Sökning: "Jensen s alpha"

Visar resultat 16 - 20 av 83 uppsatser innehållade orden Jensen s alpha.

  1. 16. Performance of Swedish sustainable equity funds during Covid-19 : a comparative study on sustainable and conventional equity funds

    Master-uppsats, SLU/Dept. of Economics

    Författare :Olle Andersson; [2021]
    Nyckelord :sustainable funds; sustainable investments; Covid-19; risk-adjusted return; investments; environmental; social; governance; sustainability;

    Sammanfattning : The interest for sustainable equity funds has increased globally and especially in Sweden the last years. The Swedish and Scandinavian fund markets have grown to be seen as frontrunners for sustainable investments. LÄS MER

  3. 17. Passivt och aktivt förvaltade fonder - En studie om relationen mellan förvaltningsstil och riskjusterad avkastning.

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Viktor Linde; Fredrik Tingets; [2021]
    Nyckelord :fund management; Sharpe Ratio; Treynor Ratio; Jensen s Alpha; Business and Economics;

    Sammanfattning : The purpose of this thesis is to examine whether active fund management gives higher risk adjusted returns in comparison to index funds. This will be done by the use of three different performance measures, Sharpe ratio, Treynor ratio, and Jensen’s Alpha, the aim is to examine 116 mutual funds in the Swedish fund market over the time period of 2016-2021. LÄS MER

  4. 18. MSCI Climate Paris Aligned Indices : A quantitative study comparing the performance of SR indices and their conventional benchmark indices

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Linnéa Casselryd; Agnes Lantto; Alicia Julienne Zanic; [2021]
    Nyckelord :MSCI Climate Paris Aligned Indices; Socially Responsible Investments; Sustainable Indices; Performance; Beta; Sharpe Ratio; Jensen´s Alpha; Spanning Test; Ordinary Least Squares;

    Sammanfattning : There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. LÄS MER

  5. 19. Does the Active Country Momentum Portfolio Beat the Passive Market Portfolio? : an empirical study on exchange-traded funds

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Anton Ericsson; Anton Erickson; [2021]
    Nyckelord :Momentum strategy; Exchange-traded funds; Efficient markets; Inefficient markets; Sharpe ratio; Jensen’s alpha; Morningstar risk-adjusted return;

    Sammanfattning : The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. LÄS MER

  7. 20. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

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

    Författare :Axel Ljungberg; Anton Högstedt; [2021]
    Nyckelord :Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

    Sammanfattning : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. LÄS MER