Essays about: "Jensen’s Alpha"

Showing result 1 - 5 of 6 essays containing the words Jensen’s Alpha.

1. 1. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Alex Holm; Ellioth Tilly; Thomas Eklind; [2023-09-01]
   Keywords : Momentum strategies; Volatility; Excess return; Jensen s Alpha; Covid -19. 1;

   Abstract : The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. READ MORE

3. 2. Do actively managed Sweden funds yield higher return better than passively managed funds, during a volatile market, when taking risk into account?

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Allan Mohideen; Robin Lopes; [2023-08-25]
   Keywords : ;

   Abstract : This paper is examining if Swedish actively managed funds is creating more value for investors compared to Swedish index funds. The study is focused on the time period 2012-2022. Three risk-adjusted measurements are used to execute this mission. READ MORE

4. 3. Examining Inclusion of a Sustainability Criterion in Portfolio Optimization - Could an Investor Benefit from it?

   University essay from KTH/Matematik (Avd.)

   Author : Amin Klai; [2021]
   Keywords : Financial Mathematics; Portfolio Optimization; Sustainability; Finansiellmatematik; Portföljteori; Hållbarhet;

   Abstract : In today's society sustainability has become an important subject and has an impact on various sectors. Corporations include sustainability in their corporate strategy, which further affects the field of corporate finance. This has lead to a new insight among investors to include a sustainability criterion in their investment processes. READ MORE

5. 4. On the performance of microfinance investment funds - A quantitative study of the financial performance of 83 funds from 1998 to 2015

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Madeleine Brandt; Caroline Nacksten; [2015]
   Keywords : Microfinance investment vehicles; Microfinance investment funds; CAPM; Mutual fund performance; Socially responsible investments;

   Abstract : This thesis investigates the financial performance of microfinance investment funds (MFIFs), which are social impact investments investing in microfinance institutions (MFIs). Given that microfinance customers live in developing regions and pursue entrepreneurial businesses, the returns of MFIFs are supposedly uncorrelated with developed markets, and therefore marketed as providing investors with a diversification benefit. READ MORE

6. 5. The Effect of Managerial Changes in the Swedish Mutual Fund Industry

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marija Bikova; Arvis Tilgalis; [2011]
   Keywords : mutual funds; performance evaluation; skill; managerial change;

   Abstract : The following paper studies the effect of managerial changes on the performance of funds in the Swedish mutual fund industry. Jensen's alpha is used to measure funds' performance, and bootstrapped Student's t-tests are performed to identify differences between the pre-change and post-change alphas, fund flows, fees and fund sizes. READ MORE