Passivt och aktivt förvaltade fonder - En studie om relationen mellan förvaltningsstil och riskjusterad avkastning.
(2021) NEKH03 20211Department of Economics
- Abstract
- The purpose of this thesis is to examine whether active fund management gives higher risk adjusted returns in comparison to index funds. This will be done by the use of three different performance measures, Sharpe ratio, Treynor ratio, and Jensen’s Alpha, the aim is to examine 116 mutual funds in the Swedish fund market over the time period of 2016-2021. By using Ordinary Least Squares, with a dummy variable for management style, the aim is to test each performance measure. This in order to be able to evaluate if there is a significant difference between active fund management and index funds regarding risk adjusted returns. The findings indicate that active fund management significantly increases risk adjusted returns for all of the
... (More) - The purpose of this thesis is to examine whether active fund management gives higher risk adjusted returns in comparison to index funds. This will be done by the use of three different performance measures, Sharpe ratio, Treynor ratio, and Jensen’s Alpha, the aim is to examine 116 mutual funds in the Swedish fund market over the time period of 2016-2021. By using Ordinary Least Squares, with a dummy variable for management style, the aim is to test each performance measure. This in order to be able to evaluate if there is a significant difference between active fund management and index funds regarding risk adjusted returns. The findings indicate that active fund management significantly increases risk adjusted returns for all of the
three performance measures. Furthermore, the findings suggest that active fund management, on average, do not compensate for the higher fees that it includes. This result is in line with previous research regarding the effective market hypothesis. In conclusion, investors should be
better off by investing in index funds, rather than in actively managed funds. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9049013
- author
- Linde, Viktor LU and Tingets, Fredrik LU
- supervisor
- organization
- course
- NEKH03 20211
- year
- 2021
- type
- M2 - Bachelor Degree
- subject
- keywords
- fund management, Sharpe Ratio, Treynor Ratio, Jensen's Alpha
- language
- Swedish
- id
- 9049013
- date added to LUP
- 2021-07-05 13:31:25
- date last changed
- 2021-07-05 13:31:25
@misc{9049013, abstract = {{The purpose of this thesis is to examine whether active fund management gives higher risk adjusted returns in comparison to index funds. This will be done by the use of three different performance measures, Sharpe ratio, Treynor ratio, and Jensen’s Alpha, the aim is to examine 116 mutual funds in the Swedish fund market over the time period of 2016-2021. By using Ordinary Least Squares, with a dummy variable for management style, the aim is to test each performance measure. This in order to be able to evaluate if there is a significant difference between active fund management and index funds regarding risk adjusted returns. The findings indicate that active fund management significantly increases risk adjusted returns for all of the three performance measures. Furthermore, the findings suggest that active fund management, on average, do not compensate for the higher fees that it includes. This result is in line with previous research regarding the effective market hypothesis. In conclusion, investors should be better off by investing in index funds, rather than in actively managed funds.}}, author = {{Linde, Viktor and Tingets, Fredrik}}, language = {{swe}}, note = {{Student Paper}}, title = {{Passivt och aktivt förvaltade fonder - En studie om relationen mellan förvaltningsstil och riskjusterad avkastning.}}, year = {{2021}}, }