Sökning: "indexing investing"
Hittade 5 uppsatser innehållade orden indexing investing.
1. A Wolf In Sheep's Clothing, A study about potential closet indexing in the Swedish equity mutual fund industry.
Kandidat-uppsats,Sammanfattning : We measure the activity of Swedish domiciled equity mutual funds with Sweden as geographical investment universe, by calculating their active share with respect to major market indices like OMX30 GI and OMX Small Cap TR and retrieving tracking error and r-squared from Bloomberg. Afterwards we calculate the cost to investors by comparing the cost of investing in comparable explicit index funds and the cost of the closet indexers. LÄS MER
2. A smart beta investment strategy to make risk more transparent : A quantitative study as a contribute to lowering the systemic risk, without sacrifice of return.
Kandidat-uppsats, Mittuniversitetet/Avdelningen för ekonomivetenskap och juridikSammanfattning : This study have focused on the creation of a smart beta investment strategy to make risks in terms of beta for individual assets more transparent, and to explore if the constructed portfolios risk in terms of standard deviation significantly gets lower than for different benchmark indexes. The strategy could be used for investors who want to decrease their contribution to systemic risk, without sacrificing return. LÄS MER
3. Fund activity and performance: A closer look at the Swedish mutual fund industry
Kandidat-uppsats,Sammanfattning : This paper investigates the level of fund activity and its e ect on fund performance on the Swedish market. By analyzing fund characteristics between 2005 to 2015, we find that among the active fund alternatives, the most active funds generates the highest level of alpha. LÄS MER
4. The Alleged Value of Active Management
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : The activity of Swedish all-equity mutual funds have been subject to widespread debate and even brought to court. This paper investigates the alleged value of Swedish all-equity mutual funds by performing a holding analysis, i.e. comparing the allocation of investments against index. LÄS MER
5. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index
Magister-uppsats, IHH, Economics, Finance and Statistics; IHH, NationalekonomiSammanfattning : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). LÄS MER
