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Cost Efficiency and Expense Ratios: Comparing Active Portfolio Management Strategies with Indexation
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.11 MB | Adobe PDF |
Orientador(es)
Resumo(s)
This research scrutinizes the efficacy of active portfolio management versus passive portfolio
management in equity mutual funds from 2005 to 2023. It evaluates the efficiency of these
investment strategies, the performance of actively managed portfolios against benchmarks,
and if there isjustification for higher costs of management, using Sharpe, Treynor, and Omega
Ratios along with Tracking Error. During high volatility periods, passive funds displayed a
mixed performance, while active funds showed resilience, suggesting superior risk
management. In recovery and growth periods, as well as over the full lifetime, active funds
generally outperformed passive ones, with many achieving positive and high Treynor Ratios,
indicating effective management long-term. Higher costs, associated with active
management, are justified by superior risk-adjusted returns and better performance during
volatile periods. This research contributes into the comparative efficacy of active versus
passive management strategies. Future research could extend the timeframe, conduct sectorspecific analyses, and incorporate advanced metrics to provide more comprehensive insights.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Active portfolio management indexation equity mutual funds Sharpe Ratio Treynor Ratio Omega Ratio Tracking Error risk-adjusted returns benchmark performance investment strategies cost justification financial volatility long-term performance SDG 8 - Decent work and economic growth