Essays about: "Return to Risk Ratio"

Showing result 21 - 25 of 147 essays containing the words Return to Risk Ratio.

1. 21. Impact of Transaction costs on dynamic portfolio optimizations : A comparison of active and passive investing in the realm of the Swedish stock market

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Toma Georgiev; Harbi Kurmakhadov; [2022]
   Keywords : Dynamic Optimization; Active Investing; Passive Investing; Transaction Costs; OMX30; Modern Portfolio Theory;

   Abstract : A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. READ MORE

3. 22. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Donatas Gadlijauskas; Evelina Sarul; [2022]
   Keywords : ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

   Abstract : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). READ MORE

4. 23. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : André Aho; Simon Löw; [2022]
   Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

   Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

5. 24. To Spin Off or Not To Spin Off?

   University essay from Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi; Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Henrik Nyberg; Johan Fohlin; [2022]
   Keywords : Spin-offs; Corporate Focus; Abnormal Returns; Operating Performance; Sharpe Ratio;

   Abstract : This study investigates the value creation of U.S. spin-offs undertaken between 2010 and 2017 from three perspectives. Firstly, shareholder wealth creation is analyzed through tests on unadjusted abnormal announcement-day returns and unadjusted abnormal long-term returns. READ MORE

6. 25. 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