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Hedge Fund Performance With The Treynor-Black Model, Gurkamal S. Pannu
Hedge Fund Performance With The Treynor-Black Model, Gurkamal S. Pannu
Honors Theses
This paper seeks to analyze the information ratio differences between long/short hedge funds over the past two decades using the Treynor-Black model. The Treynor-Black model is a method to derive an optimal portfolio allocation across safe and risky assets, based off of expected alphas of active investments and the unsystematic volatility that can be attributed to each given security. We first developed and implemented a model to forecast information ratios on a database of long/short hedge funds. With the predicted information ratios, we calculated out-of-sample allocation weights from a Treynor-Black active portfolio model. These weights were then tested in a …
Sustainable Portfolios To Maximize Alpha, Douglas Stephen Carey
Sustainable Portfolios To Maximize Alpha, Douglas Stephen Carey
Honors Theses
There has been a new movement for investment funds to align with investor morals. They are known as Environmental, Social, and Governance (ESG) funds, and have become a strong focus for asset management firms. Currently these funds have a negative stigma because most investors believe that due to added constraints on these portfolios, they will not be able to outperform non-sustainable portfolios. This is why the sustainable investment portfolios will be created. The portfolios undergo two focuses. The first portfolio employs a negative screening, which means that the portfolio will exclude specific industries that are deemed unsustainable. The other portfolio …