Levels of economic concentration for the Treynor-Black model
The levels of economic concentration in investment portfolios are studied using the Herfindahl index (HI). From portfolios formed with the Treynor-Black (TB) model, only in its active part. Using the components included in the Dow Jones Industrial Average (DJIA) between 2000-2020. Although the TB mo...
| Autor: | |
|---|---|
| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2023 |
| País: | México |
| Recursos: | Instituto Tecnológico y de Estudios Superiores de Occidente |
| Repositório: | Redalyc-ITESO |
| OAI Identifier: | oai:redalyc.org:41375362009 |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=41375362009 https://www.redalyc.org/journal/413/41375362009/ https://www.redalyc.org/journal/413/41375362009/html/ https://www.redalyc.org/journal/413/41375362009/41375362009.epub https://www.redalyc.org/journal/413/41375362009/movil https://doi.org/10.24275/uam/azc/dcsh/ae/2023v38n98/Samaniego |
| Access Level: | Acceso aberto |
| Palavra-chave: | Economía y Finanzas CAPM Appraisal portfolio selection portfolio diversification |
| Resumo: | The levels of economic concentration in investment portfolios are studied using the Herfindahl index (HI). From portfolios formed with the Treynor-Black (TB) model, only in its active part. Using the components included in the Dow Jones Industrial Average (DJIA) between 2000-2020. Although the TB model outperforms the DJIA, it presents investment periods with a low HI. Portfolios with HI>=0.885 (between 11 to 17 assets) do not outperform the DJIA. On the contrary, when TB portfolios with HI<0.05 (a single asset, 20.7% of total observations) outperform the DJIA and the rest of the combinations with HI>0.05. Having an average return of 17.1%, with an 83.2% probability of outperforming the DJIA, and. 85.3% probability of returns above zero. |
|---|