The Effect of The Difference in Risk measurement Methodology on The Characteristics of The Equity Portfolios (An applied study on the Damascus Stock Exchange)

الملخص

The aim of this research is to study the effect of the difference in risk measurement methodology on the characteristics of equity portfolios by applying to a sample of companies listed in the Damascus Securities Market during the period (2/20/2019 - 11/11/2020).To achieve this goal, two investment portfolios were formed using two portfolio formation models that differ in terms of the methodology used in measuring risk, after measuring the expected returns from the candidate stocks for investment in each of the two portfolios in addition to measuring the degree of associated risk, depending on the closing prices of the shares published on  Damascus Securities Market website. The components of the first portfolio were chosen based on Mean-Variance Model. While the second components were chosen based on the single index model, and by comparing the portfolio characteristics resulting from the application of both models represented in (number of portfolio shares, the Weight of investment in each share, the return and risk of the portfolio), The effect of the different methodology for measuring risk on the characteristics of the equity portfolios is evident, given that each of the two models has its own way of measuring it. This difference in both the return and risk of the resulting portfolios, it was shown that the return of the portfolio resulting from the application of single index model over the return of its counterpart resulting from the application of the Mean-Variance Model.