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LUND UNIVERSITY LIBRARIES

Do actively managed mutual funds beat the market? A randomized procedure using Monte Carlo simulation

Lundqvist, Adam (2010)
Department of Economics
Abstract
The aim of the thesis is to examine if the efficient market hypothesis applies to the Swedish mutual fund market, and thereby determine whether actively managed funds in Sweden beat the market or not. In order to do so I constructed a Monte Carlo simulation of the Stockholm stock exchange that produced random portfolios following a set of investment constraints. A series of comparisons between the actual mutual funds and the random portfolios showed that active management did not create any excess returns above what could be explained by luck. No sign of superior stock selecting abilities or timing was found.
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author
Lundqvist, Adam
supervisor
organization
year
type
M2 - Bachelor Degree
subject
keywords
market efficiency, Swedish market, Monte Carlo Simulation, Active Management, Random Portfolios, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
English
id
1549370
date added to LUP
2010-02-09 00:00:00
date last changed
2010-08-03 10:53:03
@misc{1549370,
  abstract     = {{The aim of the thesis is to examine if the efficient market hypothesis applies to the Swedish mutual fund market, and thereby determine whether actively managed funds in Sweden beat the market or not. In order to do so I constructed a Monte Carlo simulation of the Stockholm stock exchange that produced random portfolios following a set of investment constraints. A series of comparisons between the actual mutual funds and the random portfolios showed that active management did not create any excess returns above what could be explained by luck. No sign of superior stock selecting abilities or timing was found.}},
  author       = {{Lundqvist, Adam}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Do actively managed mutual funds beat the market? A randomized procedure using Monte Carlo simulation}},
  year         = {{2010}},
}