Sökning: "smart beta"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden smart beta.

  1. 1. Asset Pricing in Different Periods of Stock Market Volatility : The Varied Effectiveness of Carhart's Four-Factor Model in the Swedish Market

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Robin Munkhammar; Svensson Hampus; [2023]
    Nyckelord :Capital Asset Pricing Models; Carhart Four-Factor Model; Swedish Stock Market Volatility;

    Sammanfattning : Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8. LÄS MER

  3. 2. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Tommy Saliba; Philip Thulin; [2021-06-30]
    Nyckelord :Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

    Sammanfattning : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. LÄS MER

  4. 3. ESG-Based Factor Investing

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Martin Bergström; Jacob Svensson; [2020]
    Nyckelord :ESG; Smart Beta; Factor Investing; Business and Economics;

    Sammanfattning : The purpose of this thesis is to examine if there is a cost, in terms of lower risk-adjusted returns, associated with using ESG factors in the portfolio creation process. The ability of using an ESG Smart Beta strategy, to outperform a passive cap-weighted index and a regular Smart Beta strategy in terms of risk-adjusted returns, was examined. LÄS MER

  5. 4. Factor ETFs -  Risk Exposure and Diversification Benefits

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Bishar Rahym; Dylan Hawrami; [2020]
    Nyckelord :ETFs; risk factor; smart beta; factor diversification; asset pricing;

    Sammanfattning : This paper analyzes U.S. factor ETF risk exposures and diversification benefits relative to the ETFs’ academic factor portfolios. The purpose of the paper is to observe whether the factor ETFs’ correlations and risk exposures reflect that of their academic factor portfolios, the long-short and long-only portfolios. LÄS MER

  7. 5. Smart Beta : en kvantitativ studie om hur tre Smart Beta-strategier presterar på den svenska aktiemarknaden

    Kandidat-uppsats, Högskolan Kristianstad/Fakulteten för ekonomi

    Författare :Simon Gunnarsson; Filip Haskå; [2020]
    Nyckelord :Smart Beta; passive versus active management; index funds; OMXS30;

    Sammanfattning : Recently, the debate on passive versus active fund management has been a major focus on the Swedish capital market. Passive management is gaining more and more market shares. However, theories and previous research show that Smart Beta strategies outperform their passive benchmark index. LÄS MER