Dissertation/Thesis Abstract

Evaluating Investment Strategies: Determining Whether Evaluation Uniformity Exists and if Impacts to Outcomes and Risks Occur
by Calivas, Harry, D.B.A., Capella University, 2019, 192; 13886994
Abstract (Summary)

This quantitative, nonexperimental dissertation served to research and evaluate equity investment strategies to determine whether evaluation uniformity existed in theory as well as in the literature and whether impacts to outcomes and risks occurred as a result. More specifically, this study was an effort to determine the relationships between equity investment strategies and different database universes, benchmarks, and indices in terms of return on investment (ROI) and risk-adjusted returns (Sharpe ratio) across good and poor market conditions. The rationale for understanding these relationships substantiated the need for evaluation uniformity when determining the database universe when performing an ex-ante evaluation. Six equity investment strategies were tested with three controlled database universes across good and poor market conditions utilizing data provided by Thomson Reuters. There were 72 data points compiled such that each equity investment strategy produced 12 outcomes and each database universe generated 24 outcomes. Five analysis tests were performed that included differential variance analysis, ranking analysis, risk analysis, correlation analysis, and parametric two-tailed t-test analysis. In general, the findings reflected that database universes had a strong influence on the outcomes for ROI and risk-adjusted returns (Sharpe ratio) over good and poor market conditions. As a result, because evaluation uniformity did not exist in theory and in the literature, impacts to outcomes and risks occurred when evaluating investment strategies, causing concerns related to past studies concerning bias, reliability, and validity. As such, a need was found to rally the academic and practitioner communities to pursue further research in this area to strengthen the evidence and rationale found in this study and to initiate efforts toward developing standards of uniformity.

Indexing (document details)
Advisor: Williams, Glendon
Commitee: Machnic, John, Weber, Henry
School: Capella University
Department: School of Business and Technology
School Location: United States -- Minnesota
Source: DAI-A 80/11(E), Dissertation Abstracts International
Subjects: Finance
Keywords: Determining benchmark indices, Equity investment strategy model evaluations, Multifactor investment strategies, Smart-beta strategies, Stock investment strategies, Stock selection investment strategies
Publication Number: 13886994
ISBN: 978-1-392-23283-5
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