This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. The purpose is to find out if the investment strategy has had a higher return than the benchmark index DJIA. The results show that the investment strategy outperforms the DJIA by 111% between the years 2000 to 2020, however, the results show no statistical significance. Beta is used as risk measurement to explain the correlation between the portfolios and the benchmark index by calculating CAPM. Standard deviation is used to calculate the Sharpe ratio and thereby assess a risk-adjusted result.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-97709 |
| Date | January 2020 |
| Creators | Knutsson, William, Ekeroth, David |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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