Μέτρα και μέθοδοι αξιολόγησης επενδυτικών στρατηγικών
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Χαρτοφυλάκιο επενδύσεωνAbstract
In this Thesis we collect market data of stocks and apply the Fama and French Three Factor model. Fama and French Model is a pricing model for portfolios that can be seen as an extension of the Capital Asset Pricing model. Based on the results of the time series regression, we calculate the following evaluation measures: a) Sharpe Ratio, b) Generalized Treynor Ratio, c) Jensen Alpha, d) Information Ratio and e) M2. After the data analysis, we calculate the above measures and locate the differences between the rankings. Every single measure has a different weight between returns and risks. Hence, it’s very important to study the reasons of the different rankings. Before we make any statement for the data, we run statistical tests in order to make sure that the regression assumptions are not violated. Finally, the data includes the following European Indexes. i)Eurostoxx50, ii)Eurostoxx600, iii)DAX, vi)Cac 40 and v)Amsterdam.