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Index kontra aktivt förvaltade fonder: Är det värt att betala fondavgifter?
University West, Department of Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, Department of Economics and IT, Divison of Law, Economics, Statistics and Politics.
2017 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Investeringar i fonder blir alltmer populärt i Sverige. Denna uppsats analyserar hur väl svenska aktiva fonder presterar jämfört med SIXPRX-index. Tidsperioden som studeras sträcker sig emellan 2005-2017 och inkluderar 17 fonder som investerar majoriteten av sitt kapital i svenska aktier. För att analysen skulle vara möjlig användes den veckoliga procentuella netto-avkastningen i en CAPM-modell. De huvudsakliga teoretiska ramverken som används är Jensens Alpha, Treynorkvoten och Sharpekvoten. Dessa kvoter tillsammans med nettoavkastningen valdes eftersom det är de mest relevanta måtten ur en investerares synvinkel. Den genomsnittliga avkastningen var lägre för 16 av 17 fonder jämfört med indexet. Visserligen visade 16 av 17 fonder en positiv alpha, men ingen av dessa kunde statistiskt säkerställas. Även när Sharpekvoten studerades underpresterade alla fonder utom en. Treynorkvoten var det enda måttet där fonderna uppnådde ett högre resultat, vilket kunde förklaras av deras låga beta. Liksom många andra studier visat, indikerar resultatet att placera i indexfonder ger en högre riskjusterad avkastning jämfört med aktivt förvaltade fonder med avgifter.

Abstract [en]

Investments in mutual funds is becoming increasingly popular in Sweden. This thesis analysis the performance of Swedish actively managed funds compared with the SIXPRX-index. The time period under study is between 2005-2017 and includes 17 mutual funds that invest the vast majority of its capital in Swedish equities. To be able to analyze the performance the weekly percentage net return will be used in a CAPM-model. Main theoretical framework being used is the Jensens Alpha, Treynor ratio and the Sharpe ratio. These ratios together with the net return were chosen since it's the most relevant measurements from an investor point of view. As many other similar studies have shown, there was no statistically significant difference in the performance of actively managed funds and the benchmark. The average return was lower for 16 out of 17 funds compared to the benchmark. Although 16 out of 17 funds showed positive alphas, none of them were statistically significant. When the Sharpe ratio was observed every fund except for one had a lower ratio. The Treynor ratio was the only measurement where the funds reached a higher result, which could be explained by their low betas. As many studies have shown, the result indicates that investment in index funds gives a higher risk adjusted return compared to actively managed funds with fees.

Place, publisher, year, edition, pages
2017. , 45 p.
Keyword [en]
Active management, Index, Treynor ratio, Sharpe ratio, Jensens Alpha
Keyword [sv]
Aktiv förvaltning, Index, Treynorkvoten, Sharpekvoten, Jensens Alpha
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-11393Local ID: NAX500OAI: oai:DiVA.org:hv-11393DiVA: diva2:1136129
Subject / course
Nationalekonomi
Educational program
Mäklarekonom
Supervisors
Examiners
Available from: 2017-08-25 Created: 2017-08-25 Last updated: 2017-08-25Bibliographically approved

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