Do actively managed Sweden funds yield higher return better than passively managed funds, during a volatile market, when taking risk into account?

Abstract

This paper is examining if Swedish actively managed funds is creating more value for investors compared to Swedish index funds. The study is focused on the time period 2012-2022. Three risk-adjusted measurements are used to execute this mission. The Sharpe ratio, Treynor ratio and Jensen's alpha are computed after deducting management fees for each fund. Further, two-tailed f-tests are performed to test whether the average value for each performance measure is significantly different between actively managed funds and index funds on the Swedish stock market. Even though there is some small difference where actively managed funds performed slightly better than the index funds the result presented is that there is no statistic significant difference between the two groups of funds on a risk-adjusted basis over the period 2012-2022. Identical tests are also executed for the time period of 2022 to get an insight whether the war in Ukraine has a big impact on the result. Since there is no difference in the results the conclusion is that actively managed funds on the Swedish stock market do not manage to perform better than Swedish index funds when taking risk into account.