Essays about: "Market Neutral Strategy"

Showing result 11 - 15 of 27 essays containing the words Market Neutral Strategy.

1. 11. A Return Maximizing Strategy in Market Rebounds for Swedish Equity Funds

   University essay from KTH/Matematisk statistik

   Author : Carl Sävendahl; Erik Flodmark; [2019]
   Keywords : Applied Mathematics; Multiple Linear Regression; Swedish Equity Funds; Macroeconomics; Market Rebound; Fund Performance; Stocks; Tillämpad Matematik; Multipel Linjär Regression; Svenska Aktiefonder; Makroekonomi; Market Rebound; Fondavkastning; Aktier;

   Abstract : The growing interest in savings on the financial markets implicates that the competition is expanding and managers of Swedish equity funds need to create shareholder value, independent of the macroeconomic situation. The Swedish financial market experienced a rapid rebound during the first quarter of 2019, following the plunge in the preceding quarter. READ MORE

3. 12. Pairs Trading in Swedish Investment Companies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Pascal Dettwiler; Edvin Larsson; [2019]
   Keywords : Pairs trading; Investment Company; Traded at Discount; Bollinger Bands; Moving Average; Trading Strategy; Algorithmic Trading; Algo trading; Business and Economics;

   Abstract : The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. READ MORE

4. 13. Evaluating the Viability of Merger Arbitrage in Nordic Equities

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Victor Hansen; Erik Lindholm-Röjestål; [2019]
   Keywords : Merger arbitrage; Nordic equity market; Mergers Acquisitions; Risk arbitrage; Cash mergers;

   Abstract : This thesis aims to examine whether a merger arbitrage strategy is able to generate market neutral alpha in the Nordic region. Similar studies of merger arbitrage strategies in both the US and Australian market find market neutral alpha. READ MORE

5. 14. Statistical Arbitrage Using Cross-Market Pairs Trading

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Boltenstål; [2018]
   Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

   Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE

6. 15. Portfolio construction based on value and momentum: a winning strategy?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Andreas Grann; [2017]
   Keywords : Value; momentum; portfolios; stocks; Business and Economics;

   Abstract : This study examines if there are positive effects of constructing portfolios based on value and momentum. Three value portfolios (low, medium, high) and three momentum portfolios are constructed using large cap stocks from the four Nordic Nasdaq OMX exchanges. The portfolios are then re-sorted on an annual basis over the test period 2005-2016. READ MORE