Essays about: "risk-adjusted returns"

Showing result 1 - 5 of 131 essays containing the words risk-adjusted returns.

  1. 1. Capturing Tail Risk in a Risk Budgeting Model

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

    Author : Filip Lundin; Markus Wahlgren; [2020]
    Keywords : ;

    Abstract : Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. READ MORE

  2. 2. The Effect of ESG on a Global Fund Market - Integrating Environmental, Social and Governance (ESG) in the investment strategy: A Global Market Research

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Hanna Björkman; Michael Erlandsson; [2019-07-12]
    Keywords : ESG; global funds; environmental responsibility; social responsibility; corporate governance; responsible investments; impact investments; Morningstar;

    Abstract : This paper investigates the different performances of global funds when implementing an ESG-strategy during the period 2013 to 2018. Using the from Morningstar Direct, consisting of return, Morningstar Sustainability Rating, Morningstar Portfolio Sustainability Score, Portfolio Controversy level and Environmental-, Social-, and Governance- Score, we conduct the regression analysis using the Fama French Carhart model. READ MORE

  3. 3. 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

  4. 4. The Era of Socially Responsible Investing: Performance of Swedish Socially Responsible Funds During Market Crises

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Skantz; Adam Björndal; [2019]
    Keywords : Socially responsible investing; Equity mutual funds; Market crises; Swedish fund market; Fund performance evaluation;

    Abstract : Using a unique dataset of 160 Swedish equity mutual funds over the 2000-2016 period, this paper provides a comprehensive analysis of the performance of socially responsible funds. Compared to characteristics-matched conventional funds, socially responsible funds outperform during periods of market crises. READ MORE

  5. 5. ESG investing in the Eurozone : Portfolio performance of best-effort and best-in-class approaches

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Kajsa Andersson; Simon Mårtensson; [2019]
    Keywords : ESG; sustainable finance; sustainable investing; portfolio performance; risk-adjusted returns; abnormal returns;

    Abstract : The last decades have seen a rapid increase of sustainable investing, also known as ESG (Environmental, Social and Governance) investing. There has also been an increasing body of academic literature devoted to whether investors can gain any financial benefits from taking ESG under consideration. READ MORE