Essays about: "Sharpe Ratio"

Showing result 1 - 5 of 115 essays containing the words Sharpe Ratio.

  1. 1. Financial Performance of Firms with Low Respectively High ESG Scores - A study of the US Technology sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Hanna Lindbo; Diana Salim; [2019-02-21]
    Keywords : ESG; Technology sector; Risk-adjusted return; Sharpe Ratio;

    Abstract : This study investigates the relationship between financial performance and ESG score over a five-year time period, January 2013 to January 2018, in the US market. To examine this, two small cap portfolios is constructed, one consisting of firms with high ESG scores and one with low ESG scores. READ MORE

  2. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

  3. 3. Portfolio Optimization Using the Atkinson Index

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Nils Billgert; [2019]
    Keywords : atkinson index; performance measure; portfolio optimization; Business and Economics;

    Abstract : Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. READ MORE

  4. 4. Magic Formula has its magic and Momentum has its moments. : -A study on magic formula and momentum on the Swedish stock market.

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Erik Sjöbeck; Joel Verngren; [2019]
    Keywords : Investment strategies; Magic formula; Momentum; Efficient market hypothesis; Swedish stock market; CAPM; Sharpe ratio;

    Abstract : The study examines how the investment strategy Magic Formula (Greenblatt, 2006) has performed on the Swedish stock market. It is also investigated how the performance is affected when the strategy is combined with momentum. READ MORE

  5. 5. Measuring the impact of strategic and tactic allocation for managed futures portfolios

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Alva Engström; Filippa Frithz; [2019]
    Keywords : ;

    Abstract : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. READ MORE