Breadcrumb

 
 

The performance of tilting strategies for the Toronto stock exchange 300 composite index

Title:

The performance of tilting strategies for the Toronto stock exchange 300 composite index

Murray, John Garrett (2000) The performance of tilting strategies for the Toronto stock exchange 300 composite index. Masters thesis, Concordia University.

[img]
Preview
PDF
3649Kb

Abstract

This research explores the performance of tilting strategies for the Toronto Stock Exchange 300 Composite Index during the period from February 1982 to December 1996. The emphasis is to create a rebalanced or tilted portfolio that has a significantly higher reward-to-risk ratio than the Toronto Stock Exchange 300 Composite Index. Passive tilting strategies are used in which the weights of all the stocks in the index are reallocated based on factors which empirical research have identified as being useful in predicting future returns. The factors studied are weight (size), earnings/price ratio, past return, and book-to-market ratio. The passive tilting portfolios are created by redistributing certain percentages of the total weight to increase holdings in stocks predicted to outperform and to decrease them for those stocks expected to underperform. Both single factor and multifactor strategies are examined. Both single factor and multifactor tilting strategies based on these variables do not perform well over the studied period. Similar results are also found for shorter subperiods. The results generally are not significant using the Jobson and Korkie test of significance for two portfolios. Therefore, based on these factors, the results suggest that the TSE 300 Index was efficient during the studied period.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Murray, John Garrett
Pagination:x, 82 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:John Molson School of Business
Date:2000
Thesis Supervisor(s):Kryzanowski, Lawrence D
ID Code:1165
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:17
Last Modified:08 Dec 2010 10:19
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Document Downloads

More statistics for this item...

Concordia University - Footer