تخصیص بهینه دارایی با استفاده از رفتار سیکلی کالاهای اساسی؛ رویکرد رژیم سوئیچینگ (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف: هدف پژوهش حاضر، تخصیص بهینه دارایی با استفاده از رفتار سیکلی کالاهای اساسی، رویکرد رژیم سوئیچینگ است. روش: برای این منظور 3 فلز اساسی مس، آلومینیوم و فولاد کنار طلا و ارز به عنوان کالاهای اساسی و داده های قیمت آنها به همراه شاخص بورس اوراق بهادار تهران طی دوره زمانی 3 دی 1387 تا 5 مهر 1399 تجزیه وتحلیل شد. به منظور تجزیه وتحلیل داده ها از تحلیل خوشه ای مبتنی بر رفتار تغییر رژیم داده ها استفاده و مدل های انتقال وضعیت مارکوفی بر روی داده ها برازش داده شد. سبدهای همگون و ناهمگون ازنظر رفتار تغییر رژیم، در دو رژیم صعودی و نزولی بازار تشکیل و معیارهای ارزیابی عملکرد سبد ها محاسبه شد. نتایج: نتایج نشان دهنده آن بود که متنوع سازی سبد از طریق نمادهای موجود در خوشه همگون، به بهترین عملکرد سبد در روندهای نزولی منجر می شود؛ در حالی که در روندهای صعودی، متنوع سازی با استفاده از فلزات اساسی در خوشه ناهمگون، باعث بهترین عملکرد می شود. به طور کلی نتایج حاکی از این است که استفاده از کالاهای اساسی به منظور متنوع سازی سبد، به حصول نتایج بهتری در عملکرد منجر می شود.Asset Allocation Based on Cyclical Behavior of Commodities: Regime-Switching Approach
The purpose of the current study was the optimal allocation of assets using the cyclical behavior of commodities. For this purpose, the three commodities of copper, aluminum, and steel, along with gold and foreign exchange rate, were studied and their price data, along with the Tehran Stock Exchange (TSE) index during the period of January 2, 2009, to September 26, 2020, were analyzed. To examine the data, cluster analysis was used based on regime change behavior and Markovian state transition models were fitted to the data. Homogeneous and heterogeneous portfolios were constructed in terms of regime change behavior in both ascending and descending market regimes and the performance evaluation criteria of the portfolios were calculated. The results showed that portfolio diversification through the assets in the homogeneous cluster led to the best portfolio performance in the descending trend, while diversification by using commodity metals in the heterogeneous cluster might become the best performance in the ascending trend. In general, the results demonstrated that the use of commodities to diversify the portfolio led to better results in portfolio performance. Introduction Diversification of financial investments is an important principle that is widely accepted. However, for years, asset allocation decisions have been limited to bonds and stocks. Low risk-free interest rates and bearish markets, which have characterized the beginning of the new millennium, have strengthened investors' interests in new types of asset classes. Previously, commodities provided high returns that attracted the investors’ attention. In addition, research has shown that investing in commodities may protect the values of investor's assets against inflation because commodity prices follow the inflation rate. Therefore, investment in this asset class has been gradually taken into consideration based on a series of securities, including future contracts and option contracts in the stock market. As a result, the methods of diversifying asset portfolio by using commodities have attracted the researchers and investors’ attention. However, goods show a cyclical behavior and experience intermittent and generally irregular upward and downward trends under the influence of environmental conditions. Thus, identifying the cyclical behavior of commodity prices has been one of the requirements of research in this field. Accordingly, in the current research, portfolio diversification through basic goods was discussed about their cyclical behavior and the Markov feature of state transfer was taken into consideration to control the cyclical behavior of the data. Markov switching-regime models act as a filtering process that takes outlier data into account and depicts the output of the cyclic behavior of fluctuations. In this research, first, portfolio diversification was discussed by using asset clustering in the investment portfolio. Then, by relying on Markov switching models, the cyclical behavior of prices was analyzed in each asset. Finally, the performance of the portfolio composed of these assets was compared through the two methods of Markowitz and Tangency Method and Data In terms of method, this study was a descriptive research based on cluster analysis, posterior probabilities, and Markov switching-regime regression models, in which the time series data analysis method was used. Analysis of the research data was done using R software. The data studied in this research included the values of the total stock market index (as a representative of the overall performance of companies in the stock market), free exchange rates (dollars), coin prices, and the prices of basic commodities, such as aluminum, copper, and steel. The value of the total index was collected from the website of Tehran Stock Exchange Technology Management Company, prices of the metals were collected from the London Metal Exchange, and the daily prices of coins and currencies were collected from the website of Rahavardnovin. Findings The set of 6 studied variables could be classified into 2 clusters. The first cluster included the stock market index (index), exchange rate (Ex), and coin (gold) and the second cluster consisted of basic commodities, i.e., copper (Cu), steel (steel), and aluminum (Al). The second stage of variable clustering showed that the stock market index, coin, and exchange rate had similar upward and downward regimes in the first cluster and the basic commodities of copper, aluminum, and steel had similar upward and downward regimes in the second cluster as well. Adding currency, gold, and basic commodities to the investment portfolio in the downward and upward trends of the market (Markov regime) led to a change in the return of investment in the stock market and thus diversified the portfolio. Conclusion and discussion In declining market conditions, combination of investment in the index and the basic commodities of copper, aluminum, and steel can lead to an increase in portfolio returns, while combination of assets in a rising market should be based on investing in the index, currency, and gold.
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