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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

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • 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

  • 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

  • EID of the result in the Scopus database

    2-s2.0-85092621701