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Kan aktiv förvaltning av Svenska aktiefonder ge långsiktigt högre riskjusterad avkastning än index eller indexfonder?
Örebro University, Department of Business, Economics, Statistics and Informatics.
Örebro University, Department of Business, Economics, Statistics and Informatics.
2007 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The purpose of this thesis is to test the performance of actively managed mutual funds and their passive counterparts. This is done using paired t-tests. To be able to draw conclusions from our samples we randomly picked funds from the Swedish fund basket hosted on the Morningstar website. We calculated three risk-adjusted returns using Morningstar’s J-NAV data that was collected from either the funds directly, thru Morningstar, or SIX. The calculations for Sharpe Ratio, Treynor Ratio and Jensen’s alpha were performed under 24 or 36-month intervals depending on if we used the calculations for either the six or the ten-year period.

The calculated results show that our paired t-test had significance in all but a few tests. The results point towards the conclusion that actively managed Swedish funds outperformed a basket of seven randomly picked passive index funds. The tests are inconclusive between funds that invest in large and mid-cap stocks versus the passive portfolio because all the results in risk-adjusted returns do not show significance. The strongest results are found between funds that invest in mid and small-cap stocks because they outperform both funds that invest in large and mid-cap stocks as well as the passive portfolio.

After drawing conclusions from these portfolios we turn our attention to individual funds. Using individual results, we can show that it is more difficult for active funds to outperform an index than it is to outperform an index fund. This was expected and the reason we choose to perform our tests against index funds. This is also why one should be skeptical against articles and/or tests that only compare mutual funds with an index.

Place, publisher, year, edition, pages
2007. , p. 67
Keyword [sv]
Fonder, Risk, riskjusterad, Sharp, Jensen, Treynor
National Category
Business Administration
Identifiers
URN: urn:nbn:se:oru:diva-1973ISRN: ORU-ESI/FEK-D--08/0006--SEOAI: oai:DiVA.org:oru-1973DiVA, id: diva2:135720
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Available from: 2008-03-12 Created: 2008-03-12 Last updated: 2017-10-18

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf