This thesis focuses on the comparison of financial performance of the Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic). The current state and the recent development of the Czech private pension scheme are analyzed in the first part of the thesis. In the main part of this work we construct the dataset of periodic scheme returns covering the last decade, and estimate the schemes Sharpe ratios (SR) for four reference benchmarks. To complement the analysis we also employ the Sharpe style analysis to evaluate the impact of managerial decisions of market selection/timing on the scheme returns. The findings suggest that except for Poland none of the schemes managed to beat its long-term domestic benchmark (10-year government bonds) as the SRs estimates turn out to be negative. The highest underperformance was found in the case of Czech Republic. The results of style analysis suggest a modest positive influence of the active managerial decisions on the scheme returns with respect to the passive investment strategies.

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Our thesis was conducted through quantitative research on the validity of the Sharpe ratio as a performance measure in bear market conditions. Previous research had identified problems with mismatches in ranking due to Sharpe ratios rewarding unsystematic risk in funds. Alternative Sharpe  ratios have been developed to solve this problem; Scholz (2006) developed the Normalized  Sharpe ratio, which he argued to be a more valid performance measure in bear market conditions. We conducted a comparative analysis between rankings of the Sharpe ratio and Scholz Normalized Sharpe ratio to find out whether the Sharpe ratio provides mismatches in ranking due to rewarding unsystematic risk. The research was conducted on Swedish premium pension funds within the Swedish Pension system. We aimed to highlight the potential problems with interpreting the Sharpe ratio in bear market periods. Various models and theories was utilized to support our research question and attempt to link them to our quantitative analysis. The results from our analysis showed us that there were mismatches between the different ratios, additionally our findings provided support to previous researchers’ conclusions which stated that  the Sharpe ratio rewards unsystematic risk.

Sharpe ratio is extensively used in performance of portfolio. However, it is based on assumption that return follows normal distribution. In other words, when return in asset is not normal distribution, the Sharpe ratio is not meaningful. This research focuses on Generalized Sharpe ratio with different distribution in eight indexes from 2001/12/31 to 2010/12/31. We try to find a suitable levy process to fit our data. Instead of Normal distribution assumption, we use Jump diffusion, Variance Gamma, Normal Inverse Gaussian, Hyperbolic, Generalized Hyperbolic, as our distribution to solve stylized fact like skewness and kurtosis. Compared the difference between standard Sharpe ratio and Generalized Sharpe ratio, we come to these conclusions: first of all, Generalized Hyperbolic is better levy process to fit our eight indexes. Second, Sharpe ratio under GH levy process has low autocorrelation, and it present that modified Sharpe ratio is more elastic. Third, Generalized Sharpe ratio can uncover the strategy that fund manager manipulate Sharpe ratio. At last, Generalized Sharpe ratio have better predict than standard Sharpe ratio. Keywords: Sharpe ratio, Levy process, GH distribution, portfolio, utility function

Bakgrund: Under flera årtionden har handeln med aktier och värdepapper moderniserats och utvecklats. En investerare kan idag placera en order för att köpa en aktie över hela världen. Investerare letar alltid efter nya aktier att investera för att maximera sin avkastning dock medför detta en risk. Att analysera en investering kan göras på flera olika sätt där Sharpekvoten är en av flera sätt att analysera på. Tidigare har Sharpekvoten oftast använts vid analys av fonder och inte aktier och i tidigare forskning används Sharpkvoten flitigt men flera olika parametrar används då. Syfte: Studiens syfte är att undersöka skillnaderna i portföljer med aktier med låg risk kontra portföljer med aktier med hög risk och se vilken av dessa typer av portföljer som gett bäst avkastning, i förhållande till den risk som tagits. Sharpekvoten kommer att användas som ett nyckeltal för att svara på syftet. Metod: Studien har behandlat aktier på den Svenska, Amerikanska och Japanska marknaden och på dess Large- och Small cap marknader. Utifrån den data som har samlats in har en kvantitativ studie utförts för att sedan analyserats i förhållande med de teorier och studier som har berörts. Studien har även kompletterats med intervjuer för att bredda analysen och tänkanden kring hur investerare agerar vid hög risk aktier. Resultat: Sharpekvoten är högre på den svenska och japanska marknaden på respektive lands large cap samt 1st section. Intervjuerna som gjordes gav svaret att den bästa strategin är att differentiera sin aktieportfölj och att högrisk aktier endast bör utgöra en liten del av portföljen. I analysen framkommer det att sharpekvoten inte kan ge ett entydigt svar på förhållandet avkastning och risk, då det är vår uppfattning att avkastningen påverkas av en mängd andra faktorer.

In this paper, I evaluate the out-of-sample performance of the portfolio optimizer relative to the naïve and market strategy on the Swedish stock market from January 1998 to December 2012. Recent studies suggest that simpler strategies, such as the naïve strategy, outperforms optimized strategies and that they should be implemented in the absence of better estimation models. Of the 12 strategies I evaluate, 11 of them significantly outperform both benchmark strategies in terms of Sharpe ratio. I find that the no-short-sales constrained minimum-variance strategy is preferred over the mean-variance strategy, and that the historical sample estimator creates better minimum-variance portfolios than the single-factor model and the three-factor model. My results suggest that there are considerable gains to optimization in terms of risk reduction and return in the context of portfolio selection.

Bitcoin is an asset that demonstrated a high increase in price since it was launched in 2009, meanwhile it has been a very volatile and risky asset. Previous research has indicated that an allocation of bitcoin in investor’s portfolio could increase return as well as risk adjusted return. Furthermore, bitcoin has been observed to be uncorrelated to many markets; creating diversification opportunities and in some instances acted as a hedge against various stock markets. Due to the similarities between bitcoin and gold they have often been compared as alternative investment assets. Therefore, it is of interest for investors to understand if bitcoin could be included into a stock-portfolio in the Swedish market to increase risk adjusted returns and if bitcoin is a better alternative investment, than gold. Furthermore, if bitcoin could be used as hedge against the Swedish stock market. Three different portfolios with bitcoin were created, 1% bitcoin, 4% bitcoin and 8% bitcoin, the rest of the portfolio constitutes of Stockholm gross-index (OMXSGI). The portfolios are compared to OMXSGI and similar portfolios involving gold and OMXSGI. The portfolios are created for four different periods: 2011- 2021, 2016-2021, the bear market during the pandemic and the year 2020. Results reveals that during normal market behavior an 8% allocation of bitcoin and OMXSGI generates the highest Sharpe ratio. Also, that a small allocation of bitcoin can generate higher returns to lower risk then OMXSGI. During normal market behavior portfolio with bitcoin performs higher returns and Sharp ratio than portfolios with gold but to a higher risk. Additionally, bitcoin is not correlated to the Swedish market and implies that it possibly may be used as a hedge during normal market behavior. During the corona bear market bitcoin has a high correlation to OMXSGI and has a similar negative return but to a higher volatility. Meanwhile gold act as a safe haven during turbulent market behavior. To conclude during normal market times bitcoin creates opportunities for investors to include bitcoin to the portfolio. High allocations of 8% bitcoin might be too much risk for risk averse investors. During the corona bear market bitcoin portfolios generates worse returns to a higher risk and gold is a better asset to hold. Bitcoin and cryptocurrencies are assets which have some unique risks that cannot be measured by the Sharp ratio. Thus limit the results and analysis of the study.

This paper sets out to evaluate whether investment recommendations of South African share analysts provide any value to an investor in the Johannesburg Stock Exchange (JSE). The study focuses on the creation of a portfolio based on the recommendations by analysts between December 2002 and July 2010. The monthly returns and respective risk-adjusted returns of this portfolio are compared to those of the SATRIX Top 40 over the same period of time. The paper also evaluates the effectiveness of the SATRIX Top 40 as a performance benchmark by comparing it to a portfolio for shares of family-controlled or owner-managed companies listed on the JSE. The study utilises analyst consensus recommendations, with focus on buy and sell recommendations, to create a buy and hold portfolio that is compared to the SATRIX Top 40. The SATRIX Top 40 is further compared to ten-share portfolio of family-owned or owner-managed companies. The study finds that analysts’ recommendations lead to higher risk-adjusted returns for an investor when compared to the SATRIX Top 40. The returns are even better in a bear market environment when compared the benchmark SATRIX Top 40. It is also found that a portfolio of shares of family-controlled or owner-managed companies performs better than the SATRIX Top 40 and thus provides a better benchmark for an investor. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

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 differentiera sig från den osystematiska risken. De kommunala fastighetsbolagen har en finansieringskälla Kommuninvest, som enbart vänder sig till allmännyttiga bolag och inte privata aktörer. Syftet med uppsatsen är att historiskt analysera hur risk och avkastning genererats av kommunala och privata fastighetsbolag. Metoden är kvantitativ, kombinerat med en deduktiv metod och som har en förklarande ansats. Utifrån teori har vi formulerat tre hypoteser för att undersöka om vi kan finna indikatorer på hur kommunala och privata fastighetsbolag skiljer sig till från varandra. För att genomföra undersökningen har uppsatsen utgått från en kvantitativ metod och statistiska test har gjorts för att kunna analysera utfallen. Resultaten indikerar på att det finns en signifikant skillnad mellan kommunala och privata fastighetsbolag i två av hypoteserna. Hur undersökningen är genomförd beskrivs i den empiriska metoden. Från de resultat som blivit har det fastställts att det finns mer att undersöka och nya förslag på fortsatt forskning har utformats. / Compared to other industries, real estate markets have historically low return on total assets, instead they use a leverage strategy to create a more efficient ratio on return on equity. There are many risk variables associated with real estate and several ways for real estate firms to differentiate themselves from the unsystematic risk. The municipal property firms have a funding source Kommuninvest, only turning to public utilities and not private actors. The purpose of this paper is to analyze the historical risk and return generated by municipal and private property firms. The method is quantitative, combined with a deductive theory, which has an explanatory approach. Based on theory we have formulated three hypotheses to explore and see if we can find indicators of how differences between municipal and private property is. To conduct the survey, the thesis has a quantitative method and statistical tests to analyze the outcomes. The results indicate that there is a significant difference in two of the hypotheses between municipal and private property. How the survey is conducted is described in the empirical method. From the results determined, the intention shows that there is more to explore, and new suggestions for further research have been suggested.