Search for essays about: "Sharpe ratio"

Showing result 1 - 5 of 12 essays containing the words Sharpe ratio.

  2. 1. Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market

    University essay from Umeå universitet/Handelshögskolan vid Umeå universitet

    Author : Daniel Sundqvist; [2009]
    Keywords : Hedge funds; portfolio optimization; markowitz; mean-variance; efficient frontier; case study; skewness; kurtosis; sortino ratio; sharpe ratio; downside deviation; omega ratio;

    Abstract : Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. READ MORE

  4. 2. Back Testing the "Magic Formula" in the Nordic Region:

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Victor Persson; Niklas Selander; [2009]
    Keywords : Efficient Markets; Magic Formula; Joel Greenblatt;

    Abstract : We will in this thesis back test Joel Greenblatt’s magic formula on stocks in the Nordic Region between January 1st 1998 and January 1st 2008. We will compare the return with benchmarks such as MSCI Nordic and S&P 500 as well as the return predicted by the Capital Assets Pricing Model (CAPM) and Fama French’s three factor model. READ MORE

  5. 3. Fund Management Companies: Linking Performance to Characteristics

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alok Alström; Anna Blomstrand; [2009]
    Keywords : Fund Management Companies; Performance; Characteristics; Sweden;

    Abstract : The purpose of this thesis is to examine links between characteristics attributable to Fund Management Companies (FMCs) and the performance of funds within FMCs. The thesis studies the performance of 108 Swedish equity funds between the beginning of 2004 and the end of 2008 and attempts to link the performance of the funds to characteristics of the 31 Swedish FMCs they belong to. READ MORE

  6. 4. A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List

    University essay from Mälardalens högskola/Institutionen för matematik och fysik; Mälardalens högskola/Institutionen för matematik och fysik

    Author : Oliver Bjärnbo; Amir Kheirollah; [2007]
    Keywords : Optimisation; Portfolio theory; Stock Market; Markowitz; Excel Modeling; VaR; Sharpe ratio;

    Abstract : This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. READ MORE

  7. 5. Value at Risk (VaR) Method : An Application for Swedish National Pension Funds (AP1, AP2, AP3) by Using Parametric Model

    University essay from Högskolan i Skövde/Institutionen för teknik och samhälle; Högskolan i Skövde/Institutionen för teknik och samhälle

    Author : Eda Orhun; Blanka Grubjesic; [2007]
    Keywords : Value at Risk; DEAR; Pension funds; Risk management; Swedish pension plan; AP1; AP2; AP3;

    Abstract : Value at Risk (VaR) approach has been extensively used by investment and commercial banks since its development by JP Morgan in 1990s. As time passes, it has become interesting to investigate whether VaR could be used also by other financial intermediaries like pension funds and insurance companies. READ MORE