The merits of factors as potential core elements for portfolio construction
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The merits of factors as potential core elements for portfolio constructionAutoria
Tutor/Supervisor; Universitat.Departament
Alemany Palomo, NuriaData de publicació
2021Editor
Universitat Jaume IResum
In the present work, the German DAX30 equity market is used, in the period 2017-2020 to try to demonstrate that a portfolio based on momentum factors, low volatility and a combination of both is capable of beating the ... [+]
In the present work, the German DAX30 equity market is used, in the period 2017-2020 to try to demonstrate that a portfolio based on momentum factors, low volatility and a combination of both is capable of beating the benchmark index or passive strategies. Despite not being such a recent element, it has been gaining popularity in recent times, although in Europe it is still less present than in the United States. In addition, we analyse its performance in the recent crisis caused by Covid-19, what results it has had and if it confirms our hypothesis that, in the end, factors are winner strategies. [-]
Paraules clau / Matèries
Descripció
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2020-2021
Tipus de document
info:eu-repo/semantics/bachelorThesisDrets d'accés
info:eu-repo/semantics/openAccess