Fondstrategiers effektivitet under varierande konjunkturlägen
(2024) NEKH02 20241Department 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:
http://lup.lub.lu.se/student-papers/record/9156214
- author
- Sillerström, Gustav LU
- supervisor
-
- Adrian Mehic LU
- organization
- course
- NEKH02 20241
- year
- 2024
- 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}}, }