Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. US Equity funds are used to gain insights about the properties of momentum and its predictive ability. Momentum performance is evaluated over the period 2000 to 2023. A multifactor model is developed, using factor attribution to explain the impact on fund performance over time by factors such as risk, size, value-growth orientation and momentum. Conclusions can be made that while momentum have previously been successful in predicting future returns, particularly for growth-oriented funds, recent market situations have lead to underperformance. The multifactor model, incorporating size and value-growth orientation, suggests that momentum is not entirely responsible for the poor performance following the Covid-19 crisis. / Momentum har historiskt sett varit en framgångsrik faktor för att predicera framtida avkastning, vilket har skapat stort intresse från investerare och finansiella analytiker. Efter finanskrisen 2008 och Covid-19 pandemin har det skett signifikanta momentumkrascher. Amerikanska aktiefonder används för att undersöka egenskaperna hos momentum och dess prediktiva förmåga. Prestationen av momentum utvärderas under tidsperioden 2000 till 2023. En multifaktormodell utvecklas, som använder faktor-attribution för att förklara hur fonders avkastning påverkas över tid av faktorer såsom risk, marknadsvärde, värde/tillväxt-orientering och momentum. En slutsats dras att även fast momentum har presterat väl historiskt för att predicera framtida avkastning, särskilt för tillväxt-orienterade aktiefonder, så har den senaste tidens marknadsrörelser lett till underprestation. Multifaktormodellen, som innehåller marknadsvärde och värde/tillväxt-orientering, indikerar att momentum inte är en lika stor anledning till underavkastningen efter Covid-19 krisen.

We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). Active Share is a relatively new measure that compares a fund’s holdings with its benchmark index constituents (Cremers & Petajisto, 2009; Petajisto, 2013). This is used as a proxy for the fund’s stock selection strategy. As a complement, TEV is used as a proxy for the factor timing strategy. Performance are measured by using Jensen’s (1968) model, Fama and French’s (1993) model and Carhart’s (1997) model. We document that Swedish funds in the Premium Pension System are relatively passive in term of Active Share compared to US funds. We attribute this finding to the relative number of stocks held by a fund compared to the market. Swedish equity funds hold a relatively larger share of the number of stocks in the Swedish market while US funds hold a relatively smaller share of the stocks in the US market. We run a panel regression analysis to test the relation between Active Share and various variables. We find that funds with higher TER fees and fewer stocks on average have higher Active Share. There are also indications that TEV is positively related to Active Share. However, the overall explanatory power of the variables is low. We attribute this as evidence that Active Share is an independent measure of fund activity. Overall, we find neutral performance for an equally weighted portfolio of all funds in the PPS. To examine the performance differences between different levels of activity, we sort funds into five portfolios based on Active Share and TEV. The results show that, given a medium-to-low TEV, funds with high Active Share significantly outperform funds with low Active Share. Furthermore, it appears that the fee rebate in the Premium Pension System is important especially for the passive funds. Without the rebate, the passive funds underperform significantly. We run a panel regression analysis on the future fund performance to test the predictive abilities of Active Share and TEV. The results indicate that Active Share does not explain future performance differences. Conversely, TEV is negatively related to future performance which can be explained by fund managers being overconfident

The fund market has grown substantially during the past decades and the majority of Swedish citizens are invested in funds directly or through pension savings. There is mixed evidence on the performance of Swedish equity funds depending on the method employed and the time period studied. In this study, we set out to estimate abnormal performance using acknowledged methods during a time-period that is both longer and more recent than previous studies. Our sample is survivorship-free and consists of 150 mutual equity funds during January 1993 to December 2011. We use a four-factor model to estimate abnormal performance compared to an index and additional risk factors. We find that the average performance is neutral net of costs and that funds outperform with 1.7 percent before costs, the difference is approximately the average management fee. Over time, we find that the average abnormal performance and the share of funds that have significant outperformance have decreased while the share of significant underperformance has increased. Since the study of fund performance started in the 1960's the twin questions has been; does funds outperform the market and is this a result of pure chance or are managers skilled? Since we observe funds with significant positive and negative abnormal performance, we want to know if the results can attributed to luck or skill. We employ the latest technique, a bootstrap simulation, to test for skill or luck. This is the first study to employ the bootstrap to distinguish skill from luck in sample of Swedish funds. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to skill or "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 50th percentile and below.

nÃo hà / Segundo Jensen (1968), a indÃstria de fundos mÃtuos de investimento, cuja expansÃo està prevista teoricamente pelo Teorema da SeparaÃÃo enunciado em Sharpe (1964), teria limitaÃÃes no sentido de bater o mercado em termos de performance risco-retorno mensurada pelo alfa de Jensen. Nesta ampla discussÃo, esta dissertaÃÃo se posiciona em sugerir um exercÃcio empÃrico aplicado a um cross-section contendo 243 fundos de investimentos em aÃÃes, categoria Ibovespa Ativo, o qual visa identificar que variÃveis financeiras, contÃbeis e administrativas se mostram capazes de prever no ano seguinte o sinal e a significÃncia do alfa de Jensen. Foram extraÃdos retornos diÃrios para todos os fundos nos anos de 2011 e 2012, e calculadas mÃtricas clÃssicas de retorno, risco e performance, bem como os 24 balancetes mensais e informaÃÃes administrativas do perÃodo em questÃo. Metodologicamente, as variÃveis explicativas consistem em estatÃsticas descritivas obtidas a partir de dados financeiros diÃrios e contÃbeis mensais, enquanto as performances a serem modeladas sÃo estimadas por meio do Capital Asset Pricing Model (CAPM). Dessa maneira, foi possÃvel ordenar os fundos em trÃs grupos, composto por Loosers, Draw e Winners, de acordo com suas performances em relaÃÃo ao Ãndice Ibovespa. Sendo assim, foi identificado que apenas 71 dos fundos foram capazes de performar melhor que o Ãndice Ibovespa durante o ano de 2012. Os resultados obtidos com a estimaÃÃo do arcabouÃo de Probit ordenado sugerem que fundos com maiores performances mensuradas pelos alfa de Jensen e Ãndices de Calmar e Sortino, associados a menores taxas de administraÃÃo, tendem a bater o mercado no ano seguinte. Entretanto, mÃtricas clÃssicas como desvio-padrÃo, taxa de performance e Ãndice de Sharpe (1964) nÃo se mostraram significantes. O modelo sugere, tambÃm, que a variÃvel Drawdown seja apresentada como mÃtrica eficiente de mensuraÃÃo de risco. / According to Jensen (1968), the mutual funds industry expansion is theoretically predicted by the Separation Theorem stated by Sharpe (1964), however with limitations in order to exceed the market in terms of risk-return performance measured by Jensen's alpha. In this broad discussion, this dissertation suggest an empirical exercise applied to a cross-section containing 243 stock funds, within the Ibovespa Active category, which aims to identify which financial, accounting and administrative variables are capable to predict the next year's value and the significance of the Jensen's alpha. Daily returns were extracted for all funds in 2011 and 2012, and were calculated classic metrics such as return, risk and performance. There were also extracted 24 monthly accounting balances and administrative informations for the period in question. Methodologically, the explanatory variables consist of descriptive statistics obtained from daily financial data and monthly accounting data, while the performances to be modeled are estimated using the Capital Asset Pricing Model (CAPM). Using this technic it was possible divide the funds into three groups, consisting of Loosers, Draw and Winners, according to their performances in relation to the Ibovespa index. Thus, it was discovered that only 71 funds were able to perform better than the Ibovespa Index during the year 2012. The estimation results of the ordered probit framework suggests that funds with higher performances measured by the Jensen's Alpha and with higher Sortino and Calmar ratios, associated with lower management fees tend to surpass the market in the next year. However, classical metrics like standard deviation, performance fees and Sharpe ratio (1964) were not significant. The model also suggests that the drawdown variable should be used as an efficient risk metric.

The growing interest in savings on the financial markets implicates that the competition is expanding and managers of Swedish equity funds need to create shareholder value, independent of the macroeconomic situation. The Swedish financial market experienced a rapid rebound during the first quarter of 2019, following the plunge in the preceding quarter. This thesis utilizes multiple linear regression to analyze Swedish equity funds during the first quarter of 2019. The aim is to identify variables affecting fund performance in a market rebound in order to formulate a performance maximizing strategy. Based on the results of the performance influencing variables, the strategy is to underweight small cap stocks, overweight the energy and technology sector, underweight the communication services sector and staying neutral to overweighted in remaining sectors. Furthermore, the strategy proposes an overweighted exposure to North American stocks and an underweight to Western European stocks. The overexposure to North America should be larger in absolute value compared to the underexposure to Western Europe. The strategy is ambiguous since data from only one market rebound is analyzed. Therefore, the strategy is not significantly proven to be adaptable in any market rebound. The model analysis is based on modern macroeconomic and financial theories. In addition, the discussion problematizes the neoclassical view on economics based on the notion that a combination of rationality and irrationality is prevalent among investors. Further research is essential either to support or reject the performance affecting variables and the allocation strategy specified in the thesis. / Det växande intresset att investera på de finansiella marknaderna implicerar att konkurrensen hårdnar bland fondförvaltare. Fondförvaltare för svenska aktiefonder måste därmed skapa andelsägarvärde, oberoende av det makroekonomiska läget. Den finansiella marknaden återhämtade sig snabbt under det första kvartalet 2019 efter den branta nedgången under det föregående kvartalet. Studien avser att identifiera de bidragande faktorerna till avkastning för svenska aktiefonder under denna återhämtning. Multipel linjär regression används för detta ändamål samt för att formulera en avkastningsmaximerande strategi. Strategin föreslår att förvaltare för svenska aktiefonder bör undervikta småbolag, övervikta aktier inom energi och teknik samt undervikta aktier i kommunikationssektorn. Strategin är vidare att vara neutral till överviktad i övriga sektorer. Dessutom är strategin att övervikta nordamerikanska aktier och att undervikta västeuropeiska aktier. Övervikten i Nordamerika ska vara större i absoluta termer än undervikten i Västeuropa. Strategin är tvetydig då den bygger på data från enbart en marknadsåterhämtning. Därmed är den framtagna strategin inte bevisad att vara applicerbar på vilken marknadsåterhämtning som helst. Analysen är baserad på modern makroekonomisk och finansiell teori. Diskussionen problematiserar den neoklassiska synen på ekonomi baserat på uppfattningen att investerare är både irrationella och rationella i sina investeringsbeslut. Fortsatt forskning är essentiell för att antingen stärka eller förkasta dragna slutsatser i denna studie.

Submitted by Rafael Sach ferreira (rafaelsach@gmail.com) on 2017-07-03T21:29:08Z No. of bitstreams: 1 Dissertação Rafael Sach Ferreira - Mestrado Profissional em Economia e Finanças Corporativas.pdf: 1638024 bytes, checksum: d94bf2bf6b0a3636c963b1c8de5aa47f (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-07-18T13:59:46Z (GMT) No. of bitstreams: 1 Dissertação Rafael Sach Ferreira - Mestrado Profissional em Economia e Finanças Corporativas.pdf: 1638024 bytes, checksum: d94bf2bf6b0a3636c963b1c8de5aa47f (MD5) / Made available in DSpace on 2017-07-20T20:02:50Z (GMT). No. of bitstreams: 1 Dissertação Rafael Sach Ferreira - Mestrado Profissional em Economia e Finanças Corporativas.pdf: 1638024 bytes, checksum: d94bf2bf6b0a3636c963b1c8de5aa47f (MD5) Previous issue date: 2017-03-17 / Private Equity investment, which has re-emerged in Brazil in 2005, appears as an alternative to diversify pension fund investments However, for this investment modality to be consolidated, it is necessary to evaluate the performance of the Private Equity industry in the last years. The method used to perform this evaluation was the DuPont System, that acts as a search technique that helps locate the key areas responsible for the company's financial performance. The results showed clear financial and operational differences between the groups of companies that were already disinvested by PEIF and those that are still part of the portfolio. In the first group, approximately 71.42% of the companies had a positive net margin and a stable financial leverage multiplier of around 2.0 times for at least three years before the disinvestment, generating positive impacts on the accumulated results of ROA (Return on Assets) and ROE (Return on Equity) profitability indicators calculated by the System DuPont. From this data analysis it will be possible, for instance, to determine standards that will help managers to satisfactorily complete the divestment process in the companies that are still part of the portfolio. The analysis of the companies already divested in relation to the results obtained and the way they were constructed allows us to conclude that the investment in Private Equity can be an alternative to diversify portfolio of investments, as well as reduce the concentration in segments of variable income and fixed income. / O investimento em Private Equity, que ressurgiu no Brasil em 2005, aparece como uma alternativa para diversificação dos investimentos dos fundos de pensão. No entanto, para que essa modalidade de investimento se consolide, é preciso avaliar o desempenho da indústria de Private Equity nos últimos anos. O método utilizado para realizar esta avaliação foi Sistema DuPont, funcionando como uma técnica de busca que ajuda a localizar as áreas-chaves responsáveis pelo desempenho financeiro da empresa. Os resultados apontaram claras diferenças financeiras e operacionais entre os grupos de empresas que já foram desinvestidas pelos FIP e aquelas que ainda fazem parte da carteira. No primeiro grupo, aproximadamente 71,42% das empresas obtiveram margem líquida positiva e multiplicador de alavancagem financeira estável em torno de 2 vezes durante, pelo menos, três anos antes do desinvestimento, gerando impactos positivos nos resultados acumulados dos indicadores de rentabilidade ROA (Return on Assets, em inglês) e ROE (Return on Equity, em inglês) calculados pelo Sistema DuPont. A partir da análise desses dados, será possível, por exemplo, determinar padrões que auxiliem os gestores a completar de maneira satisfatória o desinvestimento nas empresas que ainda fazem parte da carteira. A análise das empresas já desinvestidas, em relação aos resultados obtidos e a maneira como eles foram construídos nos permite concluir que o investimento em Private Equity pode ser sim uma alternativa para diversificar a carteira de investimentos e reduzir a concentração em segmentos de renda variável e renda fixa.