Active and passive funds: excess returns and persistence in performance - Evidence from the Swedish fund market 2000-2011 -
(2012) NEKN02 20121Department of Economics
- Abstract (Swedish)
- The purpose of this thesis is to study the performance of mutual funds in the Swedish fund market in 2000-2011. We study whether the active funds performed better than passive funds in terms of abnormal returns. We further study if a fund’s historical performance is a direct indicator of the fund’s performance in the future by measuring persistence in performance. Our data includes 28 active and 11 passive funds operating in the Swedish fund market. The one-factor (CAPM) and three-factor (Fama and French) benchmark models are used to estimate the excess returns in individual fund and portfolio level. We calculate a linear regression of fund returns in excel and apply performance indices such as Jensen’s alpha and Treynor’s index. The... (More)
- The purpose of this thesis is to study the performance of mutual funds in the Swedish fund market in 2000-2011. We study whether the active funds performed better than passive funds in terms of abnormal returns. We further study if a fund’s historical performance is a direct indicator of the fund’s performance in the future by measuring persistence in performance. Our data includes 28 active and 11 passive funds operating in the Swedish fund market. The one-factor (CAPM) and three-factor (Fama and French) benchmark models are used to estimate the excess returns in individual fund and portfolio level. We calculate a linear regression of fund returns in excel and apply performance indices such as Jensen’s alpha and Treynor’s index. The performance persistence is measured by a separate test including dummy variables as a performance indicator. We concluded that the observed active funds do not generate statistically significant abnormal returns; an investor is better off investing in a passive fund. Further, we discern how some individual funds show persistence in performance as a winner or a loser while no evidence is found for portfolio of funds. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2702113
- author
- Halonen, Elisa LU and Ljungberg, Anna LU
- supervisor
- organization
- course
- NEKN02 20121
- year
- 2012
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- single index model, active and passive funds, excess returns, three factor model
- language
- English
- id
- 2702113
- date added to LUP
- 2012-06-08 14:27:38
- date last changed
- 2012-06-08 14:27:38
@misc{2702113,
abstract = {{The purpose of this thesis is to study the performance of mutual funds in the Swedish fund market in 2000-2011. We study whether the active funds performed better than passive funds in terms of abnormal returns. We further study if a fund’s historical performance is a direct indicator of the fund’s performance in the future by measuring persistence in performance. Our data includes 28 active and 11 passive funds operating in the Swedish fund market. The one-factor (CAPM) and three-factor (Fama and French) benchmark models are used to estimate the excess returns in individual fund and portfolio level. We calculate a linear regression of fund returns in excel and apply performance indices such as Jensen’s alpha and Treynor’s index. The performance persistence is measured by a separate test including dummy variables as a performance indicator. We concluded that the observed active funds do not generate statistically significant abnormal returns; an investor is better off investing in a passive fund. Further, we discern how some individual funds show persistence in performance as a winner or a loser while no evidence is found for portfolio of funds.}},
author = {{Halonen, Elisa and Ljungberg, Anna}},
language = {{eng}},
note = {{Student Paper}},
title = {{Active and passive funds: excess returns and persistence in performance - Evidence from the Swedish fund market 2000-2011 -}},
year = {{2012}},
}