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NOVOTNÁ, V. ŠKAPA, S.
Originální název
Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices
Typ
článek v časopise ve Scopus, Jsc
Jazyk
angličtina
Originální abstrakt
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.
Klíčová slova
risk, return, equity indexes, semideviation, bootstrap, real-world data
Autoři
NOVOTNÁ, V.; ŠKAPA, S.
Vydáno
17. 4. 2020
Nakladatel
Budapest University of Technology and Economics
Místo
Budapest
ISSN
1416-3837
Periodikum
Periodica Polytechnica, Social and Management Sciences
Ročník
28
Číslo
2
Stát
Maďarsko
Strany od
1
Strany do
10
Strany počet
URL
https://pp.bme.hu/so/article/view/13412
Plný text v Digitální knihovně
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" }