Aktivitetsgrad och Avkastning
(2022) NEKH03 20221Department of Economics
- Abstract
- Mutual fund savings in Sweden has during the last 40 years gone from close to nil to represent a large portion of the private and public savings within the country. However, in recent years, the occurrence of closet indexing has been brought to light by researchers and media. Closet indexing is considered to be the fund manager’s failure to manage the fund portfolio as actively as is otherwise advertised, causing management fees to be much too high in relation to actual activity. The aim of this paper is to investigate the actual situation among Swedish mutual funds, and to discuss what ramifications might spring from closet indexing in relation to risk-adjusted returns for investors.
The empirical analysis of the funds is executed... (More) - Mutual fund savings in Sweden has during the last 40 years gone from close to nil to represent a large portion of the private and public savings within the country. However, in recent years, the occurrence of closet indexing has been brought to light by researchers and media. Closet indexing is considered to be the fund manager’s failure to manage the fund portfolio as actively as is otherwise advertised, causing management fees to be much too high in relation to actual activity. The aim of this paper is to investigate the actual situation among Swedish mutual funds, and to discuss what ramifications might spring from closet indexing in relation to risk-adjusted returns for investors.
The empirical analysis of the funds is executed using three measurements, two for the level of activity, tracking error and active share, and one measurement for the level of risk-adjusted returns, the sharpe ratio. These measurements have then been calculated from the collected data, pertaining to the returns of the funds as well as their portfolio weights. Our research has shown that closet indexing has been and is indeed present on the market of Swedish mutual funds. This occurrence has however decreased over the years after intensified competition on the market, increased government regulation and escalated media attention. Furthermore, our research has found that although a high degree of activity is positive, there is not always a need to stray all too far from the market index when it comes to portfolio weights, which from the empirical results seem to be best placed at a middle level of activity to sustain the highest possible levels of risk-adjusted returns. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9085287
- author
- Corneliusson, Alice LU and Galliher, Axel
- supervisor
- organization
- course
- NEKH03 20221
- year
- 2022
- type
- M2 - Bachelor Degree
- subject
- keywords
- Aktiv fondförvaltning, Active share, Tracking error, Dolda indexfonder
- language
- Swedish
- id
- 9085287
- date added to LUP
- 2022-10-10 09:11:58
- date last changed
- 2022-10-10 09:11:58
@misc{9085287,
abstract = {{Mutual fund savings in Sweden has during the last 40 years gone from close to nil to represent a large portion of the private and public savings within the country. However, in recent years, the occurrence of closet indexing has been brought to light by researchers and media. Closet indexing is considered to be the fund manager’s failure to manage the fund portfolio as actively as is otherwise advertised, causing management fees to be much too high in relation to actual activity. The aim of this paper is to investigate the actual situation among Swedish mutual funds, and to discuss what ramifications might spring from closet indexing in relation to risk-adjusted returns for investors.
The empirical analysis of the funds is executed using three measurements, two for the level of activity, tracking error and active share, and one measurement for the level of risk-adjusted returns, the sharpe ratio. These measurements have then been calculated from the collected data, pertaining to the returns of the funds as well as their portfolio weights. Our research has shown that closet indexing has been and is indeed present on the market of Swedish mutual funds. This occurrence has however decreased over the years after intensified competition on the market, increased government regulation and escalated media attention. Furthermore, our research has found that although a high degree of activity is positive, there is not always a need to stray all too far from the market index when it comes to portfolio weights, which from the empirical results seem to be best placed at a middle level of activity to sustain the highest possible levels of risk-adjusted returns.}},
author = {{Corneliusson, Alice and Galliher, Axel}},
language = {{swe}},
note = {{Student Paper}},
title = {{Aktivitetsgrad och Avkastning}},
year = {{2022}},
}