*Tid:* **28 september 2015 kl 10.15-11.00.**
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedtsvägen 25, plan 7.
Karta!
*Föredragshållare:*
**
Alexandra Andersson
**
**Titel:**
Smart beta investment based on macroeconomic indicators
(Master's thesis)
**Abstract**
This thesis examines the possibility to find a relationship between the Nasdaq Nordea Smart
Beta Indices and a series of macroeconomic indicators. This relationship will be used as
a signal-value and implemented in a portfolio consisting of all six smart beta indices. To
investigate the impact of the signal-value on the portfolio performance, three portfolio
strategies are examined with the equally weighted portfolio as a benchmark. The portfolio
weights will be re-evaluated monthly and the portfolios examined are the mean-variance
portfolio, the mean-variance portfolio based on the signal-value and the equally weighted
portfolio based on the signal-value.
In order to forecast the performance of the portfolio, a multivariate GARCH model
with time-varying correlations is fitted to the data and three different error-distributions
are considered. The performances of the portfolios are studied both in- and out-of-sample
and the analysis is based on the Sharpe ratio.
The results indicate that a mean-variance portfolio based on the relationship with the
macroeconomic indicators outperforms the other portfolios for the in-sample period, with
respect to the Sharpe ratio. In the out-of-sample period however, none of the portfolio
strategies has Sharpe ratios that are statistically different from that of an equally weighted
portfolio.
The full report (pdf)
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