The following portfolios are an essential component of the primary research conducted by the teaching and research staff of the Department of Accounting and Finance. However, please be aware that net realized returns may differ from gross returns due to factors such as exchange costs, commissions, and asset purchase prices. Moreover, past performance — whether actual or back-tested — is no indication or guarantee of future performance.
The Neutral Stock Index Portfolio (NSI/BH1Y):
The Neutral Stock Index (NSI) targets in measuring the constant systematic risk and hence, it is free from stocks with different betas in “up” and “down” markets. The constituents of the S&P 500 are used in the dataset.
| GROSS RETURNS ANNUALIZED (AUG 31, 2011) | |||
| 3 Yr | 5 Yr | 10 Yr | Since Dec 31, 1993 |
| 10.68% | 7.60% | 8.79% | 11.65% |
The Downside to Upside Portfolio (DtU/BH1Y):
The DtU portfolio contains stocks with positive beta changes from one year to another based on the ‘qualitative’ parameter b*. The constituents of the S&P 500 are used in the dataset.
| GROSS RETURNS ANNUALIZED (JUL 31, 2018) | |||
| 3 Yr | 5 Yr | 10 Yr | Since Dec 31, 1993 |
| 8.97% | 10.32% | 12.33% | 12.06% |
Mixture ‘QHMc’ Portfolio on Cryptos (M-QHMcC/BH1M):
This portfolio is based on certain values of Quadratic Herding Measure coefficients (QHMc) and a combination of high and low momentum portfolios on cryptoassets.
| ABSOLUTE PERFORMANCE (JUN 30, 2024) | |||
| 1m | 6m | 12m | Since Dec 31, 2021 (Annualized) |
| -12.06% | 72.40% | 213.6% | 58.46% |