Didal