Essays about: "Benchmark portfolios"

Showing result 21 - 25 of 80 essays containing the words Benchmark portfolios.

  1. 21. 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

  3. 22. Using Machine Learning to Predict Aggregate Excess Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
    Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

    Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE

  4. 23. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE

  5. 24. Analysis of the Performance of ETFs. A study on the US market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Thi Kim Lien Vu; Salome Tskhoidze; [2021]
    Keywords : ETF; portfolio optimization; Sharpe ratio; financial downturns; benchmark; Business and Economics;

    Abstract : Exchange Traded Funds are known as a relatively recent financial innovation and have been gaining investors' interest in recent years. The performance of ETF in comparison to other benchmarks is still the central concern when investors make an investment decision. READ MORE

  6. 25. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    University essay from KTH/Matematik (Avd.)

    Author : Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Keywords : Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE