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Performance Persistence in the Swedish Fund Market

Egesten, Henrik LU and Östblom, Carl-Johan LU (2017) NEKN01 20171
Department 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.
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author
Egesten, Henrik LU and Östblom, Carl-Johan LU
supervisor
organization
course
NEKN01 20171
year
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},
  keyword      = {Value-at-Risk,Sharpe-Ratio,Reward-to-VaR,Spearman's Ranking Correlation,Performance Persistence},
  language     = {eng},
  note         = {Student Paper},
  title        = {Performance Persistence in the Swedish Fund Market},
  year         = {2017},
}