Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices

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dc.contributor.authorNovotná, Veronikacs
dc.contributor.authorŠkapa, Stanislavcs
dc.coverage.issue2cs
dc.coverage.volume28cs
dc.date.issued2020-04-17cs
dc.description.abstractThe 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.en
dc.formattextcs
dc.format.extent1-10cs
dc.format.mimetypeapplication/pdfcs
dc.identifier.citationPeriodica Polytechnica, Social and Management Sciences. 2020, vol. 28, issue 2, p. 1-10.en
dc.identifier.doi10.3311/PPso.13412cs
dc.identifier.issn1416-3837cs
dc.identifier.orcid0000-0001-9360-3035cs
dc.identifier.orcid0000-0002-9681-0061cs
dc.identifier.other163668cs
dc.identifier.scopus55546358800cs
dc.identifier.urihttp://hdl.handle.net/11012/196656
dc.language.isoencs
dc.publisherBudapest University of Technology and Economicscs
dc.relation.ispartofPeriodica Polytechnica, Social and Management Sciencescs
dc.relation.urihttps://pp.bme.hu/so/article/view/13412cs
dc.rightsCreative Commons Attribution 4.0 Internationalcs
dc.rights.accessopenAccesscs
dc.rights.sherpahttp://www.sherpa.ac.uk/romeo/issn/1416-3837/cs
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/cs
dc.subjectrisken
dc.subjectreturnen
dc.subjectequity indexesen
dc.subjectsemideviationen
dc.subjectbootstrapen
dc.subjectreal-world dataen
dc.titleBootstrap Estimation of Expected Risk and Return of Strategy Equity Indicesen
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
sync.item.dbidVAV-163668en
sync.item.dbtypeVAVen
sync.item.insts2025.02.03 15:43:03en
sync.item.modts2025.01.17 16:35:44en
thesis.grantorVysoké učení technické v Brně. Fakulta podnikatelská. Ústav ekonomikycs
thesis.grantorVysoké učení technické v Brně. Fakulta podnikatelská. Ústav informatikycs
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