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Geographical performance comparison of index funds from 2012 to 2022
No full textTämän tutkielman tavoitteena on selvittää, miten eri indeksirahastojen tuotto eroaa maantieteellisesti toisistaan vuosina 2012–2022. Tuoton lisäksi indeksirahastoja tarkastellaan riskikorjattujen menestysmittarien avulla, jotka ottavat huomioon indeksirahastojen riskin. Tutkielman tarkoitus on siis tutkia, miten maantieteellinen valinta vaikuttaa indeksirahastojen mahdolliseen riskikorjattuun tuottoon.
Tutkielmaan valikoitui mukaan kuusi indeksirahastoa sekä yksi vertailuindeksi. Tutkimusaineisto kerätään aikasarjadatana Yahoo Finance-tietokannasta, joka sisältää valittujen indeksirahastojen sekä vertailuindeksin päivittäisen hintahistorian valitulta aikaväliltä 1.1.2012–31.12.2022. Indeksirahastojen suoriutumista tutkitaan kolmen riskikorjatun menestysmittarin avulla. Mittareina käytetään Sharpen lukua, Treynorin lukua ja Jensenin alfaa.
Keskeisinä tuloksina havaittiin, että vuosituoton ja riskikorjattujen menestysmittarien näkökulmasta parhaiten menestyi Vanguardin S&P 500 ETF-rahasto, joka sijoittaa suuriin yhdysvaltalaisiin yrityksiin. Tutkimustulokset olivat S&P500 ETF-rahastojen osalta samankaltaisia kuin aiemmissa vastaavissa tutkimuksissa, mutta myös eroavaisuuksia löytyi esimerkiksi kehittyvien markkinoiden osalta. Jatkotutkimuksen kannalta olisi oleellista lähteä selvittämään mistä erot tarkalleen voisivat johtua muodostamalla laajempi indeksirahastojen joukko vertailua varten.The purpose of this thesis is to find out how the returns of different index funds differ geographically between 2012 and 2022. In addition to returns, index funds are examined using risk-adjusted performance measures that consider the risk of chosen funds. The purpose of the thesis is therefore to investigate how geographical selection affects the potential risk-adjusted returns of index funds.
Data consists of six index funds and one benchmark index. The data is collected as time series data from the Yahoo Finance database, which contains the daily price history of the selected index funds and the benchmark index for the selected period from 1 January 2012 to 31 December 2022. The performance of the index funds is examined using three risk- adjusted performance measures. The measures used are Sharpe ratio, Treynor ratio and Jensen's alpha.
The key findings were that the best performing index fund in terms of annual return and risk- adjusted performance measures was Vanguard's S&P 500 ETF, which invests in large US companies. The results for the S&P 500 ETFs were similar to those of previous studies, but there were also differences, for example in emerging markets. For further research, it would be essential to investigate what exactly could be behind the differences by building a broader set of index funds for comparison
Onko long-short-faktorisijoittamisen taika kadonnut? : finanssikriisin jälkeistä evidenssiä Yhdysvaltain osakemarkkinoilta
No full textThe empirical findings of this thesis reveal a clear deterioration in the performance of longshort factor strategies in the U.S. equity market following the global financial crisis 2007–2009. By employing an extensive empirical analysis across multiple equity factors, the thesis demonstrates that while certain factors such as short-term reversal and operating profitability have continued generating modestly positive long-short returns, the majority of the longshort factors have experienced a significant return attenuation. More specifically, the attenuation is in most cases caused by negative short-leg returns to the extent that during the post-crisis period from 03/2009 to 12/2023, more than one third of the examined 153 longshort factor returns are negative, whereas during the preceding period from 11/1971 to 02/2009, around one tenth of the factor spreads are negative. The efficacy of long-short factor strategies seems to deteriorate particularly during prolonged bull markets, when profitable short bets are less likely than in bearish conditions where the majority of stocks decline.
The results based on both standard and skewness- and kurtosis-adjusted Sharpe ratios (SKASRs) are in line with return-only-based performance statistics, revealing that none of the examined long-short factor portfolios has significantly outperformed the market portfolio, whereas during the above-defined preceding period, 32 out of the corresponding 153 factor portfolios were identified as outperformers (at the 5% significance level) in terms of SKASR. The decomposition of long-short returns into long- and short-leg returns (for the 15 factors, for which distinct leg returns were publicly available or replicable) reveals that the attenuated long-short performance is mostly attributable to inferior performance of shortleg stocks. Particularly during the post-crisis period, the added-value of opening a short leg beside a long leg has been significantly negative for all the 15 factors in terms of both absolute and risk-adjusted returns.Tämän tutkielman empiiriset tulokset osoittavat long-short –faktorituottojen laskeneen Yhdysvaltain osakemarkkinoilla vuosien 2007–2009 globaalin finanssikriisin jälkeen, vaikkakin jotkut long-short –strategioista — kuten esimerkiksi edellisen kuukauden kurssihistoriaan (short term-reversal) ja operatiiviseen kannattavuuteen perustuvat strategiat — ovat edelleen yltäneet niukasti positiivisiin tuottoihin. Lasku johtuu useimmissa tapauksissa lyhyeksimyyntien tappiollisuudesta, minkä seurauksena yli kolmanneksella 153 tutkitusta long-short –faktoristrategiasta tuotto on jäänyt finanssikriisin jälkeisellä periodilla (03/2009–12/2023) negatiiviseksi, kun taas kriisiä edeltävällä ajanjaksolla (11/1971–02/2009) vastaavat faktorispredit ovat jääneet miinukselle ainoastaan noin kymmenesosalla long-short strategioista. Long-short -strategioiden tehokkuus näyttää heikentyneen erityisesti pitkittyneissä nousumarkkinoissa (bull markets), joissa kannattavat short-positiot ovat harvinaisempia verrattuna laskumarkkinatilanteisiin (bear markets), joissa suurin osa osakkeista menettää arvoaan.
Tulokset ovat samansuuntaisia riskikorjatuilla suoriutumismittareilla, sillä sekä perinteisten että vinous- ja huipukkuuskorjattujen Sharpen indeksien perusteella yksikään 153 longshort –faktoriportfoliosta ei ole kriisinjälkeisperiodilla ylisuoriutunut suhteessa markkinaportfolioon tilastollisesti merkitsevästi. Sitä vastoin edeltävällä periodilla (11/1971–02/2009) 32 vastaavaa faktoriportfoliota osoittautui ylisuoriutuneen tilastollisesti merkitsevästi (5 %:n merkitsevyystasolla). 15 faktorista, joille erilliset long- ja short-leg –tuotot olivat julkisesti saatavilla tai luotettavasti replikoitavissa, saadut tulokset vahvistivat, että long-short –faktoristrategioiden heikentynyttä suoriutumista selittää pääasiassa lyhyeksimyytyjen short-legien heikko ja usein negatiivinenkin tuotto. Erityisesti kriisinjälkeisperiodilla lisäarvo lyhyeksimyydyn position avaamisesta long-position rinnalle on ollut kaikkien em. 15 faktorin kohdalla negatiivinen sekä absoluuttisten että riskikorjattujen tuottojen perusteella
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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