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Performance differences across markets : A study of mutual fundsCarlsson, Martin January 2006 (has links)
In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region. The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index. The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.
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Evaluation of Hedge Funds PerformanceQian, Jing 03 August 2006 (has links)
Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using CSFB/Tremont Hedge Fund Indices from January 1994 to September 2005. The performance evaluation is based on the concept of ¡°Jansen¡¯s alpha¡±, which is estimated by applying Generalized Method of Moment. The finding is that hedge funds industry in general displayed the ability to outperform market proxy. Global Macro shows the strongest manager skill, followed by Event Driven, Equity Market Neutral and Long/Short Equity. This thesis also investigates the consistency of hedge funds performance over market environment. It was discovered that the hedge funds industry in general and all the sub-category investment segments except Convertibly Arbitrage, Emerging Market and Fix income Arbitrage displayed the ability to cushion the impact of financial shocks.
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Performance differences across markets : A study of mutual fundsCarlsson, Martin January 2006 (has links)
<p>In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region.</p><p>The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index.</p><p>The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.</p>
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Optimal Dither and Noise Shaping in Image ProcessingChristou, Cameron 11 August 2008 (has links)
Dithered quantization and noise shaping is well known in the audio community. The image processing community seems to be aware of this same theory only in bits and pieces, and frequently under conflicting terminology. This thesis attempts to show that dithered quantization of images is an extension of dithered quantization of audio signals to higher dimensions.
Dithered quantization, or ``threshold modulation'', is investigated as a means of suppressing undesirable visual artifacts during the digital quantization, or requantization, of an image. Special attention is given to the statistical moments of the resulting error signal. Afterwards, noise shaping, or ``error diffusion'' methods are considered to try to improve on the dithered quantization technique.
We also take time to develop the minimum-phase property for two-dimensional systems. This leads to a natural extension of Jensen's Inequality and the Hilbert transform relationship between the log-magnitude and phase of a two-dimensional system. We then describe how these developments are relevant to image processing.
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Optimal Dither and Noise Shaping in Image ProcessingChristou, Cameron 11 August 2008 (has links)
Dithered quantization and noise shaping is well known in the audio community. The image processing community seems to be aware of this same theory only in bits and pieces, and frequently under conflicting terminology. This thesis attempts to show that dithered quantization of images is an extension of dithered quantization of audio signals to higher dimensions.
Dithered quantization, or ``threshold modulation'', is investigated as a means of suppressing undesirable visual artifacts during the digital quantization, or requantization, of an image. Special attention is given to the statistical moments of the resulting error signal. Afterwards, noise shaping, or ``error diffusion'' methods are considered to try to improve on the dithered quantization technique.
We also take time to develop the minimum-phase property for two-dimensional systems. This leads to a natural extension of Jensen's Inequality and the Hilbert transform relationship between the log-magnitude and phase of a two-dimensional system. We then describe how these developments are relevant to image processing.
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P/E-effekten - Existerar den på Stockholmsbörsen?Ristiniemi, Alexander, Tingström, Fredrik January 2015 (has links)
Tidigare forskning har kunnat påvisa att aktier med låga P/E-tal genererar en högre genomsnittlig och en bättre riskjusterad avkastning än såväl marknaden som aktier med höga P/E-tal. Fenomenet benämns P/E-effekten och syftet med denna uppsats är att undersöka om P/E-effekten existerar på den svenska aktiemarknaden och testa om en investeringsstrategi baserad på att köpa aktier med låga P/E-tal kan användas för att uppnå en överavkastning. I studien inkluderades bolag listade på Nasdaq OMX Stockholm Large Cap under tidsperioden 2007-2014. Jensen’s Alpha Approach användes för att utreda om någon statistiskt signifikant riskjusterad överavkastning uppnåddes. I likhet med tidigare forskning indikerar resultaten att P/E-effekten, åtminstone under tidsperioden för undersökningen, existerade på Stockholmsbörsen och att det var möjligt att uppnå en riskjusterad överavkastning genom att investera i aktier med låga P/E-tal. Resultaten kan även anses ifrågasätta huruvida marknaden uppfyllde kraven för den halvstarka formen av marknadseffektivitet då en investeringsstrategi baserad på offentlig information användes för att uppnå en riskjusterad överavkastning.
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Soffliggare på jobbet : En kvantitativ studie om ickevals-alternativen i de fyra stora avtalsområdena inom den kollektivavtalade tjänstepensionenWahlstein, Ivar January 2019 (has links)
Tjänstepensionen utgör en viktig del av en individs pension och prognoser visar att den kommerutgöra en allt större del av den totala pensionen. Trots den ökande betydelsen är kunskapsenkring tjänstepensionen låg. Varje tjänstepensionsavtal har ett ickevals-alternativ som spararesom inte gör ett eget val, soffliggarna, hamnar i. Denna uppsats undersöker vilka skillnader som finns mellan ickevals-alternativen i de fyra största tjänstepensionsavtalen: ITP, PA 16, AKAP-KL/KAP-KL och SAF-LO. Skillnaderna som studeras är värdeökning till följd av den årliga avkastningen under perioden 2008-2018,risk i form av standardavvikelse och känslighet för förändringar på marknaden (Beta),Sharpekvoten och Jensens alfa. Resultatet visar att det finns ekonomiskt sigfnikanta skillnader i alla av de prestationsmått som undersöks. Några statistiska skillnader i differensen i den genomsnittliga avkastningen eller differensen i Jensens alfa när beta är kontrollerat för finnes ej. / Occupational pension is an important part of an individual’s pension and projections showthat it will make up an increasingly larger part of the total pension. Despite its increasingimportance, the knowledge regarding occupational pension is low. Each occupational pensionagreement has a default alternative where the savings of the people who do not make a choiceof their own, the idlers, end up in. This thesis examines if and what differences exist between default alternatives in the four largest occupational pension agreements: ITP, PA 16, AKAP-KL/KAP-KL and SAF-LO. The examined differences are the yearly returns and the value increase it results in during theperiod 2008-2019, risk in terms of standard deviation and sensitivity to changes in the market(Beta), Sharpe ratio and Jensen’s alpha. The result shows that there is significant economical differences in all of the performance measures that are examined. Any statistical significant differences in the average return and differences in Jensen’s alpha when beta is controlled for was not found.
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Three essays on mispricing and market efficiencyQin, Nan 23 July 2014 (has links)
This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations of stock prices from the random walk and greater return predictability from lagged order imbalances. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing are probably the main cause of the degradation in price efficiency, but we find no evidence supporting a direct impact from passive trading or any effect through liquidity.
The second essay investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced.
The third essay examines whether the upward return bias generated by Jensen's inequality could lead to better performance of equally-weighted (EW) indexes than value-weighted (VW) index when stock prices are not fully efficient. We find that, for a wide range of U.S. stock indexes, EW indexes deliver better four-factor adjusted returns than VW ones do even after deducting transaction costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide new insight into a long-term debate on causes of the outperformance of the EW indexes. / Ph. D.
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Performance of socially responsible investment funds in South Africadu Plessis, Ruschelle January 2015 (has links)
Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing.
Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model.
The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds.
According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa
research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.
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Performance of socially responsible investment funds in South Africadu Plessis, Ruschelle January 2015 (has links)
Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing.
Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model.
The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds.
According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa
research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.
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