Document Type : Research Paper
Authors
1 Ph.D. in Economics, Ferdowsi University, Mashhad, Iran
2 Assistant Professor Tarbiat Modares University
3 Economics, faculty of economics and social sciences, Bu-Ali Sina university, Hamedan, Iran
Abstract
One of the most important concerns of the National Pension Fund is the management of its long-term investment portfolio. Based on this, the present study examines the long-term investment portfolio, the largest subset of the fund, using the R2 Connectedness approach introduced by Naeim and colleagues (2023), during the period of 17/09/2013 to 22/09/2023. The results indicate that in terms of impact and vulnerability, Kachad, Foolad, Kegel, and Sharanol (Group One) have been significant influencers most of the time, transferring risk to the network. Conversely, Shapash, Pasa, Shakbair, and Webshahr (Group Two) have shown the highest vulnerability to the network. Therefore, during external shocks, risk transfers from Group One shares to the network and has the most significant impact on Group Two shares. In the network analysis and bear market, a high correlation is observed among the shares in the portfolio, with a threshold of -4%. Hence, portfolio adjustments are necessary under bearish market conditions. Additionally, in the bull market, with a threshold of +4%, there is no significant correlation among the shares. This indicates that there is no need for adjustments in the existing portfolio under these conditions. Furthermore, if there is an intention to sell shares, it is advisable to focus on risk-receiving companies, namely Pasargad Oil, Amir Kabir Petrochemical, Iran Yasa Tire, and Shahrekord Industrial Group, as these companies absorb the risks posed by Gole Gohar, Chadormelo, Mobarakeh Steel, and Iranol Oil companies.
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