Vilket investeringsalternativ tar dig längst på Stureplan?
(2024) NEKH01 20241Department of Economics
- Abstract (Swedish)
- This thesis investigates and compares the risk-adjusted returns of Swedish investment companies and small-cap mutual funds to determine which investment option is more advantageous for Swedish private investors. The study also examines whether diversification of assets can provide additional benefits. Using data from a fifteen-year period (2009-2023) and applying modern portfolio theories and financial metrics such as the Sharpe ratio, beta, and Jensen's alpha, the performance of these different investment options is evaluated.
The analysis reveals that both investment companies and small-cap mutual funds offer competitive returns, although with differing risk characteristics. Investment companies generally provide higher Jensen's alpha... (More) - This thesis investigates and compares the risk-adjusted returns of Swedish investment companies and small-cap mutual funds to determine which investment option is more advantageous for Swedish private investors. The study also examines whether diversification of assets can provide additional benefits. Using data from a fifteen-year period (2009-2023) and applying modern portfolio theories and financial metrics such as the Sharpe ratio, beta, and Jensen's alpha, the performance of these different investment options is evaluated.
The analysis reveals that both investment companies and small-cap mutual funds offer competitive returns, although with differing risk characteristics. Investment companies generally provide higher Jensen's alpha and lower beta, indicating superior risk-adjusted returns and lower market sensitivity. In contrast, small-cap mutual funds exhibit higher beta and lower Jensen's alpha, suggesting greater market sensitivity despite similar volatility levels to investment companies. Moreover, the Sharpe ratio indicates that passively managed small-cap mutual funds tend to have higher risk-adjusted returns compared to investment companies.
The study further demonstrates that a diversified portfolio, combining both investment companies and small-cap mutual funds, can achieve a more balanced risk-adjusted return, appealing to both risk-averse and risk-seeking investors. By examining the correlation between these asset classes and assessing their performance under different market conditions, the thesis offers practical insights for private investors looking to optimize their portfolios. The findings suggest that strategic diversification not only enhances returns but also mitigates risks, underscoring the importance of a well-rounded investment approach.
Ultimately, the results indicate that there is no clear superiority between investment companies and small-cap mutual funds in terms of risk-adjusted returns. The choice between these asset classes depends on the investor's risk preference and investment strategy. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9159376
- author
- Bergman, Mateo LU and Liljengren, Alexander
- supervisor
- organization
- course
- NEKH01 20241
- year
- 2024
- type
- M2 - Bachelor Degree
- subject
- language
- Swedish
- id
- 9159376
- date added to LUP
- 2024-06-12 14:11:13
- date last changed
- 2024-06-12 14:11:13
@misc{9159376,
abstract = {{This thesis investigates and compares the risk-adjusted returns of Swedish investment companies and small-cap mutual funds to determine which investment option is more advantageous for Swedish private investors. The study also examines whether diversification of assets can provide additional benefits. Using data from a fifteen-year period (2009-2023) and applying modern portfolio theories and financial metrics such as the Sharpe ratio, beta, and Jensen's alpha, the performance of these different investment options is evaluated.
The analysis reveals that both investment companies and small-cap mutual funds offer competitive returns, although with differing risk characteristics. Investment companies generally provide higher Jensen's alpha and lower beta, indicating superior risk-adjusted returns and lower market sensitivity. In contrast, small-cap mutual funds exhibit higher beta and lower Jensen's alpha, suggesting greater market sensitivity despite similar volatility levels to investment companies. Moreover, the Sharpe ratio indicates that passively managed small-cap mutual funds tend to have higher risk-adjusted returns compared to investment companies.
The study further demonstrates that a diversified portfolio, combining both investment companies and small-cap mutual funds, can achieve a more balanced risk-adjusted return, appealing to both risk-averse and risk-seeking investors. By examining the correlation between these asset classes and assessing their performance under different market conditions, the thesis offers practical insights for private investors looking to optimize their portfolios. The findings suggest that strategic diversification not only enhances returns but also mitigates risks, underscoring the importance of a well-rounded investment approach.
Ultimately, the results indicate that there is no clear superiority between investment companies and small-cap mutual funds in terms of risk-adjusted returns. The choice between these asset classes depends on the investor's risk preference and investment strategy.}},
author = {{Bergman, Mateo and Liljengren, Alexander}},
language = {{swe}},
note = {{Student Paper}},
title = {{Vilket investeringsalternativ tar dig längst på Stureplan?}},
year = {{2024}},
}