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Performance of Swedish mutual funds
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 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Investing in mutual funds is one of the most common forms of saving in Sweden, almost all Swedes has some form of savings in mutual funds. This study analyzes the performance of Swedish mutual funds during the sample period 2006-2016 on a monthly basis. Fund performance is evaluated with the help of three different models; the CAPM, Fama and French three-factor model and Carhart's four-factor model. The study is based on 127 Swedish mutual funds and the purpose is to investigate the Swedish fund market, to see if there is any difference in the abnormal risk-adjusted return for the different investment styles of funds. These investment styles are bonds, equity, mixed assets, alternative and others, ethical and SRI funds. The risk-adjusted performance measures, the Sharpe ratio and Jensen's alpha, are calculated and then compared with MSCI World index to draw conclusions about whether the funds have performed an abnormal return or not. The results showed that Jensen’s alpha is not statistically significant different from zero for responsible and conventional investments. The conclusion is therefore that there is no difference in abnormal riskadjusted return for the different investment styles; further, investing in ethical or social responsible investment funds does not generate any difference in abnormal risk-adjusted returns from other styles.

Place, publisher, year, edition, pages
2017. , 41 p.
Keyword [en]
Swedish mutual funds, Jensen’s alpha, Risk-adjusted abnormal return, Ethical funds, Social responsible investment funds
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-11492Local ID: EXF800OAI: oai:DiVA.org:hv-11492DiVA: diva2:1141139
Subject / course
Nationalekonomi
Educational program
Ekonomprogrammet
Supervisors
Examiners
Available from: 2017-09-18 Created: 2017-09-14 Last updated: 2017-09-18Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
  • text
  • asciidoc
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