<p>The purpose of the thesis has been to explore the use of hedge fund styles when constructing portfolios of hedge funds (i.e. funds of hedge funds). The central question is if the use of hedge fund styles can significantly explain and improve risk adjusted returns (characterized by Sharpe ratios). The study has been done in collaboration with Optimized Portfolio Management AB who desire further knowledge and evaluation of hedge fund styles for their fund of hedge funds.</p><p>To be able to create successful ex ante portfolios we have explored various prediction models for both risk and return. Our findings indicate that return prediction is problematic using simple models such as regression since the risk exposure of the indices appear to change significantly over time. One can however using exponentially weighted moving averages (EWMA) achieve relatively promising estimations of future returns. </p><p>Covariance matrix estimation seems to be more straightforward. We have achieved promising results using both traditional EWMA models as well as improved estimators using principal component analysis.Covariance prediction models were evaluated separately using a minimum-variance portfolio optimization technique and provided a significant risk reduction compared to the aggregated hedge fund universe (represented by a naively diversified portfolio). Combinations of risk and return prediction models were evaluated using traditional mean-variance portfolio construction methods, which were optimized for Sharpe ratios. These provided a significant increase in risk adjusted returns relative to the aggregated hedge fund universe. The allocation is however discouraging due to serious instability over time.</p><p>Our findings indicate that there indeed is an advantage of taking hedge fund styles into consideration when constructing funds of hedge funds in a risk adjusted perspective. However, further research into return prediction needs to be done in order to stabilize portfolio allocation. An alternative seems to be tactical style allocation on a more fundamental analysis basis.</p>

The purpose of the thesis has been to explore the use of hedge fund styles when constructing portfolios of hedge funds (i.e. funds of hedge funds). The central question is if the use of hedge fund styles can significantly explain and improve risk adjusted returns (characterized by Sharpe ratios). The study has been done in collaboration with Optimized Portfolio Management AB who desire further knowledge and evaluation of hedge fund styles for their fund of hedge funds. To be able to create successful ex ante portfolios we have explored various prediction models for both risk and return. Our findings indicate that return prediction is problematic using simple models such as regression since the risk exposure of the indices appear to change significantly over time. One can however using exponentially weighted moving averages (EWMA) achieve relatively promising estimations of future returns. Covariance matrix estimation seems to be more straightforward. We have achieved promising results using both traditional EWMA models as well as improved estimators using principal component analysis.Covariance prediction models were evaluated separately using a minimum-variance portfolio optimization technique and provided a significant risk reduction compared to the aggregated hedge fund universe (represented by a naively diversified portfolio). Combinations of risk and return prediction models were evaluated using traditional mean-variance portfolio construction methods, which were optimized for Sharpe ratios. These provided a significant increase in risk adjusted returns relative to the aggregated hedge fund universe. The allocation is however discouraging due to serious instability over time. Our findings indicate that there indeed is an advantage of taking hedge fund styles into consideration when constructing funds of hedge funds in a risk adjusted perspective. However, further research into return prediction needs to be done in order to stabilize portfolio allocation. An alternative seems to be tactical style allocation on a more fundamental analysis basis.

Purpose: The purpose of this study is to examine the difference in return between Swedish and Russian hedge funds while considering the risk taken. Method: This study is based on quantitative data on funds' historical returns from the electronic database Morningstar.se. Additional data is taken from the funds websites, the Swedish National Bank and Fondbolagens förening. Result and conclusion: All hedge funds, both the Russian and Swedish performed better thanthe index. The Russian hedge funds nevertheless performed better than their Swedishcounterparts in all three evaluation methods. / Syfte: Syfte med undersökningen är att granska skillnaderna i avkastning med hänsyn till riskenmellan svenska och ryska hedgefonder. Metod: Denna studie grundas på kvantitativ data om fondernas historiska avkastning från den elektroniska databasen Morningstar.se. Ytterligare data är hämtad från fondernas hemsidor, Riksbanken och Fondbolagens förening. Resultat och slutsats: Alla hedgefonder både de ryska och de svenska presterade bättre än index. De ryska hedgefonderna presterade dock bättre än de svenska i alla tre utvärderingsmåtten.

Bakgrund: Det rådande pensionssystemet i Sverige består av sex så kallade AP-fonder. Genom åren har pensionssystemet flertalet gånger kritiserats för dess låga avkastning. Problem: Vår huvudfråga är att jämföra AP-fondernas risk och avkastning med aktiemarknaden som helhet, detta ska ske med hjälp av två jämförelseindex: MSCI World och SIXRX. Syfte: Syftet med uppsatsen är att jämföra de fyra första AP-fondernas risk och avkastning med aktiemarknaden som helhet under åren 2002-2010. Metod: Vi har använt oss av en kvantitativ metod, genom att samla in information från AP-fondernas årsredovisningar och hemsidor. Vi har samlat in historisk data, som vi sedan har bearbetat och analyserat. Slutsats: De studerade AP-fonderna har presterat sämre än aktiemarknaden. / Background: The current pension system in Sweden consists of six so called AP-funds. Throughout the years the pension system has been criticized for its low return. Problem: We will compare the pension funds’ risk and return with the rest of the stock market as a whole. This will be done by the aid of two comparison registers: MSCI World and SIXRX. Purpose: Our purpose with the essay is to compare the pension funds in the Swedish pension system, their risk and return, with the share market as a whole. Method: We have used a quantitative method, by gathering information from the annual reports and relevant websites. We have also gathered historical data, which has been processed and analyzed. Conclusion: The studied pension funds have achieved lower results than the stock market market.

Bakgrund: De senaste åren har en stark underprissättningstrend observerats i det ökande antalet börsnoteringar, vilket har skapat ett starkt investerarintresse. En stor del av dessa nyintroducerade bolag är småbolag, varav de flesta noteras på mindre handelsplatsformer, så kallade MTF:er. MTF:en Aktietorget introducerade flest företag till den svenska aktiemarknaden 2010-2014, varför detta har valts till studiens undersökningsområde.Tidigare studier har bevisat att det finns en hög volatilitet i nyintroduktioner och småbolag, vilket i finansiella sammanhang betyder att en sådan investering är mer riskfylld. Dock saknas liknande studier på downside volatilitet, alltså risken för förlust. Denna studie ämnar därför att jämföra den traditionellt riskjusterade avkastningen i form av sharpekvoten, mot avkastningen justerad för downside risk, den så kallade sortinokvoten. Detta nyare mått på risk är en del av den postmoderna portföljteorin, som tar hänsyn till en mer förlustaversiv investerare. Syfte: Syftet med denna uppsats är att analysera den riskjusterade avkastningen i nynoteringar på Aktietorget för att jämföra med etablerade bolag på OMX Stockholm. Den riskjusterade avkastningen beräknas genom sharpe-respektive sortinokvoten och jämförs sedan för att undersöka eventuella skillnader i bedömningen av aktiernas prestation. Genomförande: Uppsatsen är en eventstudie med deduktiv ansats. Undersökningen har inkluderat nynoteringar på Aktietorget mellan 2010-2014 och jämförelseaktier består av branschindex från OMXSPI.Den riskjusterade avkastningen har beräknats via modifierade kvoter. Samband mellan sharpe-respektive sortinokvoten har undersökts genom icke-parametrisk rangordningskorrelation. Slutsats: Studien kan inte bevisa en signifikant abnormal avkastning i nynoteringar på Aktietorget, men observerar en genomsnittlig överavkastning upp till en månad. De riskjusterade kvoterna har mycket stark rangordningskorrelation, vilket innebär att studiens resultat inte kan motivera en fortsatt användning av sortinokvoten. / Background: In recent years, a strong underpricing trend has been observed in the increasing number of IPOs, which has created a strong investor interest. A large part of these IPO companies are small firms, most of which are listed on smaller trading venues, known as MTFs. The MTF Aktietorget introduced most companies to the Swedish stock market during 2010-2014, so it has been chosen as the area for this research.Previous studies have shown that there is high volatility in new introductions and small companies, which in financial terms means that such an investment contains more risk. However, similar studies on downside risk are lacking. This study therefore aims to compare the traditional risk-adjusted return in the form of the sharpe ratio, against the return adjusted for downside risk, the so-called sortino ratio. This newer measure of risk is part of the postmodern portfolio theory, which takes into account a more loss-aversive investor. Purpose: The purpose of this paper is to analyze the risk-adjusted return in IPOs on Aktietorget and compare it with the return of established companies on OMX Stockholm. The risk-adjusted return is calculated by the sharpe and sortino ratios, respectively, and are later compared with each other to investigate possible differences in the estimation of performance for the stocks. Methodology: This paper is an event study with a deductive approach. The study has included IPOs on Aktietorget between 2010-2014 and comparative stocks, consisted of industry index from OMXSPI.The risk-adjusted return has been calculated using modified ratios and the relationship between the sharp and sortino ratios has been investigated by non-parametric ranking correlations. Conclusion: The study can't prove any significant abnormal return in IPOs on Aktietorget, but observes an average excess return of up to one month. The risk-adjusted ratios have very strong rank correlation, thus empirical results can't motivate the continued use of the sortino ratio.

Bakgrund: Både aktieinvesteringar samt fastighetsinvesteringar har blivit populära investeringsalternativ hos den svenska befolkningen. Låga bostadsräntor och nya förmånliga aktiesparformer har bidragit till ett gynnsamt investeringsklimat på både fastighetsmarknaden och aktiemarknaden. Trots osäkerheter relaterade till utbrottet av coronapandemin nådde båda marknader rekordhöga prisnivåer under 2020 och förväntningarna på marknaderna har varit fortsatt höga. Eftersom det saknas tidigare studier på den svenska marknaden kring vilken investering som faktiskt har varit den mest lönsamma samt hur korrelationen ser ut mellan tillgångarna är detta av intresse att studera. Syfte: Syftet med denna studie är att jämföra den riskjusterade avkastningen mellan en aktieinvestering och en bostadsrättsinvestering under olika tidsperioder samt studera korrelationen mellan dessa två tillgångar på lång sikt och under coronapandemin.  Metod: Studien har genomförts med en kvantitativ metod samt en deduktiv ansats. Månadsdata för aktieindexet OMXSPI samt prisdata för bostadsrätter på den svenska marknaden har inhämtats för tidsperioden 2011–2020. Den riskjusterade avkastningen och korrelationen har beräknats för att undersöka eventuella skillnader mellan de två tillgångsslagen. Slutligen har signifikanstester gjorts på resultatet och regressioner har genomförts för att analysera sambandet mellan volatilitet och avkastning. Slutsats: Resultatet visade inte på någon signifikant skillnad mellan de två tillgångsslagens avkastning. OMXSPI visade dock på en högre riskjusterad avkastning än bostadsrätter för alla de studerade tidsperioderna. På lång sikt var korrelationen mellan de två tillgångarna starkt positiv och det gick även att se en förstärkt korrelation under coronapandemin. / Background: Stock- and real estate investments are both investments that have become very popular in Sweden. Low mortgage interest rates and new affordable ways to invest in stock have created an investment friendly climate for both the real estate market and the stock market. Despite uncertainties related to the outbreak of the covid-pandemic, both the realestate market and the stock market reached record high levels in 2020 and the expectations on the market have been continuously high. There is a research gap on the Swedish market regarding which investment is the most profitable and how the two investments correlate witheach other, making it a relevant subject to study. Purpose: The purpose with this essay is to compare the risk-adjusted return between an investment in stock and an investment in real estate and study the long-term correlation between these two investments, and the correlation during the covid-pandemic. Methodology: The study was conducted through a quantitative method and a deductive approach. Monthly data for the stock index OMXSPI and real estate price data from the Swedish market were gathered for the time period 2011-2020. The risk-adjusted return and the correlation was calculated to study potential differences between the two investments. Finally, the results were statistically tested, and regressions were conducted to analyze the relationship between volatility and return. Conclusion: The result did not show any significant difference between the return of the two asset classes. However, OMXSPI did show a higher risk-adjusted return than the real estate index for all studied time periods. The correlation between the two asset classes was strongly positive in the long term and it was also possible to see an increased correlation during the covid-pandemic.

The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. The results show positive momentum returns in various periods and a few portfolios present a higher average return than the market. However, none of the portfolios is presenting any significant positive returns or alphas, meaning that the three hypotheses cannot be rejected. On the other hand, some portfolios have higher Sharpe ratios and Morningstar value than the market. Thus, meaning that the individual investor could prefer the momentum portfolio over the market despite the insignificant returns.

Avsikten med studien är att undersöka den magiska formelns prestation på den svenska aktiemarknaden mellan åren 2017–2021. Syftet är att undersöka om denmagiska formeln kan uppnå en högre riskjusterad avkastning än OMXS30 underundersökningsperioden. I denna studie tillämpas backtesting med hjälp av historiska data hämtat från Refinitv Eikons databas för att utforska strategins prestation under undersökningsperioden. Målet med denna studie var att undersöka om den magiska formeln kan användas av investerare med mindre erfarenhet för att uppnå en högre riskjusterad avkastning än OMXS30-index. Med hjälp av två variabler, return on capital och earnings yield fick vi fram ett resultat för att besvara studiens syfte. Under hela undersökningsperioden uppnådde den magiska formeln en genomsnittlig avkastning på 15,32% medan OMXS30 portföljen uppnådde en avkastning på 10,78%. Resultatet från denna studie visade att den magiska formeln kunde uppnå en högre avkastning än OMXS30 under undersökningsperioden men eftersom Sharpekvoten för OMXS30 var högre än den magiska formeln formas indikationer att OMXS30 presterade bättre än den magiska formeln på en genomsnittlig riskjusterad nivå under undersökningsperioden. / This study examines the performance of the magic formula by Joel Greenblatt on the Swedish stock market. A back test was performed to see if the magic formula could generate a higher risk adjusted return and outperform the OMXS30 index between the years 2017 and 2021. The study constructed portfolios for each year for the magic formula and OMXS30 with the ambition to compare the two results. The results show that the magic formula achieved a higher return at a higher risk rate so therefore, it was not able to beat the OMXS30 index on a risk adjusted level.

In Sweden, savings in funds today is one of the most popular forms of savings. Through both active and passive choices, almost all Swedes are exposed to the fund market, where mutual funds are the most popular type of funds. A clear majority of these funds are actively managed, which means that one or more fund managers actively work with the investments of the funds, with the aim to outperform the market. This method of management has been hotly debated in recent years, when many scientists claim that fund managers generally fail to outperform the market in long term. At the same time, interest in sustainability investments has increased in recent years, which is reflected in the fund market where sustainability funds have become increasingly popular. This essay therefore focuses on these sustainability funds, with focus on comparing large banks with web-based fund companies. The large banks in Sweden have been criticized for the way they are working seen from a customer perspective, but their funds are still very popular. Against this background, the study aims to investigate whether one can find any differences in performance of actively managed sustainability funds between large banks and web-based fund companies. Using four different models to measure risk-adjusted return of security portfolios, the funds have been examined to see if it is possible to find any patterns in terms of performance and the type of company that manages the funds. The survey results show that there is a clear difference in performance between the large banks and the web-based fund companies, whereby the latter succeed much better. Of the four models used, the large banks do not outperform the market under one model, while the web-based companies manage to outperform the market according to three of the models. Thus it can be stated that if you are interested in saving money in actively managed sustainability funds, it is the web-based companies to turn to. As previously mentioned, the large banks funds are very popular, which means that Swedish private investors have much money to gain by allowing web-based companies to manage their money, rather than large banks.

Syfte: Undersöka om det är möjligt att generera en överavkastning på aktier gentemot marknadsindex på OMXS Industrials enligt Net Current Asset Value strategin. Metod: Studien baseras på en kvantitativ metod för att undersöka historiska aktievärden. Datan som används i undersökningen hämtas från Thomson Reuters Datastream och de statistiska värdena bearbetas i Microsoft Office Excel Teoretiska utgångspunkter: Studien har sin förklaring med utgångspunkt från teorierna om den effektiva marknadshypotesen och CAPM modellen, samt ett avsnitt som utreder principerna om hur värderingsstrategier bör följas. Resultat: Beroende på längden av innehavsperioden visar studien att det i de samtliga fall är fullt möjligt att överträffa marknadsindex, och att den riskjusterade avkastningen i de flesta fall är högre än marknadsindex. / Objective: To examine whether it is possible to generate an excess return on stocks in relation to the market index of OMXS Industrials according to the strategy of Net Current Asset Value Method: The study is based on a quantitative method to investigate historical stock values. The data used in the study is retrieved from Thomson Reuters Datastream and the statistical values are processed in Microsoft Office Excel. Theoretical usage: The study is explained on the basis of the theory of the efficient market hypothesis and the CAPM model, and even a section that investigates principles of valuation strategies and how they should be followed. Results: Depending on the length of the holding period, the study shows that in all cases it is quite possible to outperform market indices, and risk-adjusted returns in most cases are higher than the market index.