Different portfolio performance based on momentum strategy, market neutral strategy and PEG ratio in volatile market

Research Article
Open access

Different portfolio performance based on momentum strategy, market neutral strategy and PEG ratio in volatile market

Sijie Weng 1*
  • 1 The Australian National University    
  • *corresponding author u6749319@anu.edu.au
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/15/20230857
AEMPS Vol.15
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-73-7
ISBN (Online): 978-1-915371-74-4

Abstract

This paper aims to analyze the return of the investment portfolio based on the judgment of the current market, combining the characteristics of the strategy and the situation of the applicable industry. At present, many research papers have an aperture in understanding and practical application of the above topics, because they have not been comprehensively presented from multiple perspectives such as market and industry conditions and strategic characteristics. Momentum strategy, market neutral strategy and PEG ratio are selected here, combined with representative stocks in the consumer industry, energy industry, Internet and real estate for portfolio construction. By selecting the S&P 500 as a benchmark, it is compared with the historical price trend of individual stocks and the performance of the issuing company. While individual stock prices fluctuate significantly more than the benchmark, it is still possible to judge from the price action which strategy is more suitable. Based on the above analysis, it can be intuitively seen that momentum strategies and market neutral strategies are more suitable for the moment. It has reference value for strategy selection and construction in volatile markets. The analysis of the PEG ratio is relatively simple, and the ratio is only used as the adjustment and correction of the price-earnings ratio, and there are still many defects.

Keywords:

investment strategies, industry segments, portfolio output

Weng,S. (2023). Different portfolio performance based on momentum strategy, market neutral strategy and PEG ratio in volatile market. Advances in Economics, Management and Political Sciences,15,1-12.
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References

[1]. Nicholas, J.G., 2000. Market neutral investing. Princeton, NJ: Bloomberg Press.

[2]. Beliossi, G., 2002. Market neutral strategies. The Journal of Alternative Investments, 5(2), pp.93-96.

[3]. Daniel, K., Jagannathan, R. and Kim, S., 2012. Tail risk in momentum strategy returns (No. w18169). National Bureau of Economic Research.

[4]. Daniel, K., Jagannathan, R. and Kim, S., 2012. Tail risk in momentum strategy returns (No. w18169). National Bureau of Economic Research.

[5]. Meher, B.K. and Sharma, S., 2015. Is PEG Ratio a Better Tool for Valuing the Companies as Compared to P/E Ratio? (A Case Study on Selected Automobile Companies). International Journal of Banking, Risk and Insurance, 3(2), pp.48-52.

[6]. Easton, P.D., 2004. PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital. The accounting review, 79(1), pp.73-95.

[7]. Ahmad, W., Kutan, A.M. and Gupta, S., 2021. Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets. International Review of Economics & Finance, 75, pp.546-557.

[8]. Fauzi, R. and Wahyudi, I., 2016. The effect of firm and stock characteristics on stock returns: Stock market crash analysis. The Journal of Finance and Data Science, 2(2), pp.112-124.

[9]. Piotroski, J.D. and Roulstone, D.T., 2004. The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm‐specific information into stock prices. The accounting review, 79(4), pp.1119-1151.

[10]. Che, J., 2018. Investment Analysis about China’s IT Company—The Tencent Holdings Limited. Modern Economy, 9(6), pp.1112-1120.

[11]. Liu, F. and Wen, H., 2019, September. Analysis of Profitability of Real Estate Enterprises Taking LONGFOR as an Example. In The 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019) (pp. 325-329). Atlantis Press.

[12]. Longxing, B., 2016. The advantages and Disadvantages of the Market Neutral Strategy. Available at: http://www.baiven.com/f/90/210179.html (Accessed: 15th October 2022)

[13]. Zhongtai, Securities., 2022. The conflict between Russia and Ukraine reshapes the international coal trade pattern, and listed companies continue to improve their operations and seize the opportunity for profit certainty, Financial, 25th July. Available at: https://baijiahao.baidu.com/s?id=1739284392022759425&wfr=spider&for=pc (Accessed: 15th October 2022)

[14]. Digital Information World., 2021. Zoom vs Google Meet vs Microsoft Teams: New data. reveals the WORLD'S most POPULAR video calling platform. Available at: https://www.digitalinformationworld.com/2021/04/top-video-call-platform-by-market-share.html# (Accessed: 15th October 2022)

[15]. Xinhua News., 2022. Summary: More than 50,000 confirmed cases of monkeypox world. wide, many countries strengthen monkeypox prevention and control. Available at: http://www.news.cn/tech/2022-09/01/c_1128967821.htm (Accessed: 5th October 2022)

[16]. SIGA Human BioArnor., 2022. Press Release Details. Available at: https://investor.siga.com/news-releases/news-release-details/siga-announces-collaboration-oxford-university-support-expanded (Accessed: 15th October 2022)

Cite this article

Weng,S. (2023). Different portfolio performance based on momentum strategy, market neutral strategy and PEG ratio in volatile market. Advances in Economics, Management and Political Sciences,15,1-12.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2nd International Conference on Business and Policy Studies

ISBN：978-1-915371-73-7(Print) / 978-1-915371-74-4(Online)
Editor：Javier Cifuentes-Faura, Canh Thien Dang
Conference website: https://2023.confbps.org/
Conference date: 26 February 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.15
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. Nicholas, J.G., 2000. Market neutral investing. Princeton, NJ: Bloomberg Press.

[2]. Beliossi, G., 2002. Market neutral strategies. The Journal of Alternative Investments, 5(2), pp.93-96.

[3]. Daniel, K., Jagannathan, R. and Kim, S., 2012. Tail risk in momentum strategy returns (No. w18169). National Bureau of Economic Research.

[4]. Daniel, K., Jagannathan, R. and Kim, S., 2012. Tail risk in momentum strategy returns (No. w18169). National Bureau of Economic Research.

[5]. Meher, B.K. and Sharma, S., 2015. Is PEG Ratio a Better Tool for Valuing the Companies as Compared to P/E Ratio? (A Case Study on Selected Automobile Companies). International Journal of Banking, Risk and Insurance, 3(2), pp.48-52.

[6]. Easton, P.D., 2004. PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital. The accounting review, 79(1), pp.73-95.

[7]. Ahmad, W., Kutan, A.M. and Gupta, S., 2021. Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets. International Review of Economics & Finance, 75, pp.546-557.

[8]. Fauzi, R. and Wahyudi, I., 2016. The effect of firm and stock characteristics on stock returns: Stock market crash analysis. The Journal of Finance and Data Science, 2(2), pp.112-124.

[9]. Piotroski, J.D. and Roulstone, D.T., 2004. The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm‐specific information into stock prices. The accounting review, 79(4), pp.1119-1151.

[10]. Che, J., 2018. Investment Analysis about China’s IT Company—The Tencent Holdings Limited. Modern Economy, 9(6), pp.1112-1120.

[11]. Liu, F. and Wen, H., 2019, September. Analysis of Profitability of Real Estate Enterprises Taking LONGFOR as an Example. In The 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019) (pp. 325-329). Atlantis Press.

[12]. Longxing, B., 2016. The advantages and Disadvantages of the Market Neutral Strategy. Available at: http://www.baiven.com/f/90/210179.html (Accessed: 15th October 2022)

[13]. Zhongtai, Securities., 2022. The conflict between Russia and Ukraine reshapes the international coal trade pattern, and listed companies continue to improve their operations and seize the opportunity for profit certainty, Financial, 25th July. Available at: https://baijiahao.baidu.com/s?id=1739284392022759425&wfr=spider&for=pc (Accessed: 15th October 2022)

[14]. Digital Information World., 2021. Zoom vs Google Meet vs Microsoft Teams: New data. reveals the WORLD'S most POPULAR video calling platform. Available at: https://www.digitalinformationworld.com/2021/04/top-video-call-platform-by-market-share.html# (Accessed: 15th October 2022)

[15]. Xinhua News., 2022. Summary: More than 50,000 confirmed cases of monkeypox world. wide, many countries strengthen monkeypox prevention and control. Available at: http://www.news.cn/tech/2022-09/01/c_1128967821.htm (Accessed: 5th October 2022)

[16]. SIGA Human BioArnor., 2022. Press Release Details. Available at: https://investor.siga.com/news-releases/news-release-details/siga-announces-collaboration-oxford-university-support-expanded (Accessed: 15th October 2022)

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