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Register a new useran optimal investment portfolio of all securities listed on the Damascus Stock Exchange
تشكيل المحفظة الاستثمارية المثلى
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سوق دمشق للأوراق المالية ورقة بحثية
Publication date
2018
fields
Financial
and research's language is
العربية
Created by
Majd Khoudari
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هدف هذا البحث الى تشكيل محفظة استثمارية مثلى من كافة الأوراق المالية المدرجة في سوق دمشق للأوراق المالية، وذلك اعتماداً على الأسعار التاريخية للأسهم الشركات المدرجة وذلك باستخدام أداة Solver ببرنامج Excel، حيث تمت دراسة تحليلية بسيطة لسوق دمشق للأوراق المالية ولوحظ ارتفاع مؤشر سوق دمشق للأوراق المالية منذ بداية الفترة المدروسة في العام 2010 وحتى 2017 بشكل كبير، حيث لوحظ ارتفاعه في العام 2017 بشكل واضح نتيجة زيادة عمليات التداول وكبر أحجام التداول، إضافة الى ارتفاع أسعار الأسهم نتيجة زيادة الطلب عليها مما حقق للسوق المركز الأول عربياً في الأداء بين مؤشرات الأسواق العربية. ومن ثم تم تشكيل محفظة مالية مثلى بعائد قدره 1.79% وقيمة مخاطر بحدود 6.17% وبتسعير مخاطرة بحدود 0.29 وحققت أقل مخاطرة من أغلبية الشركات، إضافةً الى ضمانها أعلى عائد في المحفظة في الوقت نفسه أقل مخاطرةً، كما لوحظ سيطرة القطاع المصرفي على سوق دمشق للأوراق المالية بشكل كبير، حيث تكونت المحفظة من 21 ورقة مالية بينهم 11 ورقة من قطاع المصارف أي بحدود 52.3% و6شركات تأمين أي بحدود 27.7% وشركة صناعية واحدة وشركة خدمات واحدة. إضافة الى ذلك تم تشكيل محفظة استثمارية أخرى مثقلة بالقيم السوقية للأسهم الشركات المدرجة لنهاية العام 2017 وبعائد للمحفظة الكلية قدره 2.13% وقيمة مخاطر بحدود 15.68% وبتسعير مخاطرة بحدود 0.1358. وقد تكونت المحفظة من 21 ورقة مالية بينهم 10 ورقات من قطاع المصارف أي بحدود 47% و6شركات تأمين أي بحدود 27.7% وشركة صناعية واحدة وشركتين خدمات. وهذا يدل على مدى استحواذ القطاع المصرفي السوري للمحفظة الاستثمارية المثلى.
The objective of this research was to create an optimal investment portfolio of all securities listed on the Damascus Stock Exchange based on the historical prices of the listed companies by using the Solver tool in Excel. A simple analytical study was conducted for Damascus Stock Exchange. Since the beginning of the period studied in 2010 to 2017 significantly, where the increase was observed in 2017 clearly as a result of increased trading and large volumes. Thus, an optimal financial portfolio was formed with a yield of 1.79%, a risk value of 6.17% and a risk pricing of 0.29 and a lower risk than the majority of companies, in addition to ensuring the highest return in the portfolio at the same time less risk. The portfolio consists of 21 securities, including 11 from the banking sector, ie 52.3%, 6 insurance companies, or 27.7%, one industrial company and one service company. In addition, another investment portfolio was formed, weighted by the market values of listed companies for the end of 2017, a return of total portfolio of 2.13%, a risk value of 15.68% and a risk pricing of 0.1358. The portfolio consisted of 21 securities, including 10 from the banking sector, ie 47%, 6 insurance companies, or 27.7%, one industrial company and two service companies. This indicates the extent to which the Syrian banking sector has acquired the optimal investment portfolio.
References used
30. Richard C. Marston, Portfolio Design: A Modern Approach to Asset Allocation, 2011.
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