Essays about: "Equal-weighted portfolios"

Found 5 essays containing the words Equal-weighted portfolios.

  1. 1. Quantitative Investment Strategies on the Swedish Stock Market

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Jonatan Knutsson; Gabija Telešova; [2023]
    Keywords : Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

    Abstract : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. READ MORE

  3. 2. Diversification benefits for Swedish investors : A comparison of benefits from before and after the financial crisis 2007/2008

    University essay from Högskolan i Jönköping/IHH, Nationalekonomi

    Author : Joakim Walldoff; [2019]
    Keywords : International Diversification; Correlations; Equity Markets; Diversification Benefits;

    Abstract : Background: Investing internationally is easier than ever before, with the rise of the internet, unification of accounting standards, and faster flow of information. Yet, many argue that due to increasing global equity market correlations, it is getting increasingly hard to attain benefits from international diversification. READ MORE

  4. 3. The Low Risk Anomaly Evidence from Sweden

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Brodén; Jonathan Fransson; [2015-07-13]
    Keywords : ;

    Abstract : This paper finds that the low risk anomaly is present on NASDAQ OMX Stockholm during January 2005 until December 2014. The result has been produced with a survivorship bias-free sample, consisting of 25 108 firm-month observations in total. READ MORE

  5. 4. Evaluation of Alternative Weighting Techniques on the Swedish Stock Market

    University essay from KTH/Matematisk statistik

    Author : Erik Finnerman; Carl Robin Kirchmann; [2015]
    Keywords : ;

    Abstract : The aim of this thesis is to evaluate how the stock index SIX30RX compares against portfolios based on the same stock selection but with alternative weighting techniques. Eleven alternative weighting techniques are used and divided into three categories; heuristic, optimisation and momentum based ones. READ MORE

  6. 5. A Modified Sharpe Ratio Based Portfolio Optimization

    University essay from KTH/Matematisk statistik

    Author : Pär Lorentz; [2012]
    Keywords : Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk;

    Abstract : The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. READ MORE