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Svenska fonder - En prestationsutvärdering

Bergstrand, Zakarias LU and Weinhagen, Alexander LU (2012) NEKH01 20121
Department of Economics
Abstract
We have in this thesis studied 131 Swedish mutual funds during the period of 2007-01-01 until 2012-01-01 and the period of 2010-01-01 until 2012-01-01 where the mutual funds in majority have their assets placed in the Swedish market. We have chosen to do a performance evaluation by using Jensen´s alfa, Tracking-Error, Modigliani-squared and Henriksson and Merton´s test for the selection and timing ability. We have also used Spearman´s Rank Correlation Coefficient to study if there´s a correlation between the fee of mutual funds and their performance.
Our results show us that the mutual funds who have been the top performer have been Index funds with a low fee and TER. We have also observed a small negative correlation between the fee of... (More)
We have in this thesis studied 131 Swedish mutual funds during the period of 2007-01-01 until 2012-01-01 and the period of 2010-01-01 until 2012-01-01 where the mutual funds in majority have their assets placed in the Swedish market. We have chosen to do a performance evaluation by using Jensen´s alfa, Tracking-Error, Modigliani-squared and Henriksson and Merton´s test for the selection and timing ability. We have also used Spearman´s Rank Correlation Coefficient to study if there´s a correlation between the fee of mutual funds and their performance.
Our results show us that the mutual funds who have been the top performer have been Index funds with a low fee and TER. We have also observed a small negative correlation between the fee of the mutual fund and their performance. (Less)
Abstract (Swedish)
Vi har i denna uppsats studerat 131 svenska fonder för perioden 2007-01-01 till 2012-01-01 samt 2010-01-01 till 2012-01-01 där fonderna i majoritet placerat sina tillgångar på den svenska marknaden. Vi har valt att utföra en prestationsutvärdering med hjälp av Jensen´s alfa, Tracking-Error, Modigliani-squared samt Henriksson and Mertons test för selektion och timingförmåga. Vi har även använt oss utav Spearman´s Rank Correlation Coefficient för att studera om det finns ett samband mellan fondernas avgift och deras prestation.
Våra resultat visar att de fonder som presterat bäst över tiden varit indexfonder med låg förvaltningsavgift samt låg TER. Vi har även funnit en svag negativ korrelation mellan fondavgift och fondernas prestation.
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author
Bergstrand, Zakarias LU and Weinhagen, Alexander LU
supervisor
organization
course
NEKH01 20121
year
type
M2 - Bachelor Degree
subject
keywords
Jensen’s alfa, Tracking-Error, Modigliani-squared, Henriksson and Merton, Spearman’s Rank Correlation Coefficient
language
Swedish
id
2628414
date added to LUP
2012-06-15 11:18:35
date last changed
2012-06-15 11:18:35
@misc{2628414,
  abstract     = {We have in this thesis studied 131 Swedish mutual funds during the period of 2007-01-01 until 2012-01-01 and the period of 2010-01-01 until 2012-01-01 where the mutual funds in majority have their assets placed in the Swedish market. We have chosen to do a performance evaluation by using Jensen´s alfa, Tracking-Error, Modigliani-squared and Henriksson and Merton´s test for the selection and timing ability. We have also used Spearman´s Rank Correlation Coefficient to study if there´s a correlation between the fee of mutual funds and their performance.
Our results show us that the mutual funds who have been the top performer have been Index funds with a low fee and TER. We have also observed a small negative correlation between the fee of the mutual fund and their performance.},
  author       = {Bergstrand, Zakarias and Weinhagen, Alexander},
  keyword      = {Jensen’s alfa,Tracking-Error,Modigliani-squared,Henriksson and Merton,Spearman’s Rank Correlation Coefficient},
  language     = {swe},
  note         = {Student Paper},
  title        = {Svenska fonder - En prestationsutvärdering},
  year         = {2012},
}