Predicting Risk-Return Performance Using UPM-LPM Metrics

8/12/2019 Predicting Risk-Return Performance Using UPM-LPM Metrics

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Wrèldtlik _lsh/_`turi W`rbmrnfid` Pslik Ppp`r Wfrtlfj Nmnìt/Jmw`r Wfrtlfj Nmnìt

N`trlds

oy

Brè Rlmj`

MRRM Blifidlfj Tyst`ns

brè.vlmj`Gmvvmblifidlfjsyst`ns.dmn

Fie

Efvle Ifwrmdhl

Rljjfimvf Pilv`rslty

Rljjfimvf Tdcmmj mb Ousli`ss

377 Jfidfst`r Fvìu`
mailto:[email protected]:[email protected]:[email protected]


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Wrèldtlik _lsh/_`turi W`rbmrnfid` Pslik Ppp`r Wfrtlfj Nmnìt/Jmw`r Wfrtlfj Nmnìt

N`trlds

FOTU_FDU

Nlilnlzlik tc` djfssldfj e`bliltlmi mb rlsh scmuje o` f dmuit`rlitultlv` vìtur` fs tc`

`xpjfiftmry iftur` mb clstmrldfj n`trlds' dmistrudtlmi dcfjjìk`s tc`lr foljlty tm s`rv` f prèldtlv`

purpms` mi f imi-stftlmifry prmd`ss. [` uidmv`r fi ljj-dmid`lvè olfs li tc`s` n`trlds fie elsdmv`r

tc`y prmvle` f dmitrfry lieldftlmi tm fi liv`stnìt's survlvfoljlty. Uc` or`fhemwi li tc` `xpjfiftmry-prèldtlv` jlih ls trmuojlik fie w` fln tm dmrr`dt tcls vlf f o`tt`r e`rlvè `xpjfiftmry n`trld. Uc`

prèldtlv` vfrlfit mb mur n`trld wljj elr`dtjy qu`stlmi tc` imtlmi mb mptlnlzftlmi li mre`r tm s`rv` tc`

blrst prlmrlty mb fiy dmitliumus syst`n, survlvfj.


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Lisfilty1 emlik tc` sfn` tclik mv`r fie mv`r fkfli fie `xp`dtlik elbb`rìt r sujtsFjo`rt @list`li

LIU_MEPDULMI

[fs tc` blifidlfj drlsls mb ?773 r`fjjy fi fimnfjy mr wfs tc` pr`dèlik `rf mb dmnpjfdìt vmjftljlty

tc` tru` fimnfjy= Ucls clstmrldfjjy jmw vmjftljlty ìvlrminìt bmst`rè f bfjs` pmsltlv` li tc` nlies mb

nfiy rlsh nfifk`rs, w` cfv` tfnè tc` o`fst fs lt w`r`. [ltc tc` fevìt mb vfju`-ft-rlsh (Rf_) fie

mtc`r i`wjy fdd`ptè rlsh nfifk`nìt t`dcilqu`s, lt wfs fdtufjjy pmssloj` tm blkur` mut cmw nudc mi`

dmuje jms` li f klvì efy fie dmitfli vmjftljlty. Ucft ls lb imtclik cfppìè. Fie imtclik ele cfppì

bmr qult` f wclj`. Ucls nutè ìtrmpy dr`ftè f r`bj`xlv` b`èofdh jmmp mb lkimrfid`. Ucì li Aui` mb

?77;, smn`tclik cfppìè. Uwm O`fr Tt`ris cèk` buies, tc` O`fr Tt`fris Clkc-Krfe` Ttrudturè

Drèlt Buie fie tc` O`fr Tt`ris Clkc-Krfe` Ttrudturè Drèlt @icfidè Buie omtc i`èè oflj muts.

_lsh nfifk`rs' nme`js tcrmukcmut tc` lieustry vl`wè tc`s` `vìts fs tflj `vìts tcus o`jl`vlik f

n`fi r`v`rslmi tm p`rd`lvè imrnfjdy wmuje sur`jy bmjjmw. Uc` ìsulik olburdftlmi mv`r tc` i`xt 63

nmitcs e`dlnftè fiy fie fjj rlsh nme`js tcft cfe o`ì dmistrudtè fie mptlnlzè mi tc`s`

`xp`rlnìtfj pfrfn`t`rs wcldc w`r` e`vmle mb fiy dmnnmi sìs` fssunptlmis.

Jmp`s fie Meì (6


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CLTUM_LDFJ N@FTP_@T

W`rbmrnfid` n`fsur`s prmvle` us wltc tc` fk` mje frkunìt mb `xpjfiftmry v`rsus prèldtlv`, tm

mptlnlz` mr imt. Nljtmi Brl enfi puojlscè Uc` N`tcmemjmky mb Wmsltlv` @dmimnlds li 6


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liv`stnìt.

Uc` lssu` ls tcft tc` Ur`yimr rftlm, Tcfrp` _ftlm, Aìsì's Fjpcf, r`wfre tm s`nlvfrlfoljlty rftlm,

N`fi / Jmw`r Wfrtlfj Nmnìt fjj utljlz` stfiefre e`vlftlmi, o`tf mr o`jmw tfrk`t s`nlvfrlfid` smj`jy li

tc`lr eìmnliftmr. Aìsì's Fjpcf utljlz`s tc` pmrtbmjlm O`tf fs f nujtlpjl`r li lts dmnputftlmi,

tc`r`bmr` suddunolik tm tc` ui`qufj tr`ftnìt mb vmjftljlty. Uc` mtc`r n`fsur`s uslik tc` n`fi r`turi

mr fiy mtc`r fv`rfklik n`trld em`s imt mbb`r fi fe`quft` suostltut` bmr tc` mos`rvè upsle` vmjftljlty li

tc` iun`rftmr. Fi mos`rvftlmi ft tln` tls imt trfisltlv`, lt dfiimt slnujtfi`musjy o` f kfli fie f jmss.

Lb f r`sujt ls o`jmw f tfrk`t, lt ls f jmss. Uc` us` mb n`fi li tc` iun`rftmr fie f pmsltlv` tfrk`t bmr

s`nlvfrlfid` li tc` eìmnliftmr bmr `xfnpj`, wljj kì`rft` tc`s` jmkldfj vlmjftlmis wc`r` tc` sfn`

mos`rvftlmi ls o`lik usè li f dmibjldtlik nfii`r.

Ttmdcfstld Emnlifid` wfs f prmnlslik n`tcmemjmky mb mre`rlik slid` vmjftljlty lts`jb ls f stmdcfstld

prmd`ss, out bfljs eu` tm lts r`jlfid` mi dunujftlv` elstrloutlmi buidtlmis wcldc mijy dmisle`r o`jmw

tfrk`t prmofoljltl`s6. [` cfv` imtè tcft tc`r` fr` v`ry elbb`rìt dmiimtftlmis o`tw`ì fomv` tfrk`t

kflis fie o`jmw tfrk`t jmss`s. Ttmdcfstld emnlifid` fjsm r`qulr`s fi uie`rjylik stftlmifrlty

fssunptlmi tcft ls imt dmislstìt wltc r`fj jlb` mos`rvftlmis.?

R j _l h (R _) cl c j j l c c je b c el lo l b cl l j b jl


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fie stfrt pr`pfrlik bmr fiytclik. Efvle @licmri, tc` cèk` buie nfifk`r wcm fdtlv`jy o`kfi scmrtlik

J`cnfi Ormtc`rs li Aujy ?77; dmnpfrè Rf_ tm fi flrofk tcft wmrhs fjj tc` tln`, `xd`pt wcì ymu

cfv` f dfr fddleìt.4

F O@UU@_ @SWJFIFUM_\/W_@ELDULR@ N@FTP_@

Fik fie Dcuf (6


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wc`r` _,x,t r`pr`sìts tc` r`turis mb tc` liv`stnìt x ft tln` t, i ls tc` e`kr`` mb tc` JWN, q ls tc`

e`kr`` mb tc` PWN, cls tc` tfrk`t bmr dmnputlik o`jmw tfrk`t r`turis, fie j ls tc` tfrk`t bmr dmnputlik

fomv` tfrk`t r`turis.

O`jmw tfrk`t fifjysls fjmi` ls fhli tm mijy clrlik f e`bìslv` dmmreliftmr. \`s, e`bìs` wlis

dcfnplmisclps fie ls frkufojy nmr` lnpmrtfit tm survlvfj tcfi mbbìs` wcldc ls wcy mur n`trld fjjmws

bmr tc` fsynn`try mb tc`s` imtlmis vlf tc` e`kr`` usè li tc` dmnputftlmis (r`pr`sìtftlv` mb fi

liv`stmrs b`fr fie kr`è j`v`js). Ucls ls fi listfid` wc`r` fi liv`stmr pjfd`s nmr` w`lkct mi o`jmw

tfrk`t mutdmn`s rftc`r tcfi mi fomv` tfrk`t mutdmn`s, i9 q. Ucls vl`w wfs r dìtjy `xpr`ssè oy

[frrì Oubb`t1

...T`dmie, tcmukc w` cfv` jfkkè tc` T&W li smn` y`frs tcft w`r` pmsltlv` brmn tc`nfrh`t, w` cfv` dmislstìtjy emi` o`tt`r tcfi tc` T&W li tc` `j`vì y`frs eurlik wcldc

lt e`jlv`rè i`kftlv` r`sujts. Li mtc`r wmres, mur e`bìs` cfs o`ì o`tt`r tcfi mur

mbbìs`, fie tcft's jlh`jy tm dmitliu`. (Oubb`tt, ?767).

Elv`rslbldftlmi ls tc` pfifd`f mb rlsh nfifk`nìt t`dcilqu`s. Em`s lt fddmnpjlsc wcft lt ls

e`slkiè tm em, l.`., rèud` tc` imi-syst`nld rlsh r`jftlv` tm fi lielvleufj pmsltlmi= \`s. Cmw em`s lt

fdcl`v` tcls= [`jj, tc` fisw`r nfy imt o` fs dmnbmrtlik fs mi` wmuje tclih. Uc` pr`b`rrè n`tcme tm

e l l h l ee l l c c cl l j l j l l h


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Um `bb`dtlv`jy dfjdujft` tc` nfrklifj rlsh, tc` sfn` tfrk`t cnust o` usè bmr omtc tc` liv`stnìt x

fie tc` nfrh`t oìdcnfrhy. [` dfi slnpjlby tcls oy suostltutlik tc` oìdcnfrh fs tc` tfrk`t y, litm

tc` liv`stnìt's dfjdujftlmis yl`jelik tc` bmrnujf1

(,,) (,,) (5)

Ucls j`fes tm tc` qufiefry bfdè oy fjj rlsh n`trlds, wcft ls tc` syst`nld oìdcnfrh fie cmw em`s

mi` prmp`rjy qufitlby lt= Ucls ls suoa`dtlv` tm sfy tc` j`fst fie dfi vfry brmn liv`stmr tm liv`stmr. [`

fr` imt fs orfzì fs smn` futcmrs mb clstmrldfj n`fsur`s fie em imt purpmrt tm cfv` fi fisw`r tm tcls.

Uc`r` fr` d`rtfli vfrlfoj`s fi lielvleufj nust lnpj`nìt tcft nftdc tc`lr uilqu` dmnpmsltlmi. F nmr

eurfoj` s`rvld` ls tm mbb`r f brfn`wmrh dfpfoj` mb o`lik fs uilqu` fs tc` lielvleufj utljlzlik lt. Mur

n`trld fjsm fvmles fiy pcljmsmpcldfj lidmislstìdl`s oy uslik tc` sfn` tfrk`t bmr kflis fie jmss`s.

Fi mv`rwc`jnlik nfamrlty mb liv`stmrs us` tc` T&W 077 lie`x fs f prmxy bmr syst nld rlsh. [clj`

t`nptlik, lt ls imt f dmnpj`t` n`fsur` mb tc` fss`t djfss tcus w` dfiimt lnpjldltjy suppmrt lts us` fs f

prmxy bmr syst`nld rlsh bmr fi `qulty liv`stnìt. Cmw`v`r, tc` pfrtldujfr tmpld ls o`ymie tc` sdmp` mb

tcls pfp`r.5 Bmr lielvleufj s`durlty fifjysls tc` tfrk`t ls f olt nmr` litrldft`. F emuoj` imi-stftlmifry


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j`ss wcì tc` nfrh`t jms`s= Ucft's kr`ft bmr `xpjfiftmry clstmrldfj fifjysls, out wcft fomut butur`

prèldtlv` dfpfdlty=

_lsh dfi o` kr`ftjy rèudè oy dmidìtrftlik mi mijy f b`w cmjeliks.[frrì Oubb`tt

Uc` litìeè rèudtlmi li imi-syst`nld rlsh dmn`s wltc tc` c`bty prld` mb lidr`fsè `xpmsur` tm

syst`nld rlsh. Li tln`s mb lidr`fsè ìtrmpy mr vì drlsls, drmss dmrr`jftlmis mb s`durltl`s tìe tmwfres

6, `bb dtlv`jy rìe`rlik tc` elv`rslbldftlmi us`j`ss fie fuknìtlik mi`'s jmss`s. Uc` fxlmn wfs

e`v`jmpè tcrmwlik tc` ofoy mut wltc tc` oftc wft`r, imtlik tcls v`ry sltuftlmi. Jl's dmpujf, f

bmrnujf wle`jy usè li fifjysls tm dmistrudt DEMs bfljè eu` tm lts lkimrfid` mb tc`s` eyifnld

dmrr`jftlmis li tln`s mb drlsls fie fi uie`rjylik fssunptlmi mb f Kfusslfi elstrloutlmi bmr tcms`

dmrr`jftlmis0.

Tm w` cfv` nfxlnlzè mur feeltlmifj imi syst`nld rlsh ofsè mbb mb mur `xpjfiftmry nme`j. Imw

w` cfv` tm e`fj wltc tc` emrnfit o`fst1 syst nld rlsh. Futmdmrr`jftlmi / e`pìeìd` / s`rlfj dmrr`jftlmi

((x)) ls fi lnpmrtfit tmmj li leìtlbylik lidr`fslik elstrloutlmifj rlshs sudc fs nutè ìtrmpld

ìvlrminìts fie jìelik f prèldtlv` foljlty tm fi `xpjfiftmry n`trld. [cì liv`stlik li f buie, tc`

futmdmrr`jftlmi ls qult` us`buj li pldhlik up mi elsdr`tlmifry nfrhs usè oy tc` nfifk`r li ljjlqule


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() (, ) (0)Ufhlik tc` fosmjut` vfju`....

|()| | (, )| (2)Uc` fosmjut` vfju` ls usè o`dfus` fi futmdmrr`jftlmi mb -6 mr 6 ls `qufjjy efik`rmus tm liv`stmrs. Li

tc` -6 listfid` tc` n`fi brmn tc` tfrk`t wmuje o` z`rm bmr f p`rlme mb mos`rvè futmdmrr`jftlmi mb -6

fie tc`r` wmuje o` fi `qufjjy jlh`jy s`rl`s mb fomv` mr o`jmw tfrk`t r`sujts, f tru` ku`ss

F 6 p`rlme jfk ls usè o`dfus` w` fln tm `rr mi tc` sle` mb dfutlmi. [c`r` tc`r`'s snmh` tc`r`'s blr`.

Lb f 67 p`rlme jfk pr`sìts futmdmrr`jftlmi, lt wljj movlmusjy o` imtldè li tc` 6 p`rlme prlmr. Uc` rlsh ls

tcft o`tw`ì jfk elbb`rìd`s, f olburdftlmi foruptjy d`fs`s tcus j`fvlik tc` liv`stmr wfltlik bmr f

dmiblrnftlmi tm fvmle tc` v`ry `vìt tcft cfs aust trfisplrè, `bb`dtlv`jy rìe`rlik tcls n`trld

`xpjfiftmry. _uss`jj Fdhmbb (6


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sfnpj` mb f dmitliumus prmd`ss wljj bmmjlscjy lkimr` tc` imi stftlmifry `bb`dts bmr nfifk`r `vfjuftlmi.

F nmr` elbbldujt e`dlslmi bmr us wfs cmw tm n`fsur` tc` prmkr`ss mb O`rhsclr` v`rsus

tc` T&W. Uc`r` fr` kmme frkunìts bmr slnpjy uslik tc` dcfik` li mur stmdh prld`.Mv`r fi `xtìeè p`rlme mb tln`, li bfdt, tcls ls tc` o`st t`st. Out y`fr-tm-y`fr nfrh`t

prld`s dfi o` `xtrfmrelifrljy `rrftld. @vì `vfjuftlmis dmv`rlik fs jmik fs f e`dfe` dfio` elstmrtè oy bmmjlscjy clkc mr jmw prld`s ft tc` o`kliilik mr ìe mb tc` n`fsur`nìt

p`rlme. (Oubb`tt, ?767).

[cì `vfjuftlik fi lielvleufj s`durlty, nmr` dmnpj`t` fifjysls r`v`fjs tcft n`fis, vfrlfid`s fie mtc`r

n`trlds em imt imrnfjlz` uitlj tc`r` fr` ft j`fst 677 mos`rvftlmis.

-0

7

0

67

60

?7

?0

W`rDìt

Tfnpj` Tìsltlvlty bmr N`fi, Ttfiefre E`vlftlmi, T`nlE`vlftlmi


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Tlnljfr tm f ouooj` mr pfrfomjld nmv`2, fi mos`rvè 6 futmdmrr`jftlmi r`felik eìmt`s f euolmus

sltuftlmi. Uc` lidr`fsè futmdmrr`jftlmi libjuìd` dfi o` suotrfdtè brmn lts`jb tm dmnpìsft` bmr fi

lidr`fsè jlh`jlcmme mb fi uistfoj` liv`stnìt, tcus jmw`rlik tc` n`trld tm r`bj`dt tcls prmofoj` rlsh.

Ouooj`s fr` kmme uitlj tc`y ourst. K`mrk` Tmrms `xpjflis tcft ouooj`s fie cls pfrtldlpftlmi li tc`n

fr` wcft prmvleè cln wltc cls vfst w`fjtc.; Uc` trldh ls-- himwlik wcì tm `xlt prlmr tm tc` ouooj`

ourstlik. @quftlmi ; ls mur prèldtlv` n`trld uslik tc` futmdmrr`jftlmi dm`bbldlìt.

(,,) (,,) |()| (,,) (,,) (;)

Fi `xfnpj` nfy c`jp ljjustrft` tc` kmfj mb tc` pr eldtlv` `j`nìt. Lb ymu ìt`r fi liv`stnìt ofsè mi

lts clstmrldfj `xpjfiftmry rlsh n`trld mb 677 scfr`s fie lts futmdmrr`jftlmi ls z`rm tcì ymu r`tfli ymur

677 scfr`s. Tfy tc` liv`stnìt p`rbmrns w`jj fie lts futmdmrr`jftlmi r fdc`s .0. Uc` n`trld wljj cfv`

e`dr`fsè oy .0, bmrdlik ymu tm dut ymur cmjeliks oy 07% tm nftdc tc` pmtìtlfj rlshs tc`

futmdmrr`jftlmi ls n`fsurlik. Tfy tc` liv`stnìt shyrmdh`ts fie tc` i`xt p`rlme mb r`vl`w bmr ymur

liv`stnìt, ymu blie tcft tc` futmdmrr`jftlmi ls imw 6. Ucls wmuje yl`je f r`sujt mb z`rm tm tc`


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Pibmrtuift`jy tc` liv`rs` em`s imt cmje bmr i`kftlv` dmieltlmis dmupjè wltc futmdmrr`jftlmi. [clj`

tc` ouooj` `xfnpj` fomv` wljj prmt`dt prmblts, ìt`rlik fpmsltlmi ofsè mi liv`rs` dmieltlmis wltc

pmsltlv` futmdmrr`jftlmi wljj o` fhli tm tc` dftdclik f bfjjlik hilb` fxlmn. Ucls n`trld fvmles tcls fs

w`jj fs tc` pltbfjjs mb lrrftlmifjlty. H`yi`s imtè, tc` nfrh`t dfi stfy lrrftlmifj jmik`r tcfi ymu dfi

stfy smjvìt fie slid` mur n`trld em`s imt prèldt fi libj`dtlmi pmlit, j`t lt stfy lrrftlmifj. Li `ssìd`,

ìtry ft z`rm futmdmrr`jftlmi fie tc` bujj `xlt ft fosmjut` vfju` 6, bmr jmik mr scmrt pmsltlmis.

Uc` eyifnld pmsltlmilik `xfnpj` fjsm clkcjlkcts fi lnpmrtfit scmrtdmnlik mb pfsslv` liv`stlik.

Dmupjè wltc elv`rslbldftlmi (wcldc w` cfv` aust `xpjfliè tìes tm cfv` tc` liv`rs` `bb`dt wcì mi`

r`fjjy i`ès lt), ouylik fie cmjelik f elv`rs` pmrtbmjlm cfs o`ì pr`fdcè fe ifus`fn fs f n`fis mb

nltlkftlik rlsh. Li f 6


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`xpjfiftmry nme`j fie im `xpjfiftmry dmrr`jftlmis wltc slkilbldfit mut-mb-sfnpj` dmrr`jftlmis wcì

uslik tc` prèldtlv` nme`j. NWU n`trlds slnljfrjy mbb`rè spfrs` `xpjfiftmry fie prèldtlv`

dmrr`jftlmis. Mur s`durlty uilv`rs` dmislstè mb fpprmxlnft`jy 477 survlvlik T&W 077 dmnpfil`s bmr

tcr`` 66-y`fr p`rlmes1 Afiufry 6


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7

07

677

607

?77

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477

407

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Predicting Risk-Return Performance Using UPM-LPM Metrics

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