Aktiv fondförvaltning : En undersökning av nya och befintliga innehav i svenska aktivt förvaltade aktiefonder

Sammanfattning: The study examines the returns for new and existing holdings in Swedish actively managed equity funds. The hypothesis is based on fund managers paying more attention and effort to analyze and finding new investments for the portfolio than they do to update the analyzes for the existing holdings. The managers can therefore be assumed to create information benefits which in turn generate a higher return for new than existing holdings. Calendar-Time Portfolio Approach is used to measure the development of new and existing holdings. Alpha estimates are performed using the Fama and French (1993) three-factor model and the Carhart (1997) four-factor model. When alpha is estimated using the Carhart four-factor model, the study finds that new holdings generate a slightly higher average return per month, 0.95%, compared with the existing holdings, 0.87%. The study finds similar results when alpha is estimated using the Fama and French three-factor model. The difference was not statistically significant for either method and can therefore be assumed to be random.