Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8.4 million people. Consequently, in 2022, the aggregated amount of household wealth invested into fund shares and stocks was a staggering 3.1 trillion Swedish crowns. With such a huge interest in the stock market it is important to understand how risk-adjusted returns should be evaluated. Traditionally there has been a choice between active and passive investment strategies, depending on how the investor views the market's pricing of securities. This study investigates, using the Carhart four-factor model, how asset pricing varies over time depending on different levels of market volatility. The theories that have been used for this study are mainly the efficient market hypothesis and the adaptive market hypothesis. With these as a starting point, various asset pricing models have been tested (Carhart four-factor model & CAPM) and examined with statistical tests to produce reliable results. The results of this study can be used to draw conclusions that both theoretically and practically contribute to the expanding body of knowledge regarding factor models and Smart Beta investment strategies, specifically in the Swedish stock market. The study suggests that the Carhart four-factor is a reliable method to determine risk-adjusted returns in the Swedish stock market, mainly when it’s used during normal market conditions. It also appears that, based on the study’s observation of alpha, the dynamics of asset pricing in the Swedish stock market are more in line with the adaptive market theory rather than the efficient market theory. This insight can be used as an argument for how the Swedish stock market can be assumed to behave. In turn, this can give investors more understanding for which risk factors are considered significant during different times of market volatility, and how their risk premiums should be discounted when valuing securities. By emphasizing the importance of various risks being priced in different ways during different times of market volatility it is possible to manage the risk exposure of security portfolios in a more accurate and desirable way. Finally, it can be stated that the results are both on par with previous research that advocates and opposes factor models. The study found the effectiveness of the Carhart four-factor model in explaining the risk-adjusted returns to vary over time and that it cannot be assumed with statistical certainty to improve upon the CAPM in all market climates.