Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange
Objective: In recent years, in particular after the 2008 financial crisis, factor investing received widespread attention from asset managers around the world. Due to the lack of enough research in this area in the Iranian capital market, the purpose of this study is to evaluate the performance of f...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2022-09-01
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| Series: | تحقیقات مالی |
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| Online Access: | https://jfr.ut.ac.ir/article_89448_d7f8fcda1c67d53e7e560489f214f86a.pdf |
| _version_ | 1797903247021703168 |
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| author | Saeed Bajalan Amin Ali Akbari Bidokhti |
| author_facet | Saeed Bajalan Amin Ali Akbari Bidokhti |
| author_sort | Saeed Bajalan |
| collection | DOAJ |
| description | Objective: In recent years, in particular after the 2008 financial crisis, factor investing received widespread attention from asset managers around the world. Due to the lack of enough research in this area in the Iranian capital market, the purpose of this study is to evaluate the performance of factor investing in the Tehran stock exchange (TSE).
Methods: In this research, the performance of five single-factor portfolios and three multi-factor portfolios were evaluated on Tehran Stock Exchange from 2014 to 2021. First, the five single-factor portfolios were made based on momentum, value, size, quality, and low volatility. Then, using the results of single-factor portfolios, three multi-factor portfolios were made based on equal weight (1/N), inverse volatility, and equal risk contribution (ERC). The results of single-factor and multi-factor portfolios were compared to overall and equal-weight indices.Results: The results achieved from all single-factor portfolios, except those from momentum, and all three multifactor portfolios were better than the overall index with a 95% confidence level. However, compared to the equal-weight index, the results were mixed and only the size factor and equal-weight multi-factor portfolios had better performance within a 95% confidence interval.Conclusion: The results of this study indicate that, during the time frame of this study, factor investing showed better performance than the overall index. Therefore, this type of investing can be considered a practical type of investment by investors and asset managers on the Tehran Stock Exchange. |
| first_indexed | 2024-04-10T09:29:53Z |
| format | Article |
| id | doaj.art-6aa271b402ee4172bf5ae269047e148f |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-04-10T09:29:53Z |
| publishDate | 2022-09-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-6aa271b402ee4172bf5ae269047e148f2023-02-19T06:43:24ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772022-09-0124335337410.22059/frj.2022.337065.100728289448Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock ExchangeSaeed Bajalan0Amin Ali Akbari Bidokhti1Assistant Prof., Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Tehran, Iran.MSc., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.Objective: In recent years, in particular after the 2008 financial crisis, factor investing received widespread attention from asset managers around the world. Due to the lack of enough research in this area in the Iranian capital market, the purpose of this study is to evaluate the performance of factor investing in the Tehran stock exchange (TSE). Methods: In this research, the performance of five single-factor portfolios and three multi-factor portfolios were evaluated on Tehran Stock Exchange from 2014 to 2021. First, the five single-factor portfolios were made based on momentum, value, size, quality, and low volatility. Then, using the results of single-factor portfolios, three multi-factor portfolios were made based on equal weight (1/N), inverse volatility, and equal risk contribution (ERC). The results of single-factor and multi-factor portfolios were compared to overall and equal-weight indices.Results: The results achieved from all single-factor portfolios, except those from momentum, and all three multifactor portfolios were better than the overall index with a 95% confidence level. However, compared to the equal-weight index, the results were mixed and only the size factor and equal-weight multi-factor portfolios had better performance within a 95% confidence interval.Conclusion: The results of this study indicate that, during the time frame of this study, factor investing showed better performance than the overall index. Therefore, this type of investing can be considered a practical type of investment by investors and asset managers on the Tehran Stock Exchange.https://jfr.ut.ac.ir/article_89448_d7f8fcda1c67d53e7e560489f214f86a.pdffactor investingfactorlow volatilityinverse volatilityequal risk contribution |
| spellingShingle | Saeed Bajalan Amin Ali Akbari Bidokhti Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange تحقیقات مالی factor investing factor low volatility inverse volatility equal risk contribution |
| title | Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange |
| title_full | Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange |
| title_fullStr | Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange |
| title_full_unstemmed | Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange |
| title_short | Performance Evaluation of Factor Investing (Smart Beta) in Tehran Stock Exchange |
| title_sort | performance evaluation of factor investing smart beta in tehran stock exchange |
| topic | factor investing factor low volatility inverse volatility equal risk contribution |
| url | https://jfr.ut.ac.ir/article_89448_d7f8fcda1c67d53e7e560489f214f86a.pdf |
| work_keys_str_mv | AT saeedbajalan performanceevaluationoffactorinvestingsmartbetaintehranstockexchange AT aminaliakbaribidokhti performanceevaluationoffactorinvestingsmartbetaintehranstockexchange |