Sökning: "Risk-adjusted return"

Visar resultat 1 - 5 av 191 uppsatser innehållade orden Risk-adjusted return.

  1. 1. Financial Performance of Firms with Low Respectively High ESG Scores - A study of the US Technology sector

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

    Författare :Hanna Lindbo; Diana Salim; [2019-02-21]
    Nyckelord :ESG; Technology sector; Risk-adjusted return; Sharpe Ratio;

    Sammanfattning : This study investigates the relationship between financial performance and ESG score over a five-year time period, January 2013 to January 2018, in the US market. To examine this, two small cap portfolios is constructed, one consisting of firms with high ESG scores and one with low ESG scores. LÄS MER

  2. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

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

    Författare :Andreas Carlsson; Erik Hulth; [2019-02-20]
    Nyckelord :Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Sammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER

  3. 3. Benefits of Diversifying in Emerging Markets - A Swedish Investor’s Perspective

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexandra Dahlgren; Emma Hanson Rapp; [2019]
    Nyckelord :Emerging Markets; Portfolio Construction; Diversification Possibilities; Business and Economics;

    Sammanfattning : This paper evaluates the diversification possibilities in emerging markets for a Swedish investor. Two investors with different objectives, one seeks to minimize her risk and one seeks to maximize her risk-adjusted return, are examined. LÄS MER

  4. 4. Fondstorlek - Fördel eller Nackdel?

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Christina Papavramidi; Carl Bergsten; Lukas Tegnér; [2019]
    Nyckelord :Fama-French-Carhart fyrfaktormodell; Jensens Alfa; Fondförmögenhet; Placeringsinriktning; Tillväxtfonder; Business and Economics;

    Sammanfattning : Syftet med studien är att undersöka sambandet mellan fondstorlek och riskjusterad prestation på svenska aktiefonder under 2005 - 2009 och 2010 - 2016. Vidare ämnar sig studien att undersöka hur sambandet mellan fondstorlek och prestation påverkas av fonders val av placeringsinriktning, det vill säga om fonden klassificeras som en tillväxtfond eller inte. LÄS MER

  5. 5. Första-Fjärde AP-fonden: Riskjusterad avkastning och risk 2001-2017

    Kandidat-uppsats,

    Författare :David Eliasson; Simon Möller; [2018-07-11]
    Nyckelord : AP-fonderna ; Swedish Pension System; Pension funds; Risk-adjusted Return; Risk Analysis; Diversification; Sharpe Ratio; Fama-French three-factor model;

    Sammanfattning : The purpose of this study is to investigate whether the four Swedish public pension fundsAP1-4 contribute to the stability of the pension system by evaluating their mandate as formulated in the law. The thesis contributes to the existing literature regarding the Swedish pension system through an investigation of the performance and risk level of the funds during the period 2001-2017. LÄS MER