<p>Titel: Fonders förvaltningsavgifter vs avkastning – Lönar det sig att betala lite mer eller är det bara dumdristigt?</p><p>Seminariedatum: 2008-06-04</p><p>Ämne/kurs: Magisteruppsats/ D-nivå</p><p>Författare: Anna Asplund och Malin Elfving</p><p>Handledare: Stig Westerdahl</p><p>Nyckelord: Fonder, Förvaltningsavgifter, TKA, Avkastning</p><p>Syfte: Syftet med studien är att undersöka om det föreligger ett samband mellan fonders förvaltningsavgifter och dess avkastning samt om avkastningen och förvaltningsavgifterna skiljer sig mellan olika fondtyper.</p><p>Metod: Studien bygger på en deduktiv forskningsansats eftersom vi utgår från befintliga begrepp och teorier. Då vi ville undersöka en stor population har vi använt oss av en kvantitativ forskningsstrategi. Studien grundar sig på åren 2004-2007. För att bestämma ett samband mellan de två variablerna förvaltningsavgift och avkastning har vi använt oss av regressionsanalyser. För att undersöka om avkastningen och förvaltningsavgifterna skiljer sig åt mellan de olika fondtyperna har vi använt oss av medelvärdesanalyser.</p><p>Empiri: Vi har hämtat data gällande förvaltningsavgifter och avkastning på de fonder som ingår i urvalet från Morningstar som är en oberoende utgivare av fondinformation.</p><p>Slutsatser: Studiens resultat visar att ett samband mellan fondernas avkastning och dess förvaltningsavgift (TKA) endast kan fastställas år 2005, då ett negativt samband föreligger. Detta år visar indikationer på att det finns skillnader i resultaten och att det inte beror på slumpen. De resterande åren kan resultaten dels bero på slumpen samt har de en dålig förklaringsgrad vilket innebär att resultaten i studien ej kan skildra verkligheten. Räntefonderna är den fondtyp som har den lägsta genomsnittliga avkastningen under den undersökta perioden, aktiefonderna har den högsta. Räntefonderna har även den lägsta genomsnittliga TKA medan den fondtyp som i denna studie har den högsta genomsnittliga TKA är fond-i-fonder.</p> / <p>Title: Mutual funds; administration fees vs. proceeds – Is it profitable to pay a bit more or is it just foolish?</p><p>Seminar date: 2008-06-04</p><p>Course: Master Thesis/D-level</p><p>Authors: Anna Asplund and Malin Elfving</p><p>Advisor: Stig Westerdahl</p><p>Keywords: Mutual funds, Administration fees, TKA, Proceed</p><p>Purpose: The purpose of the study is to investigate if there is a connection between the administration fees of mutual funds and their proceeds. The study aims to examine different kinds of funds which invests in different kinds of markets and if there are differences between these funds.</p><p>Methodology: The study is founded on a deductive research effort since we take our starting-point in existing terminology and theories. Since we wanted to examine a large population we used a quantitative research strategy. In order to determine a connection between the two variables; administration fee and proceed we have used regression-analysis.</p><p>Empirical foundation: We have collected data concerning administration fees and proceed on the funds in the selection from Morningstar, which is an independent publisher of mutual fund information</p><p>Conclusion: It is only for the year of 2005 the study shows a possible negative connection between the administration fees of mutual funds and their proceeds. For the unit trusts a possible connection cannot be established for any of the examined years.</p>

<p><strong>Bakgrund:</strong> Fonder är en sparform som har utvecklats och blivit en av de mest populära och framgångsrika placeringsformerna på marknaden. Många företag väljer därför, efter en högkonjunktur följd av möjlighet till reservsparande, att investera på fondmarknaden för att kunna öka sitt kapital under kommande lågkonjunktur. Att välja en stor och trögrörlig eller en liten och snabbfotat fond kan vara av avgörande karaktär när man ska se till utvecklingen.</p><p><strong>Problemformulering:</strong> Har fondstorleken betydelse vid placering i fonder under lågkonjunktur?</p><p><strong>Syfte:</strong> Klargöra huruvida fondstorleken har betydelse för avkastningen vid placering i svenska aktiefonder under lågkonjunktur.</p><p><strong>Metod:</strong> Studien använder sig av metodtriangulering där ett kvantitativt upplägg kombineras med ett kvalitativt inslag i form av en intervju. En deduktiv ansats anammas. Urvalet har valts ut genom ett bekvämlighetsurval och datainsamling har skett i form av sekundärdata från Morningstar, Riksbanken samt Affärsvärlden. Med den informationen har uppsatsens empiri och resultat grundlagts och kunnat kopplas till teorier, tidigare forskning samt allmän uppfattning om fonder i analysen.</p><p><strong>Slutsats:</strong> Undersökningen visar att stora fonder, tätt följt av medelstora fonder, är den bästa investeringen under lågkonjunktur. Små fonder är mer snabbrörliga, har en högre standardavvikelse och risk men det innebär inte generellt att det utmynnar i en högre avkastning.</p> / <p><strong>Background:</strong> Fund saving is nowadays a very popular investment strategy when it comes to putting money aside on the market. After a big economic boom, with the potential of gathering up assets, companies choose  to invest in the fund market with the possibility to increase their wealth when a recession is up and coming. When it comes to how well the fund is developing, one needs to make a critical decision and choose either a big and sluggish one or a small and swift-footed one.</p><p><strong>Problem formulation:</strong> Does fund size matter when investing in funds during recession?</p><p><strong>Purpose:</strong> Determine whether fund size has an impact on return rate when investing in Swedish mutual funds during recession.</p><p><strong>Method:</strong> Different types of methods will be used throughout the study to ensure good quality and enough quantity. Mainly quantitative layout (data gathering from the Swedish State Bank, Morningstar and Affärsvärlden) featuring a qualitative interview and a deductive approach. With established empirics and elicited results, the study has been able to connect the theories used, the previous research in the field and the common view of funds among society to its analysis.</p><p><strong>Conclusion: </strong>Theory suggests that large funds, closely followed by mediumsized funds are the best investment during recessions. Small funds are more fastmoving, has a higher standard deviation and risk but it does not, generally, out-flow into a higher return.</p>

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Titel: Fonders förvaltningsavgifter vs avkastning – Lönar det sig att betala lite mer eller är det bara dumdristigt? Seminariedatum: 2008-06-04 Ämne/kurs: Magisteruppsats/ D-nivå Författare: Anna Asplund och Malin Elfving Handledare: Stig Westerdahl Nyckelord: Fonder, Förvaltningsavgifter, TKA, Avkastning Syfte: Syftet med studien är att undersöka om det föreligger ett samband mellan fonders förvaltningsavgifter och dess avkastning samt om avkastningen och förvaltningsavgifterna skiljer sig mellan olika fondtyper. Metod: Studien bygger på en deduktiv forskningsansats eftersom vi utgår från befintliga begrepp och teorier. Då vi ville undersöka en stor population har vi använt oss av en kvantitativ forskningsstrategi. Studien grundar sig på åren 2004-2007. För att bestämma ett samband mellan de två variablerna förvaltningsavgift och avkastning har vi använt oss av regressionsanalyser. För att undersöka om avkastningen och förvaltningsavgifterna skiljer sig åt mellan de olika fondtyperna har vi använt oss av medelvärdesanalyser. Empiri: Vi har hämtat data gällande förvaltningsavgifter och avkastning på de fonder som ingår i urvalet från Morningstar som är en oberoende utgivare av fondinformation. Slutsatser: Studiens resultat visar att ett samband mellan fondernas avkastning och dess förvaltningsavgift (TKA) endast kan fastställas år 2005, då ett negativt samband föreligger. Detta år visar indikationer på att det finns skillnader i resultaten och att det inte beror på slumpen. De resterande åren kan resultaten dels bero på slumpen samt har de en dålig förklaringsgrad vilket innebär att resultaten i studien ej kan skildra verkligheten. Räntefonderna är den fondtyp som har den lägsta genomsnittliga avkastningen under den undersökta perioden, aktiefonderna har den högsta. Räntefonderna har även den lägsta genomsnittliga TKA medan den fondtyp som i denna studie har den högsta genomsnittliga TKA är fond-i-fonder. / Title: Mutual funds; administration fees vs. proceeds – Is it profitable to pay a bit more or is it just foolish? Seminar date: 2008-06-04 Course: Master Thesis/D-level Authors: Anna Asplund and Malin Elfving Advisor: Stig Westerdahl Keywords: Mutual funds, Administration fees, TKA, Proceed Purpose: The purpose of the study is to investigate if there is a connection between the administration fees of mutual funds and their proceeds. The study aims to examine different kinds of funds which invests in different kinds of markets and if there are differences between these funds. Methodology: The study is founded on a deductive research effort since we take our starting-point in existing terminology and theories. Since we wanted to examine a large population we used a quantitative research strategy. In order to determine a connection between the two variables; administration fee and proceed we have used regression-analysis. Empirical foundation: We have collected data concerning administration fees and proceed on the funds in the selection from Morningstar, which is an independent publisher of mutual fund information Conclusion: It is only for the year of 2005 the study shows a possible negative connection between the administration fees of mutual funds and their proceeds. For the unit trusts a possible connection cannot be established for any of the examined years.

Purpose:        The intention of this study is to distinguish if there is a correlation between mutual funds administration fee and their return. The study will also observe if there is a difference regarding the return between active and passive management fees. Method:        The study is founded on a deductive approach because the study is based on existing theories. Quantitative research based on statistical data has been used. A correlation analysis has been applied to determine if there is a correlation between the chosen variables. Conclusion:   The conclusion of the study is that active management of funds mainly do not give a higher return than passive management funds. Neither is the administration fee dependent on the risk a fund has.

The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfolio returns, various performance models are compared in terms of their power to detect timing and selectivity abilities, by means of an iterative simulation procedure. The frequency of errors in rejecting the null hypotheses of no market timing and no selectivity abilities shape the analyses between the models for power comparison. The results indicate that time varying beta models of Lockwood- Kadiyala and Bhattacharya-Pfleiderer rank highest in tests of both market timing and selectivity. The Jensen performance model achieves the best results in selectivity environments in which managers do not possess timing skill. The Henriksson-Merton model performs most highly in tests of market timing in which managers lack timing skill. The study also investigates the effects of heteroskedasticity on the performance models. The results of analysis before and after model correction for nonconstant error term variance (heteroskedasticity) for specific performance methodologies do not follow a consistent pattern. / Graduation date: 1992

Following the development and popularity of mutual funds among Swedish investors, the question of active fund management and return has become a central issue for private investors. 99 percent of the Swedish population invests in mutual funds, comprising a total net fund value of almost 2,000 billion SEK. The idea behind active management is for a charged fee, to generate a return higher than the return of the market. But statistics indicate a low level of competition between the largest providers and only one out of ten funds performs better than its index. Financial instability due to the last decade’s two recessions has indeed caused fluctuating performance of actively managed Swedish mutual funds. It has also spurred academics to investigate the role and effect of active management and attached management fees. The main purpose of this research is to investigate if there exist differences between the performance of benchmark indices and the performance of actively managed equity funds, balanced funds and money market funds provided by seven Swedish banks; Folksam, Länsförsäkringar, Handelsbanken, Nordea, SEB, Skandia and Swedbank. We also seek to investigate if the level of fee and total risk affect the fund performance. The research was deductively conducted with a quantitative method of inquiry. The ontological and epistemological positions are objectivism and positivism. Our sample of 21 Swedish mutual funds, with daily price observations was investigated between 2004 and 2011, with a division of four subperiods. To answer our research question and sub-questions, ten fictive portfolios were created and five hypotheses were formulated based on previous research and theories within the field. The data was analyzed with paired samples T-tests and multiple linear regression analyses. The portfolios included three risk-adjusted fund performance measures and Value at Risk.     We have concluded that on average both balanced funds and money market funds have performed worse than their benchmark indices in the period 2004 to 2011. The equity funds have also performed worse than their benchmark index but the difference is not statistically significant. The balanced funds had the highest return, the money market funds second highest return and equity funds the lowest return. Supported by the multiple regression analyses, we have concluded that fund performance is negatively related to the level of total risk in the period 2004 to 2011. There is no statistical relationship between fund performance and fund provider. We finally conclude that fund return during the entire investigation period, is negatively related to management fees.

Preview:     SEB Investment Strategy is the function in SEB that supports business units SEB      Private Banking and SEB Retail with investment philosophy and investment            process. The framework of SEB Investment Strategy encompasses to manage a     structured investment philosophy and process to produce a range of investment                    options and portfolios for different target groups. From January 2006 to October        2009 forty “Proposal for fund portfolios” were produced each containing         writing on market condition and expectations plus portfolio recommendations.        Each time four portfolios consisting of six mutual funds was recommended,                    Fund Portfolio 30, 50, 70 and 100. Fund Portfolio 30 (FP30) contained           30% equity fund and 70% fixed-income funds. By same reasoning FP50           contains 50/50 equity- and fixed-income funds, FP70, 70% equity funds and         30% fixed-income funds and FP100 only equity funds.   Purpose:      The aim of this work is to evaluate these SEB Investment Strategy recommended       portfolios for private SEB Retail clients from January 2006 to December 2009.    Evaluation is done by comparing the performance of recommended portfolios       with portfolios produced by applying Vasicek´s Technique and simplified   optimization technique.   Method:     To allow work with Vasicek´s Technique in which we are dependent on a market        portfolio, I have created an Index which includes SEB Mutual Funds and their         share of the Index is determined from each fund´s total assets in relation to the    sum of the total assets under management of all funds inclusive in the Index.   Index consists of 40 mutual funds 2002-2007 and 37 mutual funds 2008         and 2009. The total supply of funds has been reduced to the above numbers by             the following criteria:   Clients must be able to invest in funds through conventional SEB Fund Account. No initiation fees or sales charges. Minimum historical Net Asset Value prices (NAV-prices) from 2nd January 2002. Daily trading and at least 300 million SEK in assets under management. No Fund-in-Fund products. Only SEB or SEB Choice funds.   The closing daily NAV-prices (time series) of these funds have been obtained from seb.se/fonder from 2nd January 2002 to 28th December 2009. With prices daily returns are calculated and used for estimation of historical and average values of variables needed for computing forecasted Alphas and Betas according to Vasicek´s Technique. Mutual funds are then ranked with respect to excess return over forecasted Beta given risk free rate equal to Swedish government 1 month treasury-bill (SSVX1M) at time for optimisation. Top six ranked funds are included in the optimization process. The first optimized portfolio given actual T-bill is then compared to FP100 recommended by SEB Investment Strategy. In order to find optimized solutions to other recommended portfolios premiums are added to actual T-bill rate.

The first essay examines how board structure affects manager dismissal decisions in mutual funds. We first find some evidence suggesting that the likelihood of managerial replacement is higher when fund boards are more independent and receive lower levels of compensation. Manager turnover is more likely when funds underperform the objective average. We then investigate the manager turnover decision conditional on the funds experiencing a merger. We find that funds with more independent boards are more likely to employ target managers with a track record of superior performance. Overall, these results suggest that more independent boards make manager retention/replacement decisions in the interests of their shareholders. The second essay studies the relationship between managerial ownership and mutual fund performance. We first document that almost half of the mutual fund managers own shares in their funds, though the absolute amount of investment is modest. Fund future performance is positively related to the level of manager ownership. Manager ownership is higher in equity funds than bond funds, in funds with better past performance, smaller sizes, and where managers have been in charge for a longer time period. When we decompose manager ownership into predicted and residual parts, we find that both components are significant in explaining fund future performance. Our findings suggest that managerial ownership has desirable incentive attributes for mutual fund investors. The third essay investigates how managerial ownership affects the investment behavior of portfolio managers. We first examine the disposition effect exhibited by different fund managers, and find that those with positive ownership show significantly less disposition effect. Specifically, they sell losers faster and hold on to winner stocks for a longer period. Disposition effect is less pronounced in bigger funds, funds with smaller boards, and funds with higher percentage of board independence. We then test the relation between managerial ownership and the tournament behavior, investigating how the degree of managers manipulation of fund volatilities in the latter part of a year is related to their personal stakes in the funds. However, we do not find evidence suggesting the existence of such a relationship.

This study mainly investgates the investment performance of momentum strategies and contrarian strategies in Taiwan stock market. There are three purposes in this paper. First, we examine whether the momentum strategies and contrarian strategies can create significant profits under different formulation horizons and holding horizons, then we discuss the reasons for the profits of significant profits strategies, including risk, seasonality, industrial momentum, time series predictability of stock returns and cross-sectional variation in the mean returns, and stock underreation, overreaction, and random walk. Second, we derive the mix strategies from the combination of momentum strategies and contrarian strategies for the same holding horizons and test the investment performance of mix strategies empirically. Finally, we study whether the investment strategies of stock mutual funds in Taiwan are industrial momentum strategies or industrial contrarian strategies, and which strategies can create better industrial investment performance. The main conclusions and suggestions are as follows: First, we find the momentum strategies are more successful in Taiwan as a whole, especially from 1991/1/1 to 2000/12/31. There are only three significant profits strategies in 147 strategies totally for three different test periods, including the (24,24) strategy and (36,24) strategy from 1991/1/1 to 2000/12/31, and (1,12) strategy from 1981/1/1 to 1990/12/31. For the reasons of the profits of the three strategies, we find the negative alphas in the F&F three factors model and underreation from the decreasing returns in the post holding horizons, so we should use the momentum strategies very carefully in Taiwan stock market. Second, we find the success of mix strategies theoretically and empirically. Nevertheless, we can¡¦t increase the profits for considering more different sub-strategies if there are no successful sub-strategies with different formulation horizons. Finally, we find the investment strategies of stock mutual funds almost are industrial momentum strategies, which realized significantly better industrial performance then the industrial contrarian strategies. It suggests that the industrial momentum strategies are not irrational and can increase the speed of adjustment of industrial index to its intrinsic value. On the other hand, stock mutual funds can perform well by the momentum strategies without superior information collection and analysis.