Essays about: "Sharpe Ratio"

Showing result 1 - 5 of 106 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. Evaluating the Viability of Merger Arbitrage in Nordic Equities

    University essay from Uppsala universitet/Nationalekonomiska institutionen; 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

  4. 4. 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

  5. 5. Break Point Detection for Strategic Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Erika Madebrink; [2019]
    Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE