SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S.
| Jilsén, Filip | ||
| Juhlin, Mattias | ||
| University of Gothenburg/Department of Economics | ||
| Göteborgs universitet/Institutionen för nationalekonomi med statistik | ||
| University of Gothenburg/Department of Business Administration | ||
| Göteborgs universitet/Företagsekonomiska institutionen | ||
| 2017-07-03T11:27:46Z | ||
| 2017-07-03T11:27:46Z | ||
| 2017-07-03 | ||
| The purpose of this thesis is to investigate the performance of Swedish mutual equity funds that primarily invest in either the Swedish or the U.S. market. Complementing prior research, we emphasis the relative performance differences between two markets and compare different portfolios with domestic indices. Studying data from 2006 to 2016, we observe that the U.S. portfolio managed to produce higher, but statistically insignificant alphas. Implying no difference in performance between our portfolios. Further, testing the Sharpe and Treynor ratio for significance we find that the U.S. portfolio has a higher significant mean Sharpe ratio. Evidence that opposes our underlying assumption that the Swedish market is less efficient than the U.S. market. The regression results are in line when partitioning the sample into groups based on the market capitalization. In conclusion, we find no evidence suggesting that outperforming the Swedish market is more apparent than outperforming the U.S. market. | sv | |
| http://hdl.handle.net/2077/52904 | ||
| eng | sv | |
| 201707:315 | sv | |
| Uppsats | sv | |
| SocialBehaviourLaw | ||
| Performance Evaluation | sv | |
| Mutual Equity funds | sv | |
| Actively Managed Funds | sv | |
| Risk-Adjustment Return | sv | |
| Sharpe Ratio | sv | |
| Treynor Ratio | sv | |
| Carhart Four-Factor Model | sv | |
| Swedish Fund Performance | sv | |
| U.S. Fund Performance | sv | |
| SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S. | sv | |
| SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S. | sv | |
| text | ||
| Student essay | ||
| M2 |