SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a Beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct Beta, since the Beta changes, it is very important to have a good model for predicting Beta in the future.This master thesis begins with describing what Beta is in a CAPM sense. It then continues with recognizing the so called ?Two Beta Trap?, which separates two kinds of Beta.

SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a Beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct Beta, since the Beta changes, it is very important to have a good model for predicting Beta in the future.This master thesis begins with describing what Beta is in a CAPM sense. It then continues with recognizing the so called ?Two Beta Trap?, which separates two kinds of Beta.

SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a Beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct Beta, since the Beta changes, it is very important to have a good model for predicting Beta in the future.This master thesis begins with describing what Beta is in a CAPM sense. It then continues with recognizing the so called ?Two Beta Trap?, which separates two kinds of Beta.

SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a Beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct Beta, since the Beta changes, it is very important to have a good model for predicting Beta in the future.This master thesis begins with describing what Beta is in a CAPM sense. It then continues with recognizing the so called ?Two Beta Trap?, which separates two kinds of Beta.

SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a Beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct Beta, since the Beta changes, it is very important to have a good model for predicting Beta in the future.This master thesis begins with describing what Beta is in a CAPM sense. It then continues with recognizing the so called ?Two Beta Trap?, which separates two kinds of Beta.

The Beta value is frequently described in theory and is a well known factor to quantify the systematic risk in shares through the CAPM model. Initially, this study describes the advantages and difficulties with the estimating process and the problematic nature of the assumptions and descisons included in published Beta values.An alternative method, Bottom-up Beta, to estimate the Beta value that probably has not been tested under Swedish circumstances is applied. The problems and decisions that have to be made to derive an alternative value are studied in detail through six separate steps. I have chosen nine companies at the Stockholm Stock Exchange where this method is used. The result showed that the systematic risk were higher at five shares and lower at four, compared to the published values.Finally there is a discussion about the practise, usefulness and opinions concerning how to estimate and interpret the Beta value to determine the expected return..

As stocks have become a more common way for people to save their money, the range of financial information has had a substantial increase. To understand the assumptions that stock valuation and analysis are built upon, it is important for the reader to have an understanding for the models that are used by banks and institutions when recommendations are published.The cash flow model, which is the most commonly used stock valuation tool, is based on CAPM. This model describes the relationship between an assets return and its risk in relation to an index. The risk parameter is called the Beta value and has grown to be the dominating risk factor within financial economics literature.The use of Beta values has been widely discussed in the world of academics and some researchers claim that the degree of explanation brought about by the Beta is so low that it should be discarded, others are faithful to the Beta and believe that it still serves a purpose. As a result of this criticism other ways to calculate the Beta have surfaced, models that take other factors of risk into consideration.

This paper investigates the compensation for risk in the context of the Swedish stock market with a special focus on downside risk. Using daily market data collected from the A-list of the Stockholm Stock Exchange between the years 1983 and 2005 the purpose is to answer the question whether Swedish investors are compensated for holding stocks with high downside risk, measured as downside Beta. Using panel data analysis it is shown, in accordance with most previous evidence in international research, firstly that stocks with high Beta values on average experience higher returns than stocks with low Beta values, and secondly that stocks with high downside Beta values experience higher returns than stocks with high Beta values in general. On the other hand, cross-sectional regression methodology using a bivariate regression approach shows that downside Beta does not explain excess returns very well. Instead, regression analysis suggest that high upside Beta does a much better job in explaining excess return over this time period compared to downside Beta.

Tester av CAPM och Beta av bland andra Eugene Fama och Kenneth French (1992) har visat att det inte existerar något samband mellan systematisk risk (Beta) och avkastning för aktier på den amerikanska aktiemarknaden. Andra forskare hävdar att det kan finnas ett samband mellan Beta och avkastning om den studerade tiden fokuserar på isolerade perioder med antingen positiva eller negativa marknader. Kritik har även riktats av bland annat Richard Roll för att olika index som approximation för aktiemarknaden vid beräkningen av Beta kan generera helt skilda värden och således betyda att investerare kan ha olika förväntade avkastningar för samma aktie.I denna studie försöker författarna besvara frågan om det existerar ett signifikant samband mellan Beta och avkastning på den svenska aktiemarknaden. I studien undersöks sambandet på en aggregerad nivå under den totala studieperioden mellan 2003-2011 och även under isolerade positiva samt negativa marknader under samma period. Författarna använder sig av två olika index som approximation för den svenska aktiemarknaden, OMX Stockholm PI och OMX Stockholm 30, vid beräkningen av Beta. För att kunna undersöka sambandet delas aktierna in i portföljer där snittvärden på Beta och avkastning beräknas och studeras sedan i regressionsberäkningar.Resultatet av studien visar att det existerar ett signifikant samband mellan risk, symboliserat av Beta, och avkastning på den svenska aktiemarknaden vid positiva marknader under den studerade tidsperioden.

Strategies for the board game Hive was implemented and evaluated in this project. The report covers the rules as well as the system that was implemented in order to build strategies. The strategies are evaluated based on how they perform against each other. Two search algorithms were implemented: Minmax and Alpha-Beta Pruning. Alpha-Beta with depth 4 had the best performance against other strategies as well as in individual tests..

Vårt syfte är att ta reda på mer om vad som påverkar fonders avkastning och om detta skiljer sig åt i ekonomisk uppgångs- respektive nedgångsperiod. För att uppfylla vårt syfte har vi använt oss av regressionsanalyser med avkastning som beroendevariabel och variablerna: standardavvikelse, Beta, storlek, TKA och omsättningshastighet som förklarande variabler. Vi har använt portföljvalsteori med dess ingående variabler avkastning och risk. Även begrepp som CAPM och Beta gås igenom. Detta följs av det aktuella forskningsläget inom ämnet.

I dagsläget finns det en hel del kosttillskott som lovar bättre prestation, men många av substraten har inte tillräckligt med forskning bakom dem som bevisar att de verkligen fungerar. Tre av de kosttillskotten där det finns mycket forskning på och har visat sig förbättra prestationen är kreatin, koffein och natriumbikarbonat. Nyare forskning har studerat supplementering av Beta-alanin som tros kan fördröja muskeltröttheten under fysisk aktivitet. Det är inte mycket av denna forskning gjord på överkroppen hos elitidrottare, därför ska detta undersökas i denna studie. Många teorier om muskeltrötthet involverar att vätejoner (H+) som härrör från bl.a.

Vårt syfte är att ta reda på mer om vad som påverkar fonders avkastning och om detta skiljer sig åt i ekonomisk uppgångs- respektive nedgångsperiod. För att uppfylla vårt syfte har vi valt att genomföra regressionsanalys med avkastning som beroende variabel och variablerna: standardavvikelse, Beta, storlek, TKA och omsättningshastighet som förklarande variabler. Detta har genomförts i en ekonomisk uppgångs- och en ekonomisk nedgångsperiod. Vi har använt portföljvalsteori med dess ingående variabler avkastning och risk. Även begrepp som kovarians, korrelation, effektiva fronten, mean variance, CAPM och Beta gås igenom.

Purpose: The study examines the risk a rising from the acquisition of shares, and its relation to the expected return. We would like to see how a high-risk portfolio is related to a low-risk portfolio. Although studying the portfolios annual performance.Theory: The theories that have been used in the study are, Capital asset pricing model, CAPM and portfolio theory.Method: The study is based on a quantitative method, the time interval is from 2008 to 2010.The annual reports, historical stock prices for companies and the index are used to perform calculations based on the essay theories.Conclusion: The Beta value has positive liner correlation with the expected return. When there are bad times in the world, the companies are negatively affected regardless of industry. The Portfolios developed in the same direction during the time period..

Syfte: Syftet med uppsatsen är att utreda huruvida avkastningar mellan etiska aktiefonder och traditionella aktiefonder är likvärdiga. Vidare avser uppsatsen att klargöra hur etiska fonder definieras ur ett teoretiskt perspektiv med utgångspunkt i rådande forskning. Metod: Studien är av kvantitativ karaktär och utfördes med hjälp av fonddata inhämtad från respektive storbank och Morningstar. Det kvantitativa innehållet består av fondernas årliga avkastningar. Undersökningsperioden sträcker sig från december 2008 till december 2012. Teori: Beta, Sharpekvot och Modern Portföljteori. Slutsats: Studiens slutsats påvisar inga större skillnader mellan de etiska och de traditionella fonderna sett till avkastning. Den traditionella fondgruppen var den som hade marginellt bättre avkastning..