Performance, comparison and risk-adjustment metrics for portfolios in Germany and USA

Abstract

Η διπλωματική εργασία, εξετάζει την απόδοση χαρτοφυλακίων μετοχών στην Γερμανία και τις Η.Π.Α., με τη βοήθεια του μοντέλου CAPM. Επίσης, γίνεται σύγκριση των χαρτοφυλακίων αυτών με τη συνεισφορά διαφόρων μέτρων κινδύνου όπως έχουν προταθεί στη βιβλιογραφία. Τέλος, η εργασία ερμηνεύει και επαληθεύει την ύπαρξη του size-effect φαινομένου.The aim of this master thesis is to evaluate the performance and to calculate risk-adjustment metrics for different portfolios of stocks. In two different markets (Germany and USA) and with different time horizon, with the help of CAPM we compute the expected return and the standard deviation. After this procedure, we find the Sharpe ratio, Jensen’s Alpha and Treynor Ratio. Taking into consideration market capitalization, we divide for both countries, our sample to two segments. The first one, includes the enterprises with market capitalization above the average and the second one below of that. The last part presents for each country a portfolio comprised only from stocks with positive Jensen’s Alpha. Following the same procedure as described above, we compare our results and provide explanations from Portfolio Theory and Corporate Finance Theory.