Essays about: "Risk-adjusted equity returns"

Showing result 1 - 5 of 44 essays containing the words Risk-adjusted equity returns.

1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Oskar Fransson; [2023]
   Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

3. 2. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

   University essay from Lunds universitet/Statistiska institutionen

   Author : Niclas Wölner-Hanssen; [2023]
   Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

   Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

4. 3. Developing an Infrastructure Index in Accordance with Investor Expectations

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Ludvig Frykholm; Jacob Toresson; [2022]
   Keywords : infrastructure; infrastructure investments; infrastructure index; infrastructure asset class; index methodology; listed equity market; infrastruktur; infrastrukturinvesteringar; infrastrukturindex; infrastruktur som tillgångsklass; indexmetodik; aktiemarknad;

   Abstract : Infrastructure consists of facilities and services that are considered essential to the functioning and economic productivity of society (Preqin, 2022). The rapid economic growth over the past decades has led to an increase in the demand for fundamental functions such as energy, telecommunications, and transportation. READ MORE

5. 4. ESG and Risk-Adjusted Performance : A study on equity funds under Swedish management during the COVID-19 pandemic

   University essay from Södertörns högskola/Nationalekonomi

   Author : Clarissa Mao; Jawid Safa; [2022]
   Keywords : Socially responsible investment; ESG; Risk-adjusted performance; portfolio risk and standard deviation;

   Abstract : This research study examines the risk-adjusted performance and portfolio risk of 60 large cap equity funds - mutual funds - under Swedish management. These funds apply environmental, social and governance criteria in their investment strategies. READ MORE

6. 5. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE