Essays about: "Value-weighted portfolios"

Showing result 1 - 5 of 20 essays containing the words Value-weighted portfolios.

1. 1. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

3. 2. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market

   University essay from Göteborgs universitet/Graduate School

   Author : Oscar Bodin; Pär Börjeson; [2023-06-29]
   Keywords : ;

   Abstract : This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. READ MORE

4. 3. Quantitative Investment Strategies on the Swedish Stock Market

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Jonatan Knutsson; Gabija Telešova; [2023]
   Keywords : Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

   Abstract : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. READ MORE

5. 4. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

6. 5. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Per Malm; [2022]
   Keywords : ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

   Abstract : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. READ MORE