Smart Beta. Discovering the world of smart Beta
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
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Título
Smart Beta. Discovering the world of smart BetaAutoría
Tutor/Supervisor; Universidad.Departamento
Salvador Aragó, Enrique; Universitat Jaume I. Departament de Finances i ComptabilitatFecha de publicación
2018-11-14Editor
Universitat Jaume IResumen
The objective of this document is to conduct a study on the Smart Beta, a new investment strategy that aims to generate a higher return than the market index based on the analysis of the classical mean-variance theory ... [+]
The objective of this document is to conduct a study on the Smart Beta, a new investment strategy that aims to generate a higher return than the market index based on the analysis of the classical mean-variance theory of Markowitz. To demonstrate if the smart betas have generated better returns than their benchmarks, we will review the main academic models on which they are based and the evolution of the main smart betas available in the United States compared to its reference index. Finally, we also create our “homemade” portfolios of Smart Beta for the Spanish market for the period 2012-2017, all based on similar models that the ones used in the investment fund industry. After our analysis, we verify that most of the returns of smart beta strategies outperform the reference index, corroborating that the excitement about Smart Beta was justified. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2018-2019
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess
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