MANAGEMENT OF QUANTINE PORTFOLIOS AS A SOURCE OF ACTIVE RETURN Cover Image

УПРАВЛЕНИЕ НА КВАНТИЛНИ ПОРТФЕЙЛИ КАТО ИЗТОЧНИК НА АКТИВНА ДОХОДНОСТ
MANAGEMENT OF QUANTINE PORTFOLIOS AS A SOURCE OF ACTIVE RETURN

Author(s): Nikola Iliychev Iliev, Beatrice Ventsislavova Lyubenova
Subject(s): Economy
Published by: Бургаски свободен университет
Keywords: Alpha; Information Coefficient; Information Ratio; Predictor
Summary/Abstract: Fundamental for the modern capital markets, the process of portfolio management is key for the success of each investor. It’s evolution into the active portfolio management transforms it to a process of estimation of excess return over the market – alpha. The investor realizes it if he transforms the passive portfolio into an active one. A question arises is it possible to realize return over the market without pass through a passive portfolio? The answer of this question can be found in the quintile portfolio