“Safe” stocks
WM Fong - Journal of Asset Management, 2018 - Springer
We define “safe stocks” as those that have the characteristics of low market betas, high
Sharpe ratios and low tail risk compared to the market portfolio. A profitable dividend yield …
Sharpe ratios and low tail risk compared to the market portfolio. A profitable dividend yield …
Comparing Actively Managed Mutual Fund Categories to Index Funds using Linear Regression Forecasting and Portfolio Optimization
L Weiner - 2022 - scholarworks.uark.edu
The global investment industry offers a wide variety of investment products especially for
individual investors. One such product, index funds, which are younger than actively …
individual investors. One such product, index funds, which are younger than actively …
Are Extreme Negative Return Events Independent of the Market?
H Dong, X Guo, H Reichgelt - The Journal of Wealth Management, 2020 - pm-research.com
This study defines an extreme daily loss event as a daily return lower than 97.5% of their
historical daily returns. We also define an extreme loss of an asset as forgivable if it happens …
historical daily returns. We also define an extreme loss of an asset as forgivable if it happens …