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Passivt och aktivt förvaltade fonder - En studie om relationen mellan förvaltningsstil och riskjusterad avkastning.

Linde, Viktor LU and Tingets, Fredrik LU (2021) NEKH03 20211
Department 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:
author
Linde, Viktor LU and Tingets, Fredrik LU
supervisor
organization
course
NEKH03 20211
year
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}},
}