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Domestic vs international diversification: An empirical study on the performance of Swedish mutual funds
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper evaluates the performance of Swedish mutual funds with different investment strategies between April 2014 and March 2019. The purpose was to study whether or not international diversification is profitable for the Swedish investor in terms of the risk-return criterion. To establish the relationship between risk and expected return, the Capital Asset Pricing Model and the Fama and French three-factor model were used, in line with previous studies. The performance of the funds was evaluated by adopting different performance measures such as Sharpe ratio and Jensen's alpha. Data was collected as time series for 30 mutual funds registered in Sweden on a monthly basis, using DataStream and Kenneth R. French's data library. From the elaborated data along with descriptive statistics, the Sharpe ratio could be calculated. Jensen's alpha along with the other coefficients within these models was estimated using ordinary least squares (OLS). The comparison between the performance measures of Sharpe ratio and Jensen's alpha with one another, among the fund categories, does give results that collaborate. The highest risk adjusted return determined by Sharpe ratio as well as the best performance according to Jensen's alpha, was experienced by equity funds investing only on the domestic market. Thus, international diversification is not profitable for the Swedish investor according to this study.

Place, publisher, year, edition, pages
2019. , p. 45
Keywords [en]
Swedish mutual funds, Equity funds, Diversification, Performance, Risk-return criterion, Sharpe ratio, Jensen’s alpha
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-14229Local ID: EXC513OAI: oai:DiVA.org:hv-14229DiVA, id: diva2:1339029
Subject / course
Nationalekonomi
Educational program
Mäklarekonom
Supervisors
Examiners
Available from: 2019-07-25 Created: 2019-07-25 Last updated: 2019-07-25Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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Language
  • de-DE
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  • nn-NB
  • sv-SE
  • Other locale
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  • asciidoc
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