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Fondförvaltning : Går det fortfarande inte att generera en större riskjusterad avkastning än marknadens?Ahl Bollesparr, Marcus, Andrea John, Michelle January 2019 (has links)
Många svenska hushåll fondsparar och 2018 uppgick fondsparandet i genomsnitt till 434 000 kronor per person. Nobelpristagaren Fama (1970) påvisade att det inte är möjligt att generera en högre riskjusterad avkastning än marknadens. Samtidigt finns det fortfarande mängder av aktivt förvaltade fonder som utlovar högre avkastning än marknaden. Därmed är det alltjämt otydligt för småsparare om passivt eller aktivt förvaltade fonder genererar störst avkastning. Till skillnad från liknande tidigare studier, har denna studie ett större urval av fonder. Syftet är att undersöka vilket fondalternativ som mest gynnar investerares avkastning på den svenska marknaden. Syftet uppfylls genom att prestationsmåtten Sharpekvot och Jensens Alfa, för utvärdering av fondernas avkastning, undersöks. Resultaten visade att det inte är möjligt att generera en högre riskjusterad avkastning över den valda tidsperioden. Generellt hade indexfonderna bland de högre riskjusterade avkastningarna, jämfört med de aktivt förvaltade fonderna. Vilket även tyder på att en högre fondavgift är omotiverad. / Many Swedish households are investors, in 2018 investments in funds reached an average of 434 000 Swedish Crowns per person. The Nobel laureate Fama showed that yielding a higher risk-adjusted return than the market is not possible. Simultaneously, a great amount of actively conducted funds that pledges a higher return than the market is still launched today. Which arises a disorientation among small savers if passive or active conducted funds generate higher returns. Unlike previous studies, the range of funds were increased in this study. The purpose is to examine the returns of the funds with the performance measures Sharpe-ratio and Jensen’s Alpha. The results indicate that it is not possible to outperform a higher risk-adjusted yield than the market for the chosen time period. Overall, the passive funds had higher risk-adjusted returns compared to the active funds, which indicates that a higher fee for the funds is unjustified.
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Regret Theory and Decision-Making in Retention Program FundingJohnson, Eugenia Jo 01 January 2018 (has links)
Senior leaders of higher education institutions make management-related funding decisions that meet the needs of the institution without incurring financial loss. By classifying groups of students into strategic business units, these leaders can make targeted fund management decisions. Researchers have demonstrated that higher education institutions have successfully implemented student retention programs for students in the freshman unit, but in this early adoption stage, have been unable to establish a pattern in the sophomore unit decision-making process. This study was designed to determine the relationship between the management decisions to allocate funding for retention programs for students in the sophomore year in relation to the annual cost and the anticipated increase in student retention. The design was a quantitative correlation study, with a population of 49 senior leaders from 4-year higher education institutions in North Carolina, most of whom held the position of provost. The researcher developed the electronic survey instrument to measure the outcomes of this study and the results were analyzed using both regression analysis and Bradley-Terry pairwise analysis. The findings of this study suggest a significant relationship exists between the decision to fund retention programs and both the cost of the programs and the anticipated increase in student retention after program implementation. The management decision to allocate funds for the implementation of retention programming for students in a sophomore strategic business unit may improve the retention/graduation rates of students, which may increase the potential earning power of the college graduates while reducing the default rate of student loans.
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Factors influencing unit trust performanceTng, Cheong Sing Unknown Date (has links)
Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.
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Factors influencing unit trust performanceTng, Cheong Sing Unknown Date (has links)
Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.
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Factors influencing unit trust performanceTng, Cheong Sing Unknown Date (has links)
Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.
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Moderní společnost a pracovní čas / Modern society and working timeKUCHAŘOVÁ, Lenka January 2012 (has links)
Last decade of society development brought numerous essential changes, which are reflected in the forming of working time. This work tries to give comprehensive view on the progress of working time forming and development (its division and separation, working hours length variation) with the emphasis on unconventional (flexible) methods of working time planning and their usage in contemporary society, that is now more often and required. In final chapter there is brought closer the development of legislative conception of working time in Czechoslovak and Czech legislation.
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Smart Beta : en studie om hur smart beta strategier presterar på den svenska börsen / Smart Beta : a study on how smart beta strategies performs on the Swedish stock exchangeMårtensson, Patrik, Sjöberg, Henrik January 2017 (has links)
Den ständigt pågående debatten om aktiv respektive passiv förvaltning av fonder tycks aldrig upphöra. Det finns för- och nackdelar inom respektive kategori och vetenskapliga teorier kan argumentera för båda sätten. Men den senaste tiden har ett nytt förvaltningssätt introducerats, smart beta. Smart beta kan klassificeras som en hybrid mellan passiv och aktiv förvaltning. Tidigare studier inom området har uppvisat goda resultat för smart beta, dock i andra geografiska områden och med stora globala index. I denna studie introduceras en ny typ av smart beta strategi som har skapats efter ett lönsamhetsmått. Syftet med studien är att undersöka hur smart beta presterar på den svenska marknaden, med utgångspunkt i OMXS30. Studien har en positivistisk forskningsfilosofi tillsammans med en deduktiv ansats och en kvantitativ metod. Resultatet av studien visar att samtliga smart beta strategier genererar en högre avkastning än OMXS30. Tre effektivitetsmått har använts för att beräkna den riskjusterade avkastningen och även där påvisar samtliga smart beta strategier ett högre värde. Resultatet ligger i linje med tidigare studier inom området. Den strategi som genererade högst avkastning och högst riskjusterad avkastning var studiens nya smart beta strategi. Denna studie bidrar med att introducera en ny strategi, samt att undersöka effekten på den svenska börsen. Studien kan vara av värde för såväl etablerade aktörer inom finansbranschen, som för enskilda personer. För vidare forskning inom området bör tidsperioden utökas och fler strategier testas, framförallt med lönsamhetsmått. / The ongoing debate on active and passive fund management never seems to end. There are some pros and cons in each category and scientific theories can argue for both ways. But recently, a new strategy has been introduced, smart beta. Smart beta can be classified as a hybrid between a passive and active strategy. Previous studies have shown good results for smart beta, but in other geographic areas and with larger indexes. In this study, a new type of profitability smart beta is introduced. The purpose of the study is to examine how smart beta performs on the Swedish market, with starting point in OMXS30. The study has a positivist research philosophy along with a deductive approach and a quantitative method. The result of the study shows that all smart beta strategies generate a higher return than OMXS30. Three efficiency measures have been used to calculate the risk-adjusted return, and here too, all smart beta strategies demonstrate a higher value. The result is in line with previous studies in the field. The strategy that generated the highest risk-adjusted return was the study's new strategy. The contribution of this study is to introduce a new strategy, as well as examine the effect of the previous strategies on the Swedish market. The study can be of value to both established actors in the finance industry, but also for individuals. For further research in the area, the time period should be extended and more strategies tested, especially with measures of profitability.
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Aktivt och passivt förvaltade aktiefonder på den svenska finansmarknaden : En kvantitativ studie om förhållandet mellan förvaltningsstil och avkastningLjungh, Albin, Österman, Gustav January 2022 (has links)
Under de senaste åren har investeringsintresset ökat kraftigt, och i synnerhet intresset för att investera i fonder. Detta medför en problematik då valet att investera i aktivt eller passivt förvaltade fonder inte är självklart. Tidigare studier pekar åt olika håll när det kommer till detta dilemma. Syftet med denna studie är att undersöka vilken förvaltningsstrategi som har gett mest avkastning i förhållande till den tagna risken och avgiften. Då marknaden under de senaste åren har varit volatil ger detta mer relevans till studiens syfte. Studiens valda tidsperiod sträcker sig mellan 2017-04-21 och 2022-04-21. För att vidare undersöka om det lönar sig att investera i aktivt förvaltade fonder med högre avgift, formuleras två hypoteser. Studien undersöker ett urval på totalt 110 aktivt och passivt förvaltade svenska aktiefonder som enbart är exponerade mot svenska bolag. Studiens resultat av de två förvaltningsstrategiernas genomsnittliga prestations- och riskmått skiljer sig inte avsevärt gentemot varandra. Studiens resultat pekar på att indexfonderna har presterat marginellt bättre än de aktivt förvaltade fonderna och i genomsnitt har dessa gett högst avkastning till lägst tagen risk. Studiens båda hypoteser förkastades då samtliga korrelationskoefficienter påvisade svaga icke-samband samt att de inte var signifikanta på en 5% signifikansnivå. Sammanfattningsvis medför en högre avgift nödvändigtvis inte en högre avkastning eller riskjusterad avkastning. / In the recent years, the interest in investing on the stock market has increased sharply, and in particular the interest to invest in funds. This entails a problem as the choice to invest in actively or passively managed funds is not self-evident. Previous studies point in different directions when it comes to this dilemma. The purpose of this study is to examine which management strategy has given the most return in relation to the risk and the fee. As the market in recent years has been volatile, this gives the purpose of why this study is relevant. This study's investigates the market from 2017-04-21 and 2022-04-21. To further investigate whether it is profitable to invest in actively managed funds with a higher fee compared to index funds, two hypotheses are formulated. The study investigates a sample of 110 actively and passive managed Swedish equity funds that are only exposed to Swedish companies. The conclusion of the performance and risk measures of the two management strategies do not differ significantly from each other. Marginally the result of this study indicates that the index funds have an average higher return at the lowest risk. Both hypotheses of this study were rejected when all correlation coefficients showed weak non-correlations and that they were not significant at a 5% significance level. In summary, a higher fee does not necessarily lead to a higher return or a higher risk-adjusted return.
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Enhancing Portfolio Modelling: Integrating Transaction Costs and Capital Injections / Optimerad portföljmodellering: Integrering av transaktionskostnader och kapitalinjektionerIssa, Tomas, Navia, Nicolas January 2023 (has links)
This master's thesis addresses the often overlooked aspect of transaction costs, capital injections, and withdrawals in fund management theory. The research collaboration with Havsfonden, a newly launched quantitative ESG investment fund, aims to enhance their understanding of transaction costs and capital injections while improving their investment model. The thesis includes a comprehensive literature review, the development of a portfolio model that integrates transaction costs and capital injections, and the numerical implementation and testing of the model using MATLAB. Three distinct models focusing on transaction costs, including linear, fixed, and a combination of both, were created. Additionally, three models were developed to examine capital injections, with one based on past performance and the others considering a constant inflow of capital. The findings indicate that our models provide reasonable implementation and effectively capture the nature of capital injections and transaction costs. / Den här uppsatsen ämnar belysa dem många gånger försummade områdena – transaktionskostnader och kapitalinjektioner – inom portföljeteorin. Uppsatsen är i samarbete med Havsfonden, en nylanserad kvantitativ ESG fond, och syftar till att utvidga förståelsen för hur transaktionskostnader och kapitalinjektioner beaktas och kan modelleras. Uppsatsen omfattar en litteraturstudie, ett ramverk som integrerar transaktionskostnader och kapitalinjektioner, samt en numerisk implementation i MATLAB. Tre modeller för transaktionskostnader har utvecklats, vilket omfattar linjära och fasta transaktionskostnader samt en kombinerad version. Därutöver har tre modeller för kapitalinjektioner utvecklas, varav en baseras på portföljens tidigare prestation, medan de andra baseras på ett konstant inflöde av kapital. Resultatet tyder på att modellerna har implementerats riktigt och lyckas skildra dem utmärkande attributen av transaktionskostnader och kapitalinjektioner.
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