Sökning: "Exchange traded funds"

Visar resultat 16 - 20 av 35 uppsatser innehållade orden Exchange traded funds.

  1. 16. Factor-Based Hedge Fund Replication Using Exchange-Traded Funds

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

    Författare :Frank Hartman; Constantijn Huigen; [2017]
    Nyckelord :Hedge Funds; Replication; Factor Model; Exchange-Traded Funds;

    Sammanfattning : This paper studies the performance of factor-based hedge fund replication. We use monthly data of nine exchange-traded funds to estimate clone portfolios over the sample period 2008-2016 for eleven different hedge fund indices. LÄS MER

  3. 17. Conditional Value-at-Risk targeted portfolio optimisation

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

    Författare :Dennis Gill; Tim Herzig; [2017]
    Nyckelord :Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Sammanfattning : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). LÄS MER

  4. 18. Trade-offs of ETFs - An Examination of Clean and Dirty Exchange Traded Funds in the Energy Sector

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

    Författare :Mattias Hasselsjö; Shaicoan Tang; [2016-06-27]
    Nyckelord :performance evaluation; exchange traded funds; sustainable investment; responsible investment;

    Sammanfattning : The aim of this thesis is to investigate if there is a difference in performance between clean and dirty exchange traded funds (ETFs) during the examination period January 2011¬–March 2016. Dirty ETFs are defined as ETFs that allocate in non-environmentally friendly industries such as oil or coal industries. LÄS MER

  5. 19. Making Reasonable Mutual Fund Investment Decisions in the Recovering German Equity Market - Gaining Insight into Active Share

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Jannik Haskamp; Adam Eliasson; [2015]
    Nyckelord :Active share; exchange traded funds; mutual fund; tracking error; investments; Business and Economics;

    Sammanfattning : This study investigates influences of certain fund characteristics as independent variables on a funds active share, as introduced by Cremers & Petajisto in 2009. Furthermore, along with active share, the potential use of these variables to predict future mutual fund returns is tested. LÄS MER

  7. 20. Reviewing Exchange Traded Funds : Market dimensional impacts on profitability

    Master-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Johan Burck; [2015]
    Nyckelord :Fund; Index fund; Exchange traded fund; ETF; Market Microstructure;

    Sammanfattning : Background: Ever since Sharpe, Treynor and Jensen advanced the methods of fund performance evaluation in the 60’s it has been a popular field of study in academia. As the intricacies of fund performance was untangled it became clear that paying for active management doesn’t yield higher cost adjusted returns. LÄS MER