Performance Persistence in the Swedish Fund Market
(2017) NEKN01 20171Department of Economics
- Abstract
- In this study, the performance persistence in the Swedish mutual fund market is investigated.
The performance is measured by two different ratios. The ratios that we use are the Sharpe
Ratio and the Reward-to-VaR ratio which are both measuring risk-adjusted returns. When the performance persistence is tested there are several periods of significant performance persistence. The proportion of periods that show significant
performance persistence varies depending on the performance measure and what time period
that is studied.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8913203
- author
- Egesten, Henrik LU and Östblom, Carl-Johan LU
- supervisor
-
- Dag Rydorff LU
- organization
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Value-at-Risk, Sharpe-Ratio, Reward-to-VaR, Spearman's Ranking Correlation, Performance Persistence
- language
- English
- id
- 8913203
- date added to LUP
- 2017-07-10 13:54:17
- date last changed
- 2017-07-10 13:54:17
@misc{8913203, abstract = {{In this study, the performance persistence in the Swedish mutual fund market is investigated. The performance is measured by two different ratios. The ratios that we use are the Sharpe Ratio and the Reward-to-VaR ratio which are both measuring risk-adjusted returns. When the performance persistence is tested there are several periods of significant performance persistence. The proportion of periods that show significant performance persistence varies depending on the performance measure and what time period that is studied.}}, author = {{Egesten, Henrik and Östblom, Carl-Johan}}, language = {{eng}}, note = {{Student Paper}}, title = {{Performance Persistence in the Swedish Fund Market}}, year = {{2017}}, }