Portfolio Efficiency of Swedish Bank Funds A quantitative study of fund portfolio efficiency among major Swedish Banks

Abstract

This thesis investigates whether efficient portfolios can be constructed using funds from a single bank and whether combining funds from multiple banks results in superior risk-adjusted performance. The study is grounded in Modern Portfolio Theory, using efficient frontier modeling and performance metrics such as the Sharpe ratio and Jensen’s alpha.

The study analyzes a sample of 20 actively managed equity mutual funds, consisting of five funds from each of the four largest Swedish banks: Handelsbanken, SEB, Nordea, and Swedbank. Daily returns, standard deviations, and covariances for these funds were calculated to construct Efficient Frontiers and determine the tangency portfolio for each bank.

The results show that optimized single-bank portfolios from Nordea and Swedbank achieved the highest Sharpe ratios, indicating better risk-adjusted returns than those from SEB and Handelsbanken. All sampled funds exhibited positive Jensen’s alpha, indicating outperformance relative to market benchmarks. Among the individual banks, Nordea’s portfolio delivered the highest risk-adjusted return. The findings also suggest that investors achieve more efficient portfolios by diversifying across banks.