Streaming Securities and Portfolio Performance: An Empirical Analysis

Abstract

In recent years the phenomenon of streaming has seen increased attention from investors as the consumption of digital content has increased, raising the question of whether streaming securities can enhance the performance of an investment portfolio. This thesis investigates the out-of-sample performance of including streaming securities to a baseline portfolio consisting of non-streaming securities, during the sample period from May 2020 to April 2023. We examine 48 distinct portfolios, each including streaming securities across three different strategies: global minimum variance, mean-variance and 1/N. These strategies are investigated for two different estimation windows, considering scenarios with and without short selling constraints. Additionally, we delve into how the risk preferences of an investor might influence the perceived attractiveness of including streaming securities to the baseline portfolio. Of the 48 portfolios investigated with streaming included, one portfolio consistently produces a positive Sharpe Ratio higher than that of the baseline portfolio across the two estimation windows, however this is associated with extreme downside risk. In essence, this thesis serves as a starting point for understanding the role of streaming securities in portfolio management.