34 uppsatser · sida 1 av 3
en utvärdering under volatil tid
… and yield. We had trouble getting a reliable and valid result using the Sharpe ratio and the modified Sharpe ratio when we studied 2008, we used the Sharpe ratio for the ten year study but we had to use a two dimensional measurement for 2008 which focused exclusively on …
En jämförande studie i nedgång och uppgång av den svenska börsen
… generate better in decline than Russia Funds in both return and risk-adjusted Sharpe ratio. Because the China funds had better risk diversification and its holdings spread across different industry area while Russia funds is more directed towards oil and gas industry. The upturn …
… to modern portfolio theory. Theory: Morningstar Rating, Treynor ratio, Sharpe ratio, Jensen's Alpha, Standard Deviation, Beta. Conclusion: The risk-adjusted performance measures used in this study shows that there are clear differences between the two fund groups, where the …
En studie om PPM-fondernas historiska avkastning
… study when you are looking for the fund which generated the highest ROIis the Sharpe ratio. Although this study demonstrates that high-risk funds have a higherSharpe ratio than competing risk groups.
… can significantly explain and improve risk adjusted returns (characterized by Sharpe ratios). The study has been done in collaboration with Optimized Portfolio Management AB who desire further knowledge and evaluation of hedge fund styles for their fund of hedge funds.To be able …
Ett säkrare val för investeraren
… of financial variables, the standard deviation, total return, average return, Sharpe ratio and a comparison of the funds yields with yields from similar funds in the same region. Result shows high yields from the fund invested in China, compared to the much lower yields for the …
Hur applicerar svenska fondbolag teoretiska riskhanteringsmodeller i praktiken?
… that are applied in the study are Capital Asset Pricing Model, CAPM, and the Sharpe ratio. There are known critiques against these models, which are discussed in this study. In the study it is shown that all the participants applied the model Value at Risk. The report also …
- en kvantitativ studie av kommunala och privata fastighetsbolag
Jämfört med andra branscher har fastighetsmarknaden låg avkastning på totala tillgångar, de utnyttjar istället en hävstångsstrategi för att skapa mer effektiv utväxling på eget kapital. Det finns många riskvariabler kopplat till fastighetsbranschen och flera sätt att …
en jämförande studie av etiska och traditionella fonder
… Historical performance between 2009-2013 were processed to obtain the Sharpe ratio and M2. For comparison a independent t-test is used. Result & Conclusions: Although ethical and traditional mutual funds have different diversification opportunities, the results indicate no …
… Företags Ekonomi (FEKK01) Nyckelord: Optionsprogram, Etiska fonder, CSR, SRI, Sharpe-kvot Seminarium: 2008-12-22, Ekonomihögskolan vid Lunds Universitet Författare: Carl Eric Toresson, Jens Danerhall och Markus Nordquist Handledare: Gösta Wijk Problem: Efter de senaste årens …
En portföljbaserad studie av CAPM på den svenska aktiemarknaden
… risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik …
en analys av tre svenska börshandlade fonders prestation i förhållande till aktivt förvaltade Sverigefonder
… förvaltade Sverigefonder. Studien genomförs med de fyra utvärderingsmåtten Sharpe Ratio, Treynor Ratio, Jensen’s alfa samt Information Ratio för att se om ETFer ger högre riskjusterad avkastning än jämförbara aktivt förvaltade Sverigefonder. De tre ETFerna, XACT OMXS30, XACT …
Ett lönsamt investeringsalternativ?
… been examined by four different measures. These are return on investment, the Sharpe ratio, the Treynor ratio and Jensens alpha. Results: According to the results from my study only one mutual fund has performed better than the market on the average. Some funds had higher return …
Till vilken grad tar innehavaren del av underliggande index avkastning?
… In order to carry out this evaluation an average return per year and the Sharpe ratio will be calculated and a mean- standard deviation analysis will be made. All investigated stock index bonds are based on a Swedish underlying asset. The results show that the stock index bonds …
En jämförande studie av storbankernas förvaltning av regionala fonder inriktade på Europa
… The numbers have then been applied to with some well-tried theories, such as Sharpe ratio, Jensen's alpha and Treynor ratio. The results demonstrated no great differences between the fund administrations, though Swedbank had the highest average return in relation to the risk in …
