 SIGNIFICANCE OF THE PORTFOLIO SCOPE FOR IMPROVING THE RESULTS OF THE ACTIVE PORTFOLIO MANAGEMENT– FOLLOWING THE EXAMPLE OF THE EMERGING STOCK MARKETS IN SOUTHEAST ASIAPlamen Patev () and
Kaloyan Petkov
Business Management, 2017, issue 4 Year 2017, 15-32 Abstract: Active portfolio management is widely used in investment practice with the goal of securing better performance results from the investment process. Active portfolio management has gathered significant attention from both academics and practioners. Our goal is to investigate the class between two competing ideas. On one hand increasing the Breadth of the portfolio we should have bigger diversification effect. On the other hand increasing the number of assets (Breadth) should lead to smaller forecasting ability and therefore lower IC . Presented results show that our first hypothesis is confirmed – increasing the number of assets in the portfolio magnifies the effect of the active management. Additionally we show that when managers increase their Breadth, they increase not only IR, but also manage to decrease IC which shows better stability of our forecasting skill through time. Keywords: breadth; strategy risk; alpha; active portfolio management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:dat:bmngmt:y:2017:i:4:p:15-32 Access Statistics for this article Business Management is currently edited by Krasimir Shishmanov More articles in Business Management from D. A. Tsenov Academy of Economics, Svishtov, Bulgaria Contact information at EDIRC. |
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