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Fondstrategiers effektivitet under varierande konjunkturlägen

Sillerström, Gustav LU (2024) NEKH02 20241
Department of Economics
Abstract
This study explores the performance of passively and actively managed funds across varying
economic conditions. By analyzing the risk-adjusted returns of Swedish funds over a ten year
period, data has been classified in line with the economic cycles expansion, peak,
contraction, and recovery. The study evaluates fund performance using Jensen’s alpha, the
Sharpe ratio, and the Treynor ratio. Results indicate that actively managed funds tend to
outperform during economic expansion and recovery phases by generating higher
risk-adjusted returns compared to passively managed funds. However, during economic
downturns and contractions, passively managed funds exhibit more stable performance,
supporting the modern portfolio theory that... (More)
This study explores the performance of passively and actively managed funds across varying
economic conditions. By analyzing the risk-adjusted returns of Swedish funds over a ten year
period, data has been classified in line with the economic cycles expansion, peak,
contraction, and recovery. The study evaluates fund performance using Jensen’s alpha, the
Sharpe ratio, and the Treynor ratio. Results indicate that actively managed funds tend to
outperform during economic expansion and recovery phases by generating higher
risk-adjusted returns compared to passively managed funds. However, during economic
downturns and contractions, passively managed funds exhibit more stable performance,
supporting the modern portfolio theory that diversification can reduce volatility in uncertain
economic conditions. This study contributes to a deeper understanding of strategic fund
management and its impact on investor returns in a volatile market environment. (Less)
Please use this url to cite or link to this publication:
author
Sillerström, Gustav LU
supervisor
organization
course
NEKH02 20241
year
type
M2 - Bachelor Degree
subject
keywords
Fondstrategier, Riskjusterad avkastning, Jensens alfa, Sharpekvot, Treynorkvot
language
Swedish
id
9156214
date added to LUP
2024-09-24 09:02:23
date last changed
2024-09-24 09:02:23
@misc{9156214,
  abstract     = {{This study explores the performance of passively and actively managed funds across varying
economic conditions. By analyzing the risk-adjusted returns of Swedish funds over a ten year
period, data has been classified in line with the economic cycles expansion, peak,
contraction, and recovery. The study evaluates fund performance using Jensen’s alpha, the
Sharpe ratio, and the Treynor ratio. Results indicate that actively managed funds tend to
outperform during economic expansion and recovery phases by generating higher
risk-adjusted returns compared to passively managed funds. However, during economic
downturns and contractions, passively managed funds exhibit more stable performance,
supporting the modern portfolio theory that diversification can reduce volatility in uncertain
economic conditions. This study contributes to a deeper understanding of strategic fund
management and its impact on investor returns in a volatile market environment.}},
  author       = {{Sillerström, Gustav}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Fondstrategiers effektivitet under varierande konjunkturlägen}},
  year         = {{2024}},
}