TITLE:
Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return
AUTHORS:
Adler Haymans Manurung, Nera Marinda Machdar, John Edward Harly Jacob Foeh, Jhonni Sinaga
KEYWORDS:
Portfolio Construction and Return, Skewness and Quadratic Programming, Market Capitalization
JOURNAL NAME:
Open Journal of Business and Management,
Vol.11 No.3,
May
18,
2023
ABSTRACT: This study aims to investigate the effects of stock
selection while constructing a portfolio using Skewness as well as the factors
affecting portfolio return. This study was carried out in three stages: stock
selection based on skewness, asset allocation based on Quadratic Programming,
and portfolio return calculation based on market return and external factors.
To assess and select portfolios, this study employs a novel methodology that
combines key financial and non-financial characteristics with a skewness model.
The research’s findings are as follows. First, skewness could be used to select
the stocks that are added to a portfolio. Second, the market capitalization
weighted portfolio generated the best return compared to the other two
portfolios. Third, market return and the pandemic era have a significant impact
on portfolio returns that are equally weighted, market capitalization weighted,
and Markowitz weighted. Fourth, investors do not require fund management
expertise to manage investor funds.