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Mutual Fund Performance: Active- and Passive Fund Management
Jönköping University, Jönköping International Business School, JIBS, Economics.
2008 (English)Independent thesis Basic level (degree of Bachelor), 10 points / 15 hpStudent thesis
Abstract [en]

In this thesis I will examine active equity mutual fund managers’ ability to outperform an index, which is done by utilizing a sample of four equity mutual funds that mainly invest in large Swedish quoted companies. In order to measure the risk-adjusted performance of the funds, a model created by Michael Jensen will be used. Furthermore, I will investigate whether the managers of the mutual funds increase/decrease the risk level, or rather the beta, when the stock market is bullish/bearish. Hence, two time spans have been chosen, 2001-2003 and 2004-2006, where the previous represents a bearish stock market and the later represents a bullish stock market.

The empirical evidence indicates that one fund in each period was significantly outper-formed by the comparable index. Furthermore, the result also suggests that two significant funds were talking more risk than the index in the bearish time period while three signifi-cant funds decreased the risk level during the bullish time period.

Abstract [sv]

Denna kandidatuppsats undersöker aktiva fondförvaltares förmåga att upptäcka och inve-stera i fonder som presterar bättre än deras jämförekse index. Undersökningen är baserad på fyra aktiefonder som huvudsakligen investerats i Svenska börsnoterade företag. Fonder-nas riskjusterade prestation kommer att mätas med hjälp av en modell som är utformad av Michael Jensen.

Vidare kommer uppsatsen att undersöka om fondförvaltarna ökar eller minskar risk nivån, eller betavärdet, baserat på börsens utveckling under åren 2001-2003 och 2004-2006. Det förgående intervallet representerar en sjunkande börsperiod och det senare en stigande börsperiod.

Det empiriska resultatet indikerar att en signifikant fond i varje tidsintervall presterade säm-re än index. Utöver detta visade även resultatet att två signifikanta fonder ökade risk nivån, jämfört med index, i den sjunkande börsperioden medan tre signifikanta fonder minskade risk nivån i den stigande börsperioden.

Place, publisher, year, edition, pages
2008. , 20 p.
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hj:diva-1226OAI: oai:DiVA.org:hj-1226DiVA: diva2:3676
Uppsok
samhälle/juridik
Supervisors
Examiners
Available from: 2008-04-29 Created: 2008-04-29

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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