Are the Swedes Right in Increasingly Choosing Index Funds over Actively Managed Funds?
(2024) NEKH02 20241Department of Economics
- Abstract (Swedish)
- Problem description: With the rising trend of Swedish investors favoring index funds over actively managed funds, there is a need to evaluate whether this shift is justified. \\[1.75ex]
Purpose: the purpose of this thesis is to assess the performance of actively managed Swedish equity funds relative to SEB Sverige Indexnära, an index fund that tracks the OMXSPI, to determine if the growing preference for index funds among Swedish investors is a beneficial strategy. \\[1.75ex]
Methodology: the study employs a quantitative approach using a dataset of 36 Swedish actively managed equity funds from July 2019 to January 2024. The performance is analyzed using Jensen’s Alpha within the framework of the EMH. A GRS test is also conducted to... (More) - Problem description: With the rising trend of Swedish investors favoring index funds over actively managed funds, there is a need to evaluate whether this shift is justified. \\[1.75ex]
Purpose: the purpose of this thesis is to assess the performance of actively managed Swedish equity funds relative to SEB Sverige Indexnära, an index fund that tracks the OMXSPI, to determine if the growing preference for index funds among Swedish investors is a beneficial strategy. \\[1.75ex]
Methodology: the study employs a quantitative approach using a dataset of 36 Swedish actively managed equity funds from July 2019 to January 2024. The performance is analyzed using Jensen’s Alpha within the framework of the EMH. A GRS test is also conducted to examine collective fund performance.
Findings: the results indicate that 27 out of 36 funds had a positive alpha, suggesting some level of outperformance compared to the index fund. However, the statistical significance tests showed that this outperformance is not conclusively attributable to managerial skill. Further, the GRS test supported the existence of genuine outperformance among the funds collectively, challenging the EMH’s assertion of market efficiency. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9165196
- author
- Jonasson, Kristinn LU and Johnsson, Axel LU
- supervisor
- organization
- course
- NEKH02 20241
- year
- 2024
- type
- M2 - Bachelor Degree
- subject
- keywords
- Index funds, actively managed funds, efficient market hypothesis, Jensen’s alpha, Swedish equity funds
- language
- English
- id
- 9165196
- date added to LUP
- 2024-09-24 08:59:52
- date last changed
- 2024-09-24 08:59:52
@misc{9165196,
abstract = {{Problem description: With the rising trend of Swedish investors favoring index funds over actively managed funds, there is a need to evaluate whether this shift is justified. \\[1.75ex]
Purpose: the purpose of this thesis is to assess the performance of actively managed Swedish equity funds relative to SEB Sverige Indexnära, an index fund that tracks the OMXSPI, to determine if the growing preference for index funds among Swedish investors is a beneficial strategy. \\[1.75ex]
Methodology: the study employs a quantitative approach using a dataset of 36 Swedish actively managed equity funds from July 2019 to January 2024. The performance is analyzed using Jensen’s Alpha within the framework of the EMH. A GRS test is also conducted to examine collective fund performance.
Findings: the results indicate that 27 out of 36 funds had a positive alpha, suggesting some level of outperformance compared to the index fund. However, the statistical significance tests showed that this outperformance is not conclusively attributable to managerial skill. Further, the GRS test supported the existence of genuine outperformance among the funds collectively, challenging the EMH’s assertion of market efficiency.}},
author = {{Jonasson, Kristinn and Johnsson, Axel}},
language = {{eng}},
note = {{Student Paper}},
title = {{Are the Swedes Right in Increasingly Choosing Index Funds over Actively Managed Funds?}},
year = {{2024}},
}