اختبار عملي لأداء استراتيجية Dow10 للاستثمار في بورصة عمان

Abstract EN

This study aimed at investigating the investment performance of the Dow10 strategy based on Dividend Yield in Amman Stock Exchange and the effect of portfolio weighting method.

It also addressed the sample type, risk, and transaction cost on its performance The study used monthly closing prices for all companies listed in Amman Stock Exchange.

In addition, the data on Annual Dividend for the period 1994 to 2009 were collected.

The study followed two methods of weighting to construct the portfolios, (Equally-Weighting and Value-Weighting).

The performance of these portfolios was compared with the performance of Market Portfolio composed of all companies listed in Amman Stock Exchange and also with the performance of Index Portfolio.

To achieve the objectives of the study, the compounded annual returns have been estimated before and after taking into account investment risk using Sharpe, Treynor, and Jensen indexes, and M² Index to calculate Risk and Transaction cost- Adjusted Return (RTcAR).

The results indicate that underperformance of Dow10 strategy on an absolute, risk and transaction cost -adjusted basis, with the exception of the outperformance of portfolio Dow10 equally weighted after taking into account the risk using Sharpe Index only.

The study shows no statistically significant differences between the performance of portfolios using different methods of weighting and the sample type.