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Impact of Portfolio Strategies on Portfolio Performance and Risk

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  • Zunera Shaukat
  • Ahmad Shahzad

Abstract

The Portfolio strategies are the effective investment tools pertaining to active and passive investment approaches. This signifies the investor¡¯s inclination of buying and selling the risky and risk-free assets. The research includes four strategies namely buy and hold strategy, dynamic asset allocation, strategic asset allocation and tactical asset allocation along with their dimensions. Strategies based hypothetical portfolios are generated on the basis of 14 years¡¯ stock prices (2005-2017). The annually and monthly risk-adjusted return ratios; Sharpe ratio, Treynor¡¯s measure, CAPM and Jenson Alpha are calculated individually. Simulated annualized portfolios generate significant result with Sharpe and treynor measure. Alpha return is generated with buy and hold if based on growth in stock prices. For empirical result, One-way analysis of variance (ANOVA) is used for studying the relationship between the strategies. Post hoc Tukey¡¯s test is applied to find the difference between the strategies. The ANOVA and Tukey¡¯s post hoc test for monthly portfolios gives significant results with three measure Sharpe ratio, CAPM and Jenson Alpha. No empirical significant result is measured on the basis of treynor measure.

Suggested Citation

  • Zunera Shaukat & Ahmad Shahzad, 2019. "Impact of Portfolio Strategies on Portfolio Performance and Risk," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 10(1), pages 73-86, January.
    • Handle: RePEc:jfr:ijba11:v:10:y:2019:i:1:p:73-86
    DOI: 10.5430/ijba.v10n1p73
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    1. Yusuf Olatunji Oyedeko & Olusola Segun Kolawole & Regina Samson & Olena Voloshyna, 2023. "Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 83-91, June.

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