Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario

Detalhes bibliográficos
Autor(a) principal: Alves, André Filipe Levita
Data de Publicação: 2024
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/164526
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
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spelling Active portfolio management vs indexation: a study of correlation linked to a pandemic scenarioPortfolio managementactive portfolio managementindexationperformance analysisportfolio comparisonmutual fundsSDG 8 - Decent work and economic growthDomínio/Área Científica::Ciências Naturais::Ciências da Computação e da InformaçãoDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and ManagementThe present dissertation was done with the objective of examining the performance of actively managed funds in comparison to their benchmark in the context of the efficient market hypothesis. The research analyzes a sample of mutual funds across multiple asset classes and geographies over a given period of time. The analysis employs multiple performance metrics, such as the Greeks (alpha and beta), the Sharpe, Treynor and Information ratios, to evaluate the effectiveness of active management. Additionally, the research explores the impact of fees and expenses on the performance of actively managed funds, which is supported by literature. The results confirmed that, on average, actively managed funds underperformed passive funds, which is not limited to but likely attributable to fees and expense. However, the analysis also identifies a subset of active funds that consistently outperform passive funds, suggesting that skilled active management still exists which may provide extra value to some investors. This research concludes with implications for investors and fund managers and offers directions for future research.Ashofteh, AfshinRUNAlves, André Filipe Levita2024-03-06T14:36:27Z2024-01-292024-01-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/164526TID:203543416enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:52:56Zoai:run.unl.pt:10362/164526Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T04:00:14.065413Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
title Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
spellingShingle Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
Alves, André Filipe Levita
Portfolio management
active portfolio management
indexation
performance analysis
portfolio comparison
mutual funds
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
title_short Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
title_full Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
title_fullStr Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
title_full_unstemmed Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
title_sort Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
author Alves, André Filipe Levita
author_facet Alves, André Filipe Levita
author_role author
dc.contributor.none.fl_str_mv Ashofteh, Afshin
RUN
dc.contributor.author.fl_str_mv Alves, André Filipe Levita
dc.subject.por.fl_str_mv Portfolio management
active portfolio management
indexation
performance analysis
portfolio comparison
mutual funds
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
topic Portfolio management
active portfolio management
indexation
performance analysis
portfolio comparison
mutual funds
SDG 8 - Decent work and economic growth
Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
publishDate 2024
dc.date.none.fl_str_mv 2024-03-06T14:36:27Z
2024-01-29
2024-01-29T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/164526
TID:203543416
url http://hdl.handle.net/10362/164526
identifier_str_mv TID:203543416
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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