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1	Active versus passive portfolio management : A study of risk-adjusted return and market fluctuations on short term and long term Duveskog, Ida, Halldén, Jesper January 2024 (has links) Today fund matching is a natural part of Swedes finance and is a popular form of savings that includes a large number of investors in the Swedish fund market. This in turn generates an increased interest in how portfolio managers should locate and acquire knowledge in portfolio selection. This gives a greater interest in how different investment strategies can be affected and generate an investors wealth to an increased level within the stock market, which gives an increased focus to be able to generate as high risk-adjusted return as possible. The study partly presents traditional theory and background on modern portfolio theory and the efficient market hypothesis. Empirical studies also present within the financial market that demonstrate the differences of opinion between how actively versus passively managed funds have performed and which investment strategy is most beneficial for investment. The purpose of the study is to compare realized return on active versus passive funds during long term, short term and specific time periods that had a lot of economic fluctuations, like bear markets. Within the study 10 actively managed funds and two index measures are selected to be studied and compared based on their respective performance, both within its rise and fall in the Swedish fund market. The performance measures will then be applied to be able to produce the results of the study and to be able to answer whether the active fund’s have any statistically significant over- and underperformance. After conducting single index models and t-test on the 10 active funds, the result of the study shows that despite using two benchmarks index, ten different active funds, long time period, short time period or specific time periods defined by market imbalance , we still resulted in many P-values that was not statistically significant. Active funds failed to overperform against passive funds, but passive funds also failed to outperform our selection of active funds. Active funds Passive funds Fund managers Risk-adjusted return Swedish Fund Market Index Benchmark OMXSGI OMXS30GI investment strategies Portfolio allocation diversification volatility NAV-course Bull and Bear market Beta systematic and unsystematic risk Small- and medium sized companies Large companies Market fluctuations Single index model linear regression T-test standard deviation risk level portfolio selection Alpha R-adjusted P-values. Business Administration Företagsekonomi

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Active versus passive portfolio management : A study of risk-adjusted return and market fluctuations on short term and long term