Diversifiering mot tillväxtländer utifrån en svensk investerares perspektiv

Sammanfattning: The purpose of this thesis is to examine a Swedish investor’s possibility to diversify into Emerging markets. This is done by investigate if correlations between Sweden and 24 Emerging markets is higher in bear market than during other market conditions. In the next step a multi index model is used to check if volatility affects correlation between the markets. Finally four ex ante portfolios were created and compared. The conclusions are that correlations between Sweden and Emerging markets are higher during bear markets, which reduces the benefits of diversification. The multi index model shows mixed results in finding causality between volatility and correlations with a coefficient of determination in line with earlier studies for some regressions and very low or absent for others. When comparing the ex ante strategies we found that the minimum variance portfolio showed the highest Sharpe value while the Swedish portfolio showed the lowest.