Publicação
Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario
| datacite.subject.fos | Ciências Naturais::Ciências da Computação e da Informação | pt_PT |
| dc.contributor.advisor | Ashofteh, Afshin | |
| dc.contributor.author | Alves, André Filipe Levita | |
| dc.date.accessioned | 2024-03-06T14:36:27Z | |
| dc.date.available | 2024-03-06T14:36:27Z | |
| dc.date.issued | 2024-01-29 | |
| dc.description | Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management | pt_PT |
| dc.description.abstract | The 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. | pt_PT |
| dc.identifier.tid | 203543416 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/164526 | |
| dc.language.iso | eng | pt_PT |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | pt_PT |
| dc.subject | Portfolio management | pt_PT |
| dc.subject | active portfolio management | pt_PT |
| dc.subject | indexation | pt_PT |
| dc.subject | performance analysis | pt_PT |
| dc.subject | portfolio comparison | pt_PT |
| dc.subject | mutual funds | pt_PT |
| dc.subject | SDG 8 - Decent work and economic growth | pt_PT |
| dc.title | Active portfolio management vs indexation: a study of correlation linked to a pandemic scenario | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Estatística e Gestão de Informação, especialização em Análise e Gestão de Risco | pt_PT |