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Empirisk undersökning av aktieindexobligationer : Till vilken grad tar innehavaren del av underliggande index avkastning?

by Ihlenius, Erik; Nyblom, Peter

Abstract (Summary)
The purpose of this essay is to evaluate stock index bonds return to risk ratio in order to investigate to which degree an investor in a stock index bond take part of the underlying index return and what the investor must pay for the security of not losing his funds. In order to carry out this evaluation an average return per year and the Sharpe ratio will be calculated and a mean- standard deviation analysis will be made. All investigated stock index bonds are based on a Swedish underlying asset.The results show that the stock index bonds haven’t generated a higher risk adjusted return than its underlying asset. The stock index bonds took part of 57 % of the underlying assets return, and the loss of 10 percentage points per year for the stock index bonds compared to its underlying asset can be seen as the cost for the guarantee a stock index bond gives.
Bibliographical Information:

Advisor:

School:Uppsala universitet

School Location:Sweden

Source Type:Master's Thesis

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ISBN:

Date of Publication:06/01/2007

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