Publication detail

Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

NOVOTNÁ, V. ŠKAPA, S.

Original Title

Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

Type

journal article in Scopus

Language

English

Original Abstract

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.

Keywords

risk, return, equity indexes, semideviation, bootstrap, real-world data

Authors

NOVOTNÁ, V.; ŠKAPA, S.

Released

17. 4. 2020

Publisher

Budapest University of Technology and Economics

Location

Budapest

ISBN

1416-3837

Periodical

Periodica Polytechnica, Social and Management Sciences

Year of study

28

Number

2

State

Hungary

Pages from

1

Pages to

10

Pages count

10

URL

https://pp.bme.hu/so/article/view/13412

Full text in the Digital Library

http://hdl.handle.net/11012/196656

BibTex

@article{BUT163668,
  author="Veronika {Novotná} and Stanislav {Škapa}",
  title="Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices",
  journal="Periodica Polytechnica, Social and Management Sciences",
  year="2020",
  volume="28",
  number="2",
  pages="1--10",
  doi="10.3311/PPso.13412",
  issn="1416-3837",
  url="https://pp.bme.hu/so/article/view/13412"
}