Passivt och aktivt förvaltade fonder - En studie om relationen mellan förvaltningsstil och riskjusterad avkastning.

Detta är en Kandidat-uppsats från Lunds universitet/Nationalekonomiska institutionen

Sammanfattning: The purpose of this thesis is to examine whether active fund management gives higher risk adjusted returns in comparison to index funds. This will be done by the use of three different performance measures, Sharpe ratio, Treynor ratio, and Jensen’s Alpha, the aim is to examine 116 mutual funds in the Swedish fund market over the time period of 2016-2021. By using Ordinary Least Squares, with a dummy variable for management style, the aim is to test each performance measure. This in order to be able to evaluate if there is a significant difference between active fund management and index funds regarding risk adjusted returns. The findings indicate that active fund management significantly increases risk adjusted returns for all of the three performance measures. Furthermore, the findings suggest that active fund management, on average, do not compensate for the higher fees that it includes. This result is in line with previous research regarding the effective market hypothesis. In conclusion, investors should be better off by investing in index funds, rather than in actively managed funds.

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