Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Smart Beta based on ROE: is Smart Beta based on ROE a good investment
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Abstract Background: Smart beta is one of the most popular investment strategies at the moment and projections show that the money invested in Smart Betas will continue to increase. The reason for the growing popularity is that it is a hybrid between active and passive investment. Where the Smart Beta strategy avoids the flaw of holding too many overvalued stocks in passive investing as well as reducing the management fees that comes with active investments. There are many different ways to construct a Smart beta. Several studies have been done to see if there is a possibility to create a Smart Beta based on ROE and they have all showed positive results. Purpose: The purpose of this thesis is to investigate if a Smart Beta based on ROE would perform better than the Swedish market. This thesis will also investigate which are the optimal weights for the Smart Beta. Method: Three different strategies are used in order to select stocks for the portfolios these portfolios are weighted in three different weightings. The performance of all portfolios are calculated through backtesting and then compared against the benchmark OMXSGI. Conclusion: The average return of the betas is higher than the comparable index, however they have taken a small amount of additional risk. The risk-adjusted measurements show that the extra risk is compensated with additional return, since the Smart Betas have higher average risk-adjusted measurement ratios. Therefore, a Smart Beta based on ROE should be created. The Last ROE strategy shows that the best returns and risk-adjusted returns and the Sharpe weighting (SW) was substantially better than the other weightings. Although, the time-horizon is relative short and it needs more research in order to make a conclusion with more certainty. 

Place, publisher, year, edition, pages
2017. , 42 p.
Keyword [en]
Smart Beta
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-35966ISRN: JU-IHH-FÖA-2-20170349OAI: oai:DiVA.org:hj-35966DiVA: diva2:1107812
Supervisors
Examiners
Available from: 2017-06-12 Created: 2017-06-11 Last updated: 2017-06-12Bibliographically approved

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Abrahamsson, Philip
By organisation
JIBS, Business Administration
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 65 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf