Problem: Do ethical investments perform better than conventional investments? Purpose: To evaluate whether Shariah-compliant indexes and/or socially responsible indexes can improve financial performance of an investment portfolio. Sub-problem: What kind of relationship exists between socially responsible investments and faith-based investments, represented by Shariah-compliant investments? Sub-purpose: To discover how two types of ethical investments, socially-responsible and Shariah-compliant, are related. Method: Quantitative study, covering three types of investment styles of four index families during the period from 2000 until 2011. Financial performance evaluation through the Sharpe ratio, Treynor ratio and Jensen’s alpha. Conclusions: Conventional, socially responsible, and Shariah-compliant indexes do not have any significant differences in financial performance on a global basis. However, Shariah-compliant indexes could slightly over-perform conventional and socially responsible indexes during financial downturns. In the same time socially responsible indexes were noticed to be the most volatile during the whole period of study, to compare with conventional and Shariah-compliant. Regarding relationships, high correlations were found between ethical indexes, as well as between ethical and conventional indexes.

Magistro baigiamajame darbe išanalizuoti ir įvertinti Lietuvos II pakopos pensijų fondų investicijų grąžos pokyčiai verslo cikluose, iškelta fondo pasirinkimo problema bei pateikti siūlymai kaip šią problemą spręsti pensijų fondų dalyviams. Pirmoje darbo dalyje teoriniu aspektu analizuojama Lietuvos pensijų sistema, pateikiami teigiami ir neigiami kaupiamųjų fondų aspektai ir pateikiama verslo ciklų samprata. Antroje dalyje atliekama II pakopos pensijų fondų metinėse ataskaitose skelbiamų rodiklių analizė, nagrinėjami dažniausiai mokslinėje literatūroje sutinkami pensijų fondų vertinimo metodai bei pateikiamas darbo tyrimo modelis ir apibrėžiama darbo eiga. Trečioje dalyje pateikiama trumpa 2013 metų pabaigoje veiklą vykdžiusių II pakopos pensijų fondų apžvalga ir panaudojant Šarpo metodiką bei kitus pagrindinius fondų vertinimo kriterijus yra atrenkami efektyviausiai valdomi skirtingų strategijų pensijų fondai. Identifikavus verslo ciklus Lietuvoje, atliekama efektyviausiai valdomų skirtingų strategijų pensijų fondų investicijų grąžos analizė kiekvienoje verslo ciklo fazėje. Atliekama techninė analizė ir sudaromos tiesinės daugianarės regresijos lygtys, naudojamos prognozuoti investicijų grąžos pokyčius remiantis faktiniais fondų apskaitos vienetų vertės pokyčiais ir makroekonominiais rodikliais. / Master's Work analyzed and evaluated Lithuanian pillar II pension funds return on investment changes in business cycles, a series of suggestions is given for pension funds participants how to solve the problem of pension fund selection. The first part examines theoretical aspect of Lithuanian pension system, an overview of its positive and negative aspects and defined concept of business cycles. In second section analyzed indicators provided in the annual reports of pillar II pension funds, mostly encountered pension fund valuation methods in the scientific literature and workflow is defined. The third part present short review of Lithuanian pillar II pension funds which operated in 2013 and using Sharpe methodology and other most important valuation methods are selected efficiently managed by different strategies of pension funds. After identification of the business cycles in Lithuania, carried out in most effectively managed, by different strategies of pension funds, the return on investment analysis for each phase of the business cycle Technical analysis and the straight multiple regression equations used to predict changes in investment return based on the actual value of the fund units of accounting changes and macroeconomic indicators.

This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk. / El presente trabajo estima la frontera eficiente, en portafolios de inversión diversificados en acciones que componen el Índice General de la Bolsa de Valores de Lima (IGBVL), acciones que componen el Dow Jones Industrial Average (DJIA), oro, cobre, instrumentos de renta fija del Gobierno peruano e instrumentos de ahorro bancario. Se concluye que el riesgo de portafolios de inversión de acciones que componen el IGVBL disminuye como consecuencia de la diversificación; un activo relevante es el oro que contribuye a disminuir significativamente el riesgo del portafolio.

Submitted by Felipe Merlo Nascimento (felipemerlo.eng@gmail.com) on 2017-09-20T03:09:26Z No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-20T17:57:59Z (GMT) No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) / Made available in DSpace on 2017-09-21T12:47:01Z (GMT). No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) Previous issue date: 2017-08-25 / In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In addition, we found that the Sharpe ratio was higher the lower the beta of the portfolios. Another proposition verified empirically in the Brazilian stock market, and in the considered period, was that the return of the BAB portfolios was positive. In addition, it was the largest one compared to others portfolios, and had the highest expected excess of return per unit of risk. Regarding the alpha, it was expected that the portfolios with higher beta had lower alpha. It was possible to verify this trend, but not in an undeniable way. This motivated us to make a small change in the model of Frazzini and Pedersen, which created a relation between the return of each one of the portfolios and the one of the BAB portfolio. The mathematical prediction, derived from the modified model, says that the coefficient of this relation is smaller the bigger the beta. It was possible to raise this empirical evidence in a clear way. This point was the great differential of this work, since we were the first to raise such evidence and to show that the BAB portfolios can be used as explanatory variable. / Neste trabalho, levantamos evidencias empíricas para investigar se as proposições do modelo de Frazzini e Pedersen (2014) se aplicam ao mercado acionário brasileiro. Utilizando dados que retomam o ano de 2000 até o primeiro trimestre de 2017, verificamos que a SML deste mercado é menos inclinada que a prevista pelo CAPM. De fato, ela chegou a ser negativa, sendo este resultado observado tanto nas analises em séries de tempo quanto nas em corte transversal. Como metodologia para levantar estas evidencias, foram criadas 10 carteiras, organizadas em ordem crescente segundo seus respectivos betas. Calculamos os retornos relativos a cada carteira e, com eles, foi possível verificar que os portfolios com maior beta realizaram menor retorno em excesso. Além disso, verificamos que o índice de Sharpe foi maior quanto menor foi o beta das carteiras. Outra proposição verificada empiricamente no mercado acionário brasileiro, e no período considerado, foi que o retorno das carteiras BAB foi positivo. Além disso, foi o maior entre todas as carteiras, ficando inclusive com o maior retorno esperado em excesso por unidade de risco. No que tange ao alfa, era esperado que as carteiras com maior beta tivessem menor alfa. Foi possível verificar esta tendência, mas não de maneira incontestável. Isso nos motivou a fazer uma pequena alteração no modelo de Frazzini e Pedersen, a qual criou uma relação entre o retorno de cada uma das carteiras e o da carteira BAB. A previsão matemática, oriunda do modelo modificado, diz que o coeficiente desta relação é menor quanto maior for o beta. Foi possível levantar esta evidencia empírica de maneira clara. Este ponto foi o grande diferencial deste trabalho, uma vez que fomos os primeiros a levantar tal evidencia e a mostrar que as carteiras BAB podem ser utilizadas como variável explicativa.

Made available in DSpace on 2010-04-20T20:51:08Z (GMT). No. of bitstreams: 3 154942.pdf.jpg: 18952 bytes, checksum: 23e574558dce7d0f2a386af838a81bbe (MD5) 154942.pdf: 506907 bytes, checksum: 04eae2214c9bdd57e0cbeb2bb4459728 (MD5) 154942.pdf.txt: 81444 bytes, checksum: 047630fc773c90c68757120835adddab (MD5) Previous issue date: 2006-02-15T00:00:00Z / Mutual funds performance evaluation is, traditionally, made using Sharpe Ratio that considers only the first and the second moments of the return distribution (mean and variance), but it requires assumptions on the normality of the returns distribution and on the investor’s utility function as quadratic. However, it is well known that a quadratic utility function is inconsistent with investor behavior and some funds, like hedge funds, have returns distributions far from a normal distribution Keating and Shadwick (2002a, 2002b) proposed a new measure called Omega that incorporates all the moments of the distribution, and has the advantage of requiring no assumptions on the returns distribution or on the utility function of a risk averse investor. The purpose of this work is to verify if this measure has a greater forecast power than other performance measures, like Sharpe and Sortino Ratios. The empiric study indicated that Omega measure makes a ranking, most of the time, different from the other measures. Despite the portfolios constructed with Omega have had an average return greater than the average return of the portfolios constructed using the other measures, in almost all the tests, this difference of averages of returns was significant only in some cases. In spite of this, there is a light indication that Omega measure is the most appropriate for the use of investors when is made the performance evaluation of mutual funds. / A avaliação de desempenho de fundos de investimentos é, tradicionalmente, realizada utilizando-se o Índice de Sharpe, que leva em consideração apenas os dois primeiros momentos da distribuição de retornos (média e variância), assumindo as premissas de normalidade da distribuição de retornos e função quadrática de utilidade do investidor. Entretanto, é sabido que uma função de utilidade quadrática é inconsistente com o comportamento do investidor e que as distribuições de retornos de determinados fundos, como os hedge funds, estão longe de serem uma distribuição normal. Keating e Shadwick (2002a, 2002b) introduziram uma nova medida denominada Ômega que incorpora todos os momentos da distribuição, e tem a vantagem de não ser necessário fazer premissas sobre a distribuição dos retornos nem da função de utilidade de um investidor avesso ao risco. O objetivo deste trabalho é verificar se esta medida Ômega tem um poder de previsibilidade maior que outras medidas de avaliação de desempenho, como o Índice de Sharpe e o Índice de Sortino. O estudo empírico indicou que a medida Ômega gera um ranqueamento, na maioria das vezes, relativamente diferente das outras medidas testadas. Apesar das carteiras formadas com base na medida Ômega terem gerado um retorno médio maior que o retorno médio das carteiras formadas pelas outras medidas em praticamente todos os testes, esta diferença entre as médias dos retornos só foi significativa em alguns casos. Mesmo assim, há uma leve indicação de que a medida Ômega é a mais apropriada para utilização do investidor ao fazer a avaliação de desempenho dos fundos de investimentos.

The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. The leverage of the investment is determined by a conditional expectation estimate of the number of portfolio assets of the next-coming day. A moving window is used to historically measure the transition probabilities of moving from one state to another within this stochastic count process and this is used as an input to the estimator. It is found that the most accurate estimate is the actual trading day’s number of portfolio assets and this is obtained when the size of the moving window is one. Increasing the penalty parameter on transaction costs of selling and buying assets between trading days lowers the aggregated transaction cost and increases the performance of the optimal-weighted portfolio considerably. The best portfolio performance is obtained when at least 50% of the capital is invested equally among the assets when maximizing the modified Sharpe ratio. The optimal-weighted and equal-weighted portfolios are constructed on a daily basis, where the allowed VaR0:05 is €300 000 for each portfolio. This sets the limit on the amount of capital allowed to be invested each trading day, and is determined by empirical VaR0:05 simulations of these two portfolios.

Under de senaste åren har investeringsintresset ökat kraftigt, och i synnerhet intresset för att investera i fonder. Detta medför en problematik då valet att investera i aktivt eller passivt förvaltade fonder inte är självklart. Tidigare studier pekar åt olika håll när det kommer till detta dilemma. Syftet med denna studie är att undersöka vilken förvaltningsstrategi som har gett mest avkastning i förhållande till den tagna risken och avgiften. Då marknaden under de senaste åren har varit volatil ger detta mer relevans till studiens syfte. Studiens valda tidsperiod sträcker sig mellan 2017-04-21 och 2022-04-21. För att vidare undersöka om det lönar sig att investera i aktivt förvaltade fonder med högre avgift, formuleras två hypoteser. Studien undersöker ett urval på totalt 110 aktivt och passivt förvaltade svenska aktiefonder som enbart är exponerade mot svenska bolag.           Studiens resultat av de två förvaltningsstrategiernas genomsnittliga prestations- och riskmått skiljer sig inte avsevärt gentemot varandra. Studiens resultat pekar på att indexfonderna har presterat marginellt bättre än de aktivt förvaltade fonderna och i genomsnitt har dessa gett högst avkastning till lägst tagen risk. Studiens båda hypoteser förkastades då samtliga korrelationskoefficienter påvisade svaga icke-samband samt att de inte var signifikanta på en 5% signifikansnivå. Sammanfattningsvis medför en högre avgift nödvändigtvis inte en högre avkastning eller riskjusterad avkastning. / In the recent years, the interest in investing on the stock market has increased sharply, and in particular the interest to invest in funds. This entails a problem as the choice to invest in actively or passively managed funds is not self-evident. Previous studies point in different directions when it comes to this dilemma. The purpose of this study is to examine which management strategy has given the most return in relation to the risk and the fee. As the market in recent years has been volatile, this gives the purpose of why this study is relevant. This study's investigates the market from 2017-04-21 and 2022-04-21. To further investigate whether it is profitable to invest in actively managed funds with a higher fee compared to index funds, two hypotheses are formulated. The study investigates a sample of 110 actively and passive managed Swedish equity funds that are only exposed to Swedish companies.  The conclusion of the performance and risk measures of the two management strategies do not differ significantly from each other. Marginally the result of this study indicates that the index funds have an average higher return at the lowest risk. Both hypotheses of this study were rejected when all correlation coefficients showed weak non-correlations and that they were not significant at a 5% significance level. In summary, a higher fee does not necessarily lead to a higher return or a higher risk-adjusted return.

There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. Therecent launch of the MSCI Climate Paris Aligned Indices (CPAI) aim to illustrate thedevelopment of an economy that is in line with the requirements and goals of the ParisAgreement from 2015. In this research we aim to find out whether the MSCI Europe,USA and EM Climate Paris Aligned Indices outperform their parent indices. We do thisby comparing performance measures such as the net return, standard deviation of netreturns and Sharpe ratio. We further conduct an ordinary least squares regression to testwhether the betas and Jensen´s alphas of the CPAI differ significantly from their parentindices.The results show that only the USA CPAI clearly outperforms its parent index. This isdue to it having a higher Sharpe Ratio and Jensen’s alpha as well as higher monthly netreturns and a lower standard deviation compared to its parent index. The regressionshows that it does perform better than the parent index. The results for the EM CPAIshow that it performs in a similar way as its parent index. It has a higher monthly netreturn but also slightly higher standard deviation which leads to an equally large Sharperatio. Neither the estimated Jensen’s alpha nor the beta are significantly different fromthose of its parent index and thus the hypothesis of it performing equally as well as itsparent index cannot not be rejected. Lastly, the Europe CPAI has a higher Sharpe ratio,Jensen’s alpha and monthly net returns than its parent index, but it also exhibits a higherstandard deviation. The regression indicated that it performs in a similar way as itsparent index, no difference could be proven. In conclusion, this means that all CPAIperform at least equally as well as their parent indices, if not better.

This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.

The aim of this thesis is to explore the role of bitcoin in an investment portfolio. The paper examines the nature of bitcoin and additionally how bitcoin compares to gold when included in an investment portfolio. This report uses the historical value of bitcoin and investigates with a Mean-Variance model how the risk-adjusted return of an optimized portfolio is affected when bitcoin is a constituent. By comparing Sharpe Ratios from the optimized portfolios, a conclusion can be drawn as to whether bitcoin affects the maximum Sharpe ratio or the global minimum variance point. Our study suggests that including bitcoin in an investment portfolio increases the risk-adjusted return of the portfolio. In addition, portfolios optimized with bitcoin outperform the market. Further, we conclude that bitcoin has a relatively high correlation as compared to gold with the assets in the study. Hence, bitcoin is not the new gold.