Sharpekvoten är ett av de mest frekvent använda prestationsmåtten för fonder. Kvoten beskriver en fonds riskjusterade avkastning genom att dividera dess överavkastning med dess standardavvikelse. Måttet har emellertid fått kritik på flera områden och visat sig vara missvisande under vissa scenarion, något som även denna studie påvisar. Studien bygger på en kvantitativ metod där ett stickprov används för att beskriva den studerade populationen; Sverigefonder. Studiens resultat visar att Sverigefonders avkastning inte är normaldistribuerad, något som är ett grundantagande vid Sharpekvots-beräkningen då fondens standardavvikelse används. Resultaten visar att samtliga observationers avkastningsdistribution antingen är positiv eller negativs skev, vilket leder till att standardavvikelsen konsekvent över- eller underskattar tillgångens risk. Tidigare studier betonar att även avkastningsdistributionens skevhet har betydelse vid investeringar. Denna aspekt återspeglas dock inte i den traditionella Sharpekvoten och författaren presenterar därför en egen modifikation av måttet där avkastningsdistributionens skevhet adderas. Studiens resultat bör tolkas ur ett behavior-finance-perspektiv, där människor antas ha olika tidshorisont för investeringar, inte antas agera rationellt, samt påverkas känslomässigt av marknadshändelser. Med det som utgångspunkt adderar avkastningsdistributionens skevhet värdefull information för investeraren, bortom fondens medelavkastning och standardavvikelse som enligt modern portföljteori är de enda två aspekterna en investerare har preferenser om. En ytterligare aspekt som påvisas i studien är att det tycks finnas en osund informationsassymetri mellan spararna och fondkommissionerna, samt strukturella incitament för att behålla denna. Detta kan ses som en förklaringsgrund till det minskade förtroendet som växt fram för de aktivt förvaltade fonderna. Författaren föreslår ökad transparens från fondkommissionernas sida och ser en presentation av en skevhetsjusterad Sharpekvot som ett steg på vägen. Studien bidrar till tidigare forskning genom att empiriskt påvisa fördelen med en modifikation av Sharpekvoten som adderar informationsvärde för investerarna. / The Sharpe ratio is one of the most frequently used performance measures for funds. The ratio is describing a fund’s risk adjusted return by dividing its excess return by its standard deviation. The measure has been subject to critique in several areas and has shown to be misleading under certain scenarios, something that this study also indicates. The study is conducted based on a quantitative method where a sample is used to describe the target population; Sverigefonder. The results of the study shows that Sverigefonders return is not normally distributed, something that is elementary assumed when calculating the Sharpe ratio by the usage of the standard deviation. The results show that all the observations’ return distribution either is positively or negatively skewed. The implication of that is that the standard deviation consistently either over- or under estimates the asset’s risk. Previous studies emphasize that the skewness of the return distribution is of importance as well when investing. This aspect is not reflected though in the traditional Sharpe ratio and the author is therefor presenting an own modification of the performance measure where the skewness is added to the ratio. The results of the study should be interpreted from a behavior finance perspective, where investors are assumed to have different time horizons for investing, act irrational, and reacting emotionally to market events. With those aspects as the premise, the skewness of the return distribution is adding valuable information for the investor, beyond the fund’s average return and standard deviation, which are the only two aspects that the investor has a preference regarding according to modern portfolio theory. One additional aspect that is shown in the study is that there seems to exist an unhealthy information asymmetry between the investors and the fund commissions, and structural incentives to keep it. This can be seen as a suggestion of explanation to the lowered trust for the actively managed funds. The author is proposing enhanced transparency for the fund commissions and sees the presenting of a skewness-adjusted Sharpe ratio as a step in that direction. This study is contributing to previous research by empirically showing the advantage off presenting a modification of the Sharpe ratio, which adds additional information to the investors.

The increasing popularity of passive investment strategies causes the long-term feasibility of active investing to be questioned more often. Therefore, this research aimed to uncover whether active investors' influence on fund performance is positive and significant enough to offset the cost involved, thereby providing reasoning for active rather than passive investing. A comparative analysis of 211 actively managed funds and 191 market and industry-specific indices is performed. Security selection skills and market timing ability are captured through a model comprising of the Fama French three-factor and the Treynor and Mazuy market timing model. The sample is tested between 2005 and 2020, with 5-year sub-periods. Over the full period, active and passive returns are found to be nearly indistinguishable. However, active funds seem to excel during bearish periods, where passive funds excel in bullish periods. The standard deviation is higher overall for passive investing. This difference, however, disappears during bearish periods. The security selection skill is barely distinguishable from zero for either strategy. On the other hand, market timing ability is existent for active investors, indicating a positive effect in bearish markets and a negative effect in bullish markets. Additionally, for both investing strategies, more than 90% of the returns are explained by the movements of the general market. The most suitable investment strategy is truly determined by an investor's level of risk aversion. Nevertheless, this research found that, in general, the passive investing strategy is dominant under normal market conditions. Active investors can act on the macroeconomic developments that fuel crises. This advantage enables them to achieve returns superior to indices while preserving a lower standard deviation during bearish market conditions.

A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. Thus, this paper will solicit a number of these strategies to endeavor and generate a return that is higher than the market index while considering the expenses that come with buying and selling stocks (transaction costs). Therefore, the purpose of this study is to assess how active investing measures up to passive investing in the sphere of the Swedish stock market. The roadmap to achieve the desired goals set by the authors is to create numerous portfolios on a weekly basis with securities present in the Swedish OMX30 index using the Maximum Sharpe, Maximum M2, Minimum Variance, and Equally Weighted optimizations. Then the significance of the transaction costs will be tested and a comparison with the market index will be made. The results suggest that in the realm of the Swedish stock market, investing in dynamically optimized portfolios based on the maximization of Sharpe Ratio and M2 will generate higher returns in comparison to passively investing in the market index, and the significance of transaction costs varies upon the amount of capital invested in the portfolios.

Active management funds are associated with higher transaction costs, which is something that has been acknowledged for a long time. The question is whether these costs can compensate with a higher return. This paper investigates how two active strategies, momentum and growth investing, have performed in relation to a passive index. To test this, we investigated the Frankfurt stock market during 2005-2020 on stocks from the automobile sector. By doing this, the purpose was investigated whether growth and momentum has had a higher risk-adjusted return than the benchmark index during the 15 years of observation. The result showed that both growth and momentum performed better than a passive index fund, despite its costly variables. However, the risk adjusted return was not significant higher. This study includes transaction costs in its calculation, which other studies ignore and focus on one industry with a consistent benchmark index for the same industry. By doing this, we believe that the test will be more accurate, and avoid potential industry effects on return and hopefully contribute with new thoughts on the subject.

Bakgrund: Inom investering förekommer ett flertal tumregler och myter. En myt som cirkulerat bland investerare är att framsidor i branschtidskrifter, benämnt Cover Stories, skulle utgöra en indikator för en contrarian strategi. Våren 2007 presenterade den första studie där det undersöktes om Cover Stories hade utgjort indikatorer för enskilda företag i USA. Vi kommer att undersöka om Cover Stories i Affärsvärlden och Veckans Affärer utgjort en indikator på den svenska marknaden under tidsperioden 1987 till 2006. Utfallen av våra resultat kan eventuellt bidra till att investerare inte fattar beslut utifrån en felaktig myt om samband inte kan påvisas. Finner vi ett samband kan vi fastställa att det funnits fog för myten. Syfte: Vår studie syftar till att undersöka huruvida Cover Stories har kunnat användas som indikator i en contrarian eller momentum strategi under tidsperioden 1987 till 2006. Genomförande: Vår studie har genomförts med den amerikanska studien som utgångspunkt. Affärsvärldens och Veckans Affärers framsidor har undersökts för tidsperioden 1987 till 2006. Under denna tidsperiod fann vi 298 företag som kunde kategoriseras beroende på om Cover Storyn var positiv eller negativ till företaget i fråga. Kategoriseringen som gjorts i ursprungsstudien ansåg vi vara för generell varför en metodutveckling gjordes. Därefter beräknades avkastningen kring publiceringsdagen för olika tidsintervall. Eventuell överavkastning beräknades genom att 1) justera för marknadens avkastning samt 2) justera för respektive bransch avkastning. Detta för att utreda huruvida trender kunde fastställas och om det var möjligt att använda Cover Stories som en indikator. De erhållna resultaten är testade för statistiskt signifikans. Slutsats: Generellt har positiva Cover Stories utgjort en momentum indikator medan negativa Cover Stories utgjort contrarian indikator. Kategorispecifika resultat visar dock på värden som till största del saknar statistisk signifikans. Vidare är spridningen i hur företag avkastar stor. Sammantaget finner vi därför inget stöd för myten och rekommenderar inte en contrarian strategi med Cover Stories som indikator, vilket är i linje med ursprungsstudien. / Background: Myths and rules of thumb are widely spread within finance. One among many others is that Cover Stories of financial magazines are effective contrarian indicators. In spring of 2007 the first study was presented were it had been investigated if Cover Stories could have been used as indicators for companies in the U.S. We will examine whether Cover Stories in the Swedish financial magazines ‘Affärsvärlden’ and ‘Veckans Affärer’ constitute indicators for the Swedish market from 1987 to 2006. The outcome of our study can either prevent investors from making incorrect decisions based on a myth for which we have found no proof or strengthen the myth if we the magazines indeed could have been used as an indicator. Purpose: The purpose of this study is to examine whether Cover Stories could have been used as indicators for either a contrarian or momentum strategy in the period of 1987 to 2006. Realization: The basis of our study has been the study made on the U.S.-market. The Cover Stories of ‘Affärsvärldens’ and ‘Veckans Affärer’ have been categorized for the period of 1987 to 2006, depending on the nature of the Cover Story, i.e. if it is depicting the company in a positive or negative manner. We considered the categorisation which hade been applied in the original study to be too general. Therefore we further developed the methodology regarding the categorisation. Subsequently the change of the stock price, for each company being the object of a cover story, before and after publication was compared. The return was then adjusted for the market return and the return of respective industry, again for each company. This enabled us to determine whether Cover Stories had been useful as an indicator. The results have been tested statistically. Findings: Positive Cover Stories constituted a momentum indicator while negative Cover Stories represented contrarian indicators. The majority of the results in the specific categories lack statistic significance, furthermore are the discrepancy in the returns of the companies considerable. To sum up, our results do not support the myth and we would not recommend a contrarian strategy based solely on Cover Stories as an indicator.

<p>Bakgrund: Inom investering förekommer ett flertal tumregler och myter. En myt som cirkulerat bland investerare är att framsidor i branschtidskrifter, benämnt Cover Stories, skulle utgöra en indikator för en contrarian strategi. Våren 2007 presenterade den första studie där det undersöktes om Cover Stories hade utgjort indikatorer för enskilda företag i USA. Vi kommer att undersöka om Cover Stories i Affärsvärlden och Veckans Affärer utgjort en indikator på den svenska marknaden under tidsperioden 1987 till 2006. Utfallen av våra resultat kan eventuellt bidra till att investerare inte fattar beslut utifrån en felaktig myt om samband inte kan påvisas. Finner vi ett samband kan vi fastställa att det funnits fog för myten.</p><p>Syfte: Vår studie syftar till att undersöka huruvida Cover Stories har kunnat användas som indikator i en contrarian eller momentum strategi under tidsperioden 1987 till 2006.</p><p>Genomförande: Vår studie har genomförts med den amerikanska studien som utgångspunkt. Affärsvärldens och Veckans Affärers framsidor har undersökts för tidsperioden 1987 till 2006. Under denna tidsperiod fann vi 298 företag som kunde kategoriseras beroende på om Cover Storyn var positiv eller negativ till företaget i fråga. Kategoriseringen som gjorts i ursprungsstudien ansåg vi vara för generell varför en metodutveckling gjordes. Därefter beräknades avkastningen kring publiceringsdagen för olika tidsintervall. Eventuell överavkastning beräknades genom att 1) justera för marknadens avkastning samt 2) justera för respektive bransch avkastning. Detta för att utreda huruvida trender kunde fastställas och om det var möjligt att använda Cover Stories som en indikator. De erhållna resultaten är testade för statistiskt signifikans.</p><p>Slutsats: Generellt har positiva Cover Stories utgjort en momentum indikator medan negativa Cover Stories utgjort contrarian indikator. Kategorispecifika resultat visar dock på värden som till största del saknar statistisk signifikans. Vidare är spridningen i hur företag avkastar stor. Sammantaget finner vi därför inget stöd för myten och rekommenderar inte en contrarian strategi med Cover Stories som indikator, vilket är i linje med ursprungsstudien.</p> / <p>Background: Myths and rules of thumb are widely spread within finance. One among many others is that Cover Stories of financial magazines are effective contrarian indicators. In spring of 2007 the first study was presented were it had been investigated if Cover Stories could have been used as indicators for companies in the U.S. We will examine whether Cover Stories in the Swedish financial magazines ‘Affärsvärlden’ and ‘Veckans Affärer’ constitute indicators for the Swedish market from 1987 to 2006. The outcome of our study can either prevent investors from making incorrect decisions based on a myth for which we have found no proof or strengthen the myth if we the magazines indeed could have been used as an indicator.</p><p>Purpose: The purpose of this study is to examine whether Cover Stories could have been used as indicators for either a contrarian or momentum strategy in the period of 1987 to 2006.</p><p>Realization: The basis of our study has been the study made on the U.S.-market. The Cover Stories of ‘Affärsvärldens’ and ‘Veckans Affärer’ have been categorized for the period of 1987 to 2006, depending on the nature of the Cover Story, i.e. if it is depicting the company in a positive or negative manner. We considered the categorisation which hade been applied in the original study to be too general. Therefore we further developed the methodology regarding the categorisation. Subsequently the change of the stock price, for each company being the object of a cover story, before and after publication was compared. The return was then adjusted for the market return and the return of respective industry, again for each company. This enabled us to determine whether Cover Stories had been useful as an indicator. The results have been tested statistically.</p><p>Findings: Positive Cover Stories constituted a momentum indicator while negative Cover Stories represented contrarian indicators. The majority of the results in the specific categories lack statistic significance, furthermore are the discrepancy in the returns of the companies considerable. To sum up, our results do not support the myth and we would not recommend a contrarian strategy based solely on Cover Stories as an indicator.</p>