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Can we beat actively managed funds: A mimicking portfolio for Investor
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2019 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this paper CAPM and other performance measures will be used to find out if it is possible to beat an actively managed fund, in this case Investor B (INVE B), from 2007.01-2018.12. According to Berk and Staton (2007) all investors can mimic the investment strategy of a closed-end fund with less cost and by doing so make a higher return. Prior research concludes that closed-end funds that are bought below their net asset value are traded in equilibrium state Thompson (1978). The results showed that Investor B is bought on a 13.4% discount which is the equilibriums state. The beta for Investor B is higher compared with the mimicking portfolio when OMX all is used as market index. If S&P 1200 global is used as market index the result differs and Investor B has a lower beta compared with the mimicking portfolio. The total return for Investor B was 131% and the total return for the mimicking portfolio was 87%.

Place, publisher, year, edition, pages
2019. , p. 21
Keywords [en]
Performance measurements, investments, strategies
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hv:diva-14264Local ID: EXF800OAI: oai:DiVA.org:hv-14264DiVA, id: diva2:1339748
Subject / course
Business administration
Educational program
Magister i finans
Supervisors
Examiners
Available from: 2019-08-20 Created: 2019-07-31 Last updated: 2019-08-20Bibliographically approved

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