Sökning: "smart beta strategy"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden smart beta strategy.

  1. 1. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Tommy Saliba; Philip Thulin; [2021-06-30]
    Nyckelord :Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

    Sammanfattning : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. LÄS MER

  3. 2. ESG-Based Factor Investing

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Martin Bergström; Jacob Svensson; [2020]
    Nyckelord :ESG; Smart Beta; Factor Investing; Business and Economics;

    Sammanfattning : The purpose of this thesis is to examine if there is a cost, in terms of lower risk-adjusted returns, associated with using ESG factors in the portfolio creation process. The ability of using an ESG Smart Beta strategy, to outperform a passive cap-weighted index and a regular Smart Beta strategy in terms of risk-adjusted returns, was examined. LÄS MER

  4. 3. Factor ETFs -  Risk Exposure and Diversification Benefits

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Bishar Rahym; Dylan Hawrami; [2020]
    Nyckelord :ETFs; risk factor; smart beta; factor diversification; asset pricing;

    Sammanfattning : This paper analyzes U.S. factor ETF risk exposures and diversification benefits relative to the ETFs’ academic factor portfolios. The purpose of the paper is to observe whether the factor ETFs’ correlations and risk exposures reflect that of their academic factor portfolios, the long-short and long-only portfolios. LÄS MER

  5. 4. Smart Beta : en kvantitativ studie om hur tre Smart Beta-strategier presterar på den svenska aktiemarknaden

    Kandidat-uppsats, Högskolan Kristianstad/Fakulteten för ekonomi

    Författare :Simon Gunnarsson; Filip Haskå; [2020]
    Nyckelord :Smart Beta; passive versus active management; index funds; OMXS30;

    Sammanfattning : Recently, the debate on passive versus active fund management has been a major focus on the Swedish capital market. Passive management is gaining more and more market shares. However, theories and previous research show that Smart Beta strategies outperform their passive benchmark index. LÄS MER

  7. 5. Smart Beta ETFs. Smart Investment or Smart Marketing?

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

    Författare :Kristin Kjellberg; Catinka Träger; [2017]
    Nyckelord :Smart Beta; ETFs; Factor Investing; Portfolio Manage;

    Sammanfattning : Smart Beta is a relatively new investment strategy that builds further on theses such as factor investing and fundamental indexation. As of now, there are conflicting views of this strategy. Hence, in this paper, we aim to find an answer to whether Smart Beta is indeed smart or not. LÄS MER