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Smart Beta Strategies for the Nordic and Baltic Region

Lialkaite, Augustina LU (2025) NEKN02 20251
Department of Economics
Abstract
This master thesis analyses the effectiveness of smart beta strategies in improving the returns of index funds within the Nordic and Baltic regions. The study employs a mixed-method approach, combining qualitative literature review with quantitative empirical analysis of historical market data, focusing on key stock indices in Sweden, Denmark, Finland, Iceland, Norway, Lithuania, Latvia and Estonia. The research constructs smart beta portfolios using a rebalancing methodology based on low volatility, quality, equal weighting and value factors, comparing them against benchmark indices using returns, volatility and the Sharpe ratio metrics. Key findings indicate that low volatility and quality strategies generally emerged as top performers... (More)
This master thesis analyses the effectiveness of smart beta strategies in improving the returns of index funds within the Nordic and Baltic regions. The study employs a mixed-method approach, combining qualitative literature review with quantitative empirical analysis of historical market data, focusing on key stock indices in Sweden, Denmark, Finland, Iceland, Norway, Lithuania, Latvia and Estonia. The research constructs smart beta portfolios using a rebalancing methodology based on low volatility, quality, equal weighting and value factors, comparing them against benchmark indices using returns, volatility and the Sharpe ratio metrics. Key findings indicate that low volatility and quality strategies generally emerged as top performers in the Nordic region, while benchmark indices in the Baltics proved more challenging to outperform. Overall, the low volatility strategy is identified as the most promising in the Nordic and Baltic region. This thesis serves as a valuable insight for investors, asset managers and academics, enhancing the understanding of smart beta investing effectiveness in the Nordic and Baltic regional markets. (Less)
Please use this url to cite or link to this publication:
author
Lialkaite, Augustina LU
supervisor
organization
course
NEKN02 20251
year
type
H1 - Master's Degree (One Year)
subject
keywords
Smart Beta, Nordic and Baltic Region, Portfolio Performance, Low Volatility
language
English
id
9193761
date added to LUP
2025-09-12 10:42:11
date last changed
2025-09-12 10:42:11
@misc{9193761,
  abstract     = {{This master thesis analyses the effectiveness of smart beta strategies in improving the returns of index funds within the Nordic and Baltic regions. The study employs a mixed-method approach, combining qualitative literature review with quantitative empirical analysis of historical market data, focusing on key stock indices in Sweden, Denmark, Finland, Iceland, Norway, Lithuania, Latvia and Estonia. The research constructs smart beta portfolios using a rebalancing methodology based on low volatility, quality, equal weighting and value factors, comparing them against benchmark indices using returns, volatility and the Sharpe ratio metrics. Key findings indicate that low volatility and quality strategies generally emerged as top performers in the Nordic region, while benchmark indices in the Baltics proved more challenging to outperform. Overall, the low volatility strategy is identified as the most promising in the Nordic and Baltic region. This thesis serves as a valuable insight for investors, asset managers and academics, enhancing the understanding of smart beta investing effectiveness in the Nordic and Baltic regional markets.}},
  author       = {{Lialkaite, Augustina}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Smart Beta Strategies for the Nordic and Baltic Region}},
  year         = {{2025}},
}