Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/18744
Título: Scaling returns : a constant volatility strategy
Autor: Ferreira, Ana Filipa Moiteiro Andrade
Orientador: Faias, José
Data de Defesa: 2-Nov-2015
Resumo: This dissertation shows that scaling asset value-weighted returns from the S&P 500 index increases the Sharpe ratio of the portfolio from 0.19 to 0.62. The average Sharpe ratio for twelve value-weighted industry portfolios similarly increases from 0.39 to 0.72. Maintaining a constant level of volatility over time proved to hedge the investors risk and we show that using this constant measure of volatility over time, which corresponds to the historical measure of average volatility for the S&P 500 index, yields results robust across different indexes, sub-samples, across industries and for different sample restrictions. Robustness was also tested for recession and expansion periods, with the results being stronger for the latter. Finally, we compute a winner minus loser momentum strategy where the Sharpe Ratio of the strategy increases from 0.28 with raw returns to 0.65 with scaled returns.
URI: http://hdl.handle.net/10400.14/18744
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
152412029_Scaling returns-a constant volatility strategy.pdf229,94 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.