En jämförelse mellan kvantitativ och traditionell fondförvaltning - Är det dags for algoritmerna att ta över fondförvaltningen?

Sammanfattning: The purpose of this thesis is to compare quantitative management of stock-funds versus traditional management as a fundamental strategy, for a period of 10-years between 2007- 2017. Our essay has a special focus towards extreme market-conditions, which we defined as deviations of 5% in the MSCI World Index. Our analysis was made through the comparison of risk-adjusted measures as Sortino ratio, Sharpe ratio, Information ratio and with a regression. Our results show that only a quantitative Sortino-maximized portfolio generated a significant result, as it outperformed the Sortino-maximized traditional portfolio. Our remaining tests and regression gave non-significant results, despite quantitative funds having generally higher returns. We concluded that the risk in quantitative strategy is higher which therefore, according to the Mean-Variance theorem makes it hard to draw conclusions on the best management strategy. Furthermore, our significant result might derive from individual fund-manager’s competence, rather than the strategy. What’s noteworthy is that our regression showed how quantitative funds perform better than traditional funds when the MSCI World Index has a Sharpe ratio below 0.59, thus an excess return below the standard deviation. This could be interpreted such that quantitative funds are better to take advantage of risk, when the general market returns are low.