Page 163 - Contributed Paper Session (CPS) - Volume 8

CPS2225 Retno Subekti et al.
without short sale. We observed all the portfolio value in next period and
described it in the following graph to see when we adjust the view.

Portfolio return

100.00%

0.00%
1 2 3 4 5 6 7 8 9 10 11 12
-100.00%
fMA2 fMA3 fMA4 fMA5 fMA6

Figure 3. Porfolio Return Observed

For almost entire investment, the portfolio in underperform and in loss
condition for all views until time t+11. In this situation, we still wait and hold
the portfolio and in t=12 the portfolio can be executed because we will gain
the positive return. Based on the graph, we get the best estimate view for the
next period is resulted from MA-3. This portfolio is continued to execute in the
next second period (May 8, 2017- July 17, 2017), for that reason, we update
the views based on each MA, weight BL-2 in Fig.3.
The bar chart in Fig.3 provide the allocation for those assets after the
adjusted views. There is a change for each asset extremely for UNTR and
UNVR, while SMGR has a less proportion.

weight BLupdate

10
5

0
MA2 MA3 MA4 MA5 MA6
-5
UNTR UNVR SMGR

Figure 4. Renew weight BL based on updating views.
We observe then the following value of portfolio based on the new views
in Fig 4. In order to find the best estimate for view, we compare the result of
portfolio return with the fix view from the beginning in the Fig. 5.

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