Sökning: "Sharpe-ratio"

Visar resultat 1 - 5 av 89 uppsatser innehållade ordet Sharpe-ratio.

  1. 1. Magic Formula Investing and The Swedish Stock Market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oskar Strömberg; Oscar Gustavsson; [2018]
    Nyckelord :Magic Formula; Efficient Market Hypothesis; Fama and French three-factor model; CAPM; Swedish stock market; Business and Economics;

    Sammanfattning : The purpose of this paper is to contribute to the existing research within the subject of the Magic Formula. The investment strategy will be tested on historical data for companies on the Stockholm stock exchange during the period 2007-04-01 to 2017-03-31. The return will be benchmarked against OMXS30 as an indicator of the market return. LÄS MER

  2. 2. SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S.

    Kandidat-uppsats,

    Författare :Filip Jilsén; Mattias Juhlin; [2017-07-03]
    Nyckelord :Performance Evaluation; Mutual Equity funds; Actively Managed Funds; Risk-Adjustment Return; Sharpe Ratio; Treynor Ratio; Carhart Four-Factor Model; Swedish Fund Performance; U.S. Fund Performance;

    Sammanfattning : The purpose of this thesis is to investigate the performance of Swedish mutual equity funds that primarily invest in either the Swedish or the U.S. market. Complementing prior research, we emphasis the relative performance differences between two markets and compare different portfolios with domestic indices. LÄS MER

  3. 3. Performance Evaluation of European Green Mutual Funds - Is There an Economic Trade-Off?

    Kandidat-uppsats,

    Författare :Emil Andreasson; Mats Kronborg; [2017-06-27]
    Nyckelord :Green Funds; Conventional Funds; Performance Evaluation; European Focus; Risk-Adjustment Returns; Sharpe Ratio;

    Sammanfattning : In this thesis, we investigate the financial performance of European green andconventional mutual equity funds over the 2007 – 2017 period. We applied theCarhart (1997) four-factor model over three different periods, and find evidencethat the risk-adjusted alphas are not statistically different. LÄS MER

  4. 4. The Effect of the Financial Crisis of 2008 on Swedish Household Portfolios

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Yasmin Montvik; Maria Olsson Lidman; [2017-02-28]
    Nyckelord :asset allocation; financial assets; financial crisis; household portfolios;

    Sammanfattning : The aim of this thesis is to examine whether Swedish households have changed the composition of their portfolio as a consequence of the financial crisis and to investigate whether they have become more reluctant to invest in the financial markets. To examine how the Swedish household portfolios have changed over time, risk measures such as standard deviation and beta will be used as well as performance measures such as the Sharpe ratio, Treynor ratio and Jensen’s alpha. LÄS MER

  5. 5. Does gender balance on the corporate board have an impact on the equity performance?

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Tove Arrelid; Elin Forsberg; [2017-02-09]
    Nyckelord :gender equality; board diversity; quotas; performance evaluation; equity performance; corporate social responsibility;

    Sammanfattning : The objective of this thesis is to examine whether a gender equal board of directors have an impact on the equity performance during the examination period of December 2011 to December 2016. This study shows that the gender balanced portfolio outperforms the non-gender balanced portfolio in all investigated performance measures. LÄS MER

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