Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F20%3APU136281" target="_blank" >RIV/00216305:26510/20:PU136281 - isvavai.cz</a>
Result on the web
<a href="https://pp.bme.hu/so/article/view/13412" target="_blank" >https://pp.bme.hu/so/article/view/13412</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3311/PPso.13412" target="_blank" >10.3311/PPso.13412</a>
Alternative languages
Result language
angličtina
Original language name
Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices
Original language description
The aim of this article is to present the results of research associated with the ex-post estimation of expected risk, return and other characteristics of strategy equity indices and capital-weighted equity indices partially and to determine credible methods for a transparent comparison. The data sources are the MSCI and STOXX equity index providers. Suitable statistical methods and a computation-intensive method for estimating selected characteristics have been used and compared to one another. For the measurement of excess return per unit of risk a modified Sortino ratio was used, which takes into account only the downside size and frequency of returns, measuring the return to negative volatility trade-off. Based on our results, it is apparent that some strategic equity indices outperform capital-weighted equity indices in a long-term investment perspective (1997-2018). A suitable combination of strategic equity indices, namely the mix of dividend strategy and momentum strategy may lead to the highest yield / risk ratio expressed by the Sortino ratio. The outperformance path of a mix of dividends and momentum strategy indices is much more stable than either the performance of the individual strategy equity indices or capital-weighted equity indices alone.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA17-23448S" target="_blank" >GA17-23448S: Modelling and simulation of sustainable investment decision-making</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Periodica Polytechnica, Social and Management Sciences
ISSN
1416-3837
e-ISSN
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Volume of the periodical
28
Issue of the periodical within the volume
2
Country of publishing house
HU - HUNGARY
Number of pages
10
Pages from-to
1-10
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85092621701