Sökning: "Jensen s alpha"

Visar resultat 6 - 10 av 83 uppsatser innehållade orden Jensen s alpha.

  1. 6. Hållbarhet och fondprestation

    Kandidat-uppsats,

    Författare :Ludvig Johansson; Alva Mentor; [2022-07-11]
    Nyckelord :Sustainability; CAPM; Sharpe ratio; Treynor ratio; Swedish funds;

    Sammanfattning : The purpose of this paper is to conduct research regarding fund performance based on Morningstar’s Sustainability Rating, with the aim of drawing conclusions about whether funds with high sustainability rating perform differently than funds with low sustainability rating. A quantitative method was used to investigate fund performance over the last three years, regarding 20 Swedish funds investing on the Swedish market. LÄS MER

  3. 7. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :John Nestenborg; Simon Petersson; [2022-06-29]
    Nyckelord :Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Sammanfattning : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. LÄS MER

  4. 8. How to choose green?

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

    Författare :Adrian Thureborn; Jakob Ödman; [2022-02-28]
    Nyckelord :;

    Sammanfattning : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. LÄS MER

  5. 9. Does a portfolio of growth stocks outperform a portfolio of value stocks? : Evidence from Sweden and Norway

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Lina Andersson; Daniella Holmgren; [2022]
    Nyckelord :Growth stocks; Value stocks; P E ratio; Sharpe ratio; Jensen’s alpha; behavioural finance; efficient market hypothesis; financial crises;

    Sammanfattning : A high return is a driving factor for most investors. The ways to reach success are many and different investment strategies on how to earn high returns have been discussed for decades. LÄS MER

  7. 10. ESG - Värdedrivare eller reglering

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Fredrik Stenberg; Filip Stenberg; [2022]
    Nyckelord :ESG; Portfolio performance; Sharpe ratio; Treynor s ratio; Asset Pricing models; Business and Economics;

    Sammanfattning : This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. LÄS MER