A comparative study of a sample of companies listed on the Iraq

Stock Exchange for the period (2015-2025)
This Dissertation Submitted

To The Board of The College of Management And Economics-
University of Karbala in partial fulfillment of The Requirements

for The Dectoral of Philosophy In Business Administration

By

Mohammed Muhi Raheem Al-Janabi

Supervised by
Prof. Dr. Ali Ahmed Faris
Prof. Dr. Ahmed Kadhum Press

The study aims to build and evaluate investment portfolios managed by volatility using downside risk and then compare growth stocks and value, by finding an appropriate and more accurate model in measuring risk on logical foundations that take into account the volatility that the investor seeks to avoid only. and negative)

Hence the problem of the study emerged, when the level of volatility increases, the investor is exposed to two possibilities, which are the possibility of an upward movement or a downward movement, investors usually do not feel afraid of an upward movement but rejoice in it, but they are usually wary of downward movements, so the volatility of the negative side is the standard deviation of returns that fall below the average, and risk-averse investors who prefer safety to high returns focus only on the downside risk.

The current study community represents all companies listed on the Iraq Stock Exchange for the various economic sectors, while the study sample consisted of (35) companies during the period from (March 1, 2015 – until March 1, 2025). The study used a set of financial and statistical measures to achieve its objectives. The study reached a set of conclusions, the most important of which is that (volatility-managed investment portfolios have proven their effectiveness in reducing the level of overall risks by reducing exposure to highly volatile assets during periods of high market uncertainty. The growth portfolio also clearly demonstrated superior performance to the value and market portfolio). The study concluded with a number of recommendations, the most important of which is (Investors who wish to hedge against the risk of loss should adopt highly efficient volatility-managed investment portfolio construction models to measure downside risk, as they have demonstrated efficiency and superiority over the traditional investment portfolio).

Keywords:- Volatility-managed investment portfolio, downside risk, growth portfolio, value portfolio.