Essays about: "Sharpe ratio"

Showing result 1 - 5 of 133 essays containing the words Sharpe ratio.

  1. 1. The Adoption of Artificial Intelligence in Swedish Funds

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Stephie Do; Tim Larsson; [2021-02-24]
    Keywords : Artificial intelligence; performance; funds; finance; asset management; portfolio theory; efficient market; behavioral finance.;

    Abstract : Fund managers have historically made use of traditional portfolio strategies such as Markowitz portfolio selection, as part of their decision making. But as the world has started to shift towards a more automated lifestyle, the question arises if fund management will follow. READ MORE

  2. 2. Performance Evaluation of Swedish and German Actively Managed Mutual Funds

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Robin Cederdahl; Simon Olofsson; [2021-02-18]
    Keywords : ;

    Abstract : There are many studies examining the performance of actively managed mutual funds in different markets. The results of these studies vary depending on the used model and market. READ MORE

  3. 3. Does the Active Country Momentum Portfolio Beat the Passive Market Portfolio? : an empirical study on exchange-traded funds

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet; Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Anton Ericsson; Anton Erickson; [2021]
    Keywords : Momentum strategy; Exchange-traded funds; Efficient markets; Inefficient markets; Sharpe ratio; Jensen’s alpha; Morningstar risk-adjusted return;

    Abstract : The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. READ MORE

  4. 4. Responsible Investing: Costs and Benefits. A Cross-Country Study in Europe.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Shayan Meskinimood; [2021]
    Keywords : Responsible investing; Environmental awareness; Portfolio performance; ESG-Sharpe Ratio frontier; ESG-adjusted CAPM.; Business and Economics;

    Abstract : This study employs the ESG-Sharpe Ratio frontiers framework and the ESG-adjusted CAPM model, introduced by Pedersen et al. (2020), to identify the costs and benefits of responsible investing and investigate the relationship between the environmental, social, and governance (ESG) issues and portfolio performance in different countries across Europe. READ MORE

  5. 5. The Best of Ideas Fund

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Benjamin Hausel; Carl Möllerström; [2021]
    Keywords : Concentration; diversification; active equity mutual funds; Jensen’s alpha; Sharpe-ratio; regression analysis; risk-adjusted return; best of ideas; Business and Economics;

    Abstract : We evaluated a sample of 78 diversified Actively Managed Equity Funds (AMEFs) with domestic holdings in Swedish stocks, in terms of historically risk-adjusted returns during the time period 2015-01-01 - 2019-12-31. Furthermore, we split our sample of AMEFs into two market capitalisation categories: Large/Mid-capitalisation (LMC) and Small/Mid- capitalisation (SMC). READ MORE