Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA17-23448S" target="_blank" >GA17-23448S: Modelování a simulace udržitelného investování pro podporu rozhodování</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Periodica Polytechnica, Social and Management Sciences

ISSN

1416-3837

e-ISSN

—

Svazek periodika

28

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

10

Strana od-do

1-10

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85092621701