Essays about: "Fundamental indexation"

Showing result 1 - 5 of 7 essays containing the words Fundamental indexation.

1. 1. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

   University essay from Göteborgs universitet/Graduate School

   Author : Tommy Saliba; Philip Thulin; [2021-06-30]
   Keywords : Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

   Abstract : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. READ MORE

3. 2. Investigating the performance of fundamentally-weighted portfolios

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Katja Rasic; [2019]
   Keywords : Fundamental indexation; equally weighted portfolio; performance measures; Atkinson index; Business and Economics;

   Abstract : Market indices based on market capitalization have been argued to be the most mean-variance efficient for a long time. In recent years, this argument has been questioned and other methods of weighting portfolios have been suggested. One of these is the weighting by fundamental indexation. READ MORE

4. 3. Making Smart Money : An Evaluation of Fundamental Smart Beta Investment Strategies

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Oliver Eliassen; Amelie Dahlgren; [2017]
   Keywords : Alpha; Abnormal Returns; Smart Beta; Fundamental Indexation; Market Model; Value Investing; Swedish Stock Exchange;

   Abstract : In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. READ MORE

5. 4. Smart Beta ETFs. Smart Investment or Smart Marketing?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kristin Kjellberg; Catinka Träger; [2017]
   Keywords : Smart Beta; ETFs; Factor Investing; Portfolio Manage;

   Abstract : Smart Beta is a relatively new investment strategy that builds further on theses such as factor investing and fundamental indexation. As of now, there are conflicting views of this strategy. Hence, in this paper, we aim to find an answer to whether Smart Beta is indeed smart or not. READ MORE

6. 5. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index

   University essay from IHH, Economics, Finance and Statistics; IHH, Nationalekonomi

   Author : Ilya Kiselev; [2012]
   Keywords : Algorithmic trading; high-frequency trading; investment strategy;

   Abstract : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). READ MORE