Performance analysis of low volatility strategies in the european market in the long run
Resumen
The former End of Master Project will examine the performance of the STOXX 600 Europe Index
from 2001 to 2018 in order to assess whether low volatility stocks are able to overperform the
market as a whole in the long run, rejecting the traditional statement in finance which claims a
positive relationship between risk and return. The study was carried out combining two different
kind of analysis: a linear regression analysis to assess whether the variable risk (volatility) has a
significant impact over returns and how are they correlated and a total return comparison to
evaluate whether low volatility stocks outperform the market as a whole in the long run. The
results displayed significant relationships between the variables under extreme market
conditions (bull and bear periods). Nevertheless, the correlation during market downturns was
higher, which allowed low volatility stocks to outperform the overall market during the selected
period due to the power of compounding.
Trabajo Fin de Máster
Performance analysis of low volatility strategies in the european market in the long runTitulación / Programa
Máster Universitario en FinanzasMaterias/ UNESCO
53 Ciencias Económicas5304 Actividad económica
530401 Consumo, ahorro, inversión
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