@article{Novotná_Škapa_2020, title={Bootstrap Estimation of Expected Risk and Return of Strategy Equity Indices}, volume={28}, url={https://pp.bme.hu/so/article/view/13412}, DOI={10.3311/PPso.13412}, abstractNote={<p>The aim of this article is to present the results of research associated with the ex-post estimation of expected risk, return and other characteristics of strategy equity indices and capital-weighted equity indices partially and to determine credible methods for a transparent comparison. The data sources are the MSCI and STOXX equity index providers. Suitable statistical methods and a computation-intensive method for estimating selected characteristics have been used and compared to one another.<br>For the measurement of excess return per unit of risk a modified Sortino ratio was used, which takes into account only the downside size and frequency of returns, measuring the return to negative volatility trade-off. Based on our results, it is apparent that some strategic equity indices outperform capital-weighted equity indices in a long-term investment perspective (1997-2018).<br>A suitable combination of strategic equity indices, namely the mix of dividend strategy and momentum strategy may lead to the highest yield / risk ratio expressed by the Sortino ratio. The outperformance path of a mix of dividends and momentum strategy indices is much more stable than either the performance of the individual strategy equity indices or capital-weighted equity indices alone.</p>}, number={2}, journal={Periodica Polytechnica Social and Management Sciences}, author={Novotná, Veronika and Škapa, Stanislav}, year={2020}, pages={111–120} }