Essays about: "Active-extension"

Found 2 essays containing the word Active-extension.

1. 1. Portfolio Strategies based on Fundamental Weighting: An Empirical Study of the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Anders Hansson; Gustav Vikström; [2010]
   Keywords : active extension; market value‐weighted; fundamental weighting; index; mean‐variance; Business and Economics;

   Abstract : Purpose: The aim of this study is to investigate if portfolios whose composition is based on fundamental values (FVs) outperform a market value (MV)-weighted benchmark portfolio in terms of mean-variance efficiency on the Swedish stock market. We also seek to answer if an investment strategy, which focuses on the difference in composition between these two weighting methods, can further enhance the assumed benefits by the use of active extension. READ MORE

3. 2. Performance, Benefits and Risks of Active-extension Strategies

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Carl Armfelt; Daniel Somos; [2008]
   Keywords : Active-extension; 130 30; 130-30; Enhanced Equity; Directional long-short; Portfolio theory;

   Abstract : How are long-only managers’ performance limited by the fact that they are constrained to no short selling? Applying a bootstrap statistical technique, we analyze the performance of active-extension strategies using 25 Fama-French portfolios formed on size and book-to-market. We show that a pool of active-extension portfolios outperform long-only portfolios, when the same alpha model is used. READ MORE