Sökning: "ETFs"

Visar resultat 1 - 5 av 38 uppsatser innehållade ordet ETFs.

  1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Magnus Borg; Lucas Ternqvist; [2023]
    Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER

  3. 2. Fight or Flight: How stock market crashes affect private investors’ portfolio diversification in Sweden

    Master-uppsats, Jönköping University/Internationella Handelshögskolan

    Författare :Ludvig Löfqvist; Erik Åhlstad; [2023]
    Nyckelord :Investment behavior; Diversification; Stock market crash; Demographic factors;

    Sammanfattning : Background: Stock ownership has been increasing in Sweden, with 2,7 million individual owners in 2022, up from 2,1 million in 2018. A trend shows that younger individuals are becoming more involved in stock ownership, while those over 40 are decreasing in numbers. LÄS MER

  4. 3. Sustainable Investing: Effects on Portfolio Returns and Risk in a Nordic Setting

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Max Junestrand; Benjamin Wahlstedt; [2022]
    Nyckelord :ESG; Sustainable Finance; Corporate Social Responsibility; SRI; Sustainability Rating;

    Sammanfattning : ESG investing has gone from niche to mainstream, with the total AUM assigned to ESG-tilted portfolios growing by the day. The objective of this paper is to understand how the return and risk performance of Nordic mutual and exchange-traded funds differ based on sustainability ratings, as there is no consensus in the risk/reward payoff in ESG investing. LÄS MER

  5. 4. A new ETF Landscape and its Relationship to the Volatility of its Underlying Assets - An empirical study of the S&P 500

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Andreas Hjälm; Felix Lindahl; [2022]
    Nyckelord :ETF; Volatility; Arbitrage; Shock Propagation; Index Investing;

    Sammanfattning : The global market for exchange traded funds (ETFs) has during the last decade sustained substantial growth. A global increase of AUM from ~400 billion USD in 2005 to above 7.7 trillion USD in 2020 has brought with it a changed landscape. LÄS MER

  7. 5. ETF Cost Obfuscation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Ole Holte; Hans-Kristian Leite; [2022]
    Nyckelord :Exchange Traded Funds; Expense Ratios; Tracking Errors; Index Investing; Asset Management;

    Sammanfattning : Index-tracking ETFs have gained popularity by both retail and institutional investors over the past years while costs in the form of fees have declined due to competitive pressures. Index-tracking funds are relatively homogenous products with only the goal of replicating an index as close as possible. LÄS MER