Relationen mellan fonders storlek och avkastning samt riskjusterade avkastning har länge varit ett debatterad områden inom dels den akademiska världen inom finans, men även inom finansbranschen i sig. För att mäta avkastning och riskjusterad avkastning så har finans – och fondbranschen utvecklat olika mått där det vanligaste måttet för avkastning är avkastningen efter förvaltningsavgifter (Nettoavkastning) och för riskjusterad avkastning har Sharpekvoten blivit standard (Avkastning justerat för volatilitet). Genom den ökade volatiliteten på finansiella marknader på senare år har intresset för aktiemarknaden och fondsparande ökat i Sverige där vikten av att välja rätt fonder har ökat genom att den ökade volatiliten ökar risken för att göra dåliga beslut.Denna studentuppsats ämnar att undersöka sambandet mellan aktivt förvaltade svenska aktiefonders fonders storlek och avkastning (Nettoavkastning) samt riskjusteradeavkastning (Sharpekvot) för att se om den konventionella teorin inom akademin och tidigare studiers resultat, om att fondstorlek har ett negativt samband med avkastning och riskjusterad avkastning, stämmer. Fonderna som undersöktes är som ovan nämnts aktivt förvaltade svenska aktiefonder, där det finns data på varje variabel som studien använder sig av. Tidsperioden som studeras är mars 2019 – mars 2024.För att studera sambandet mellan fonders storlek och avkastning samt riskjusterad avkastning så tar studien till en början sin utgångspunkt i tidigare studier inom ämnet. Genom observation av dessa studier tas de första regressionsmodellerna och hypotesernafram som testas genom regressionsanalyser. Studien har sedan efter de första regressionmodellerna kommit fram till slutgiltiga regressionsmodeller, där resultaten visar på ett signifikant svagt positivt samband mellan fonders storlek och avkastning samt riskjusterade avkastning.De redovisade resultaten har efter att analysen av regressionsmodellerna genomförts,analyserats från ett teoretiskt perspektiv jämfört med tidigare studier inom ämnet.Effektiva marknadshypotesen, småbolagseffekten och stordriftsfördelar har använts som bas för att analysera studiens resultat. För att även ge kunna utnyttja resultaten från studien utanför den akademiska världen, diskuterades de praktiska implikationerna av denna studie.

Morningstar is an independent provider of investment research and provide information on approximately 380 000 investment offerings about mutual funds. Morningstar are most known for their “star” rating system, which rates funds from the lowest 1-star to the highest 5-stars. Since investors frequently use fund data provided by Morningstar, we will evaluate whether investing in funds with higher fees and higher ratings would end up with higher returns. Examinations will be made if there is a relationship between mutual fund performance and the management fees within top-rated (5-star) funds and bottom-rated (1-&2-star). The mutual funds which are included in this thesis are United Kingdom (UK) managed and invested in three different markets; Asia-Pacific except-Japan, Europe except UK-Large Cap, and the United States (US) Market. This allows us to compare different markets at different stages of maturity. The results clearly show that the top-rated funds within all three markets outperformed the bottom-rated funds. Furthermore, the results demonstrate that the investor in general will earn a higher return by paying a higher management fee (TER) for the top-rated funds in all regions. The results also show that the TER for the bottom-rated funds in Europe and US market is higher compared to the top-rated funds. This means that the investor will pay higher fees for funds that do not perform well.

The mutual fund industry in Sweden has grown rapidly over the past years. Research has been made on the topic for over 50 years, however there are still uncertainties about the determinants of fund performance. The purpose of this study was to examine what determines the risk-adjusted performance of mutual equity funds available to Swedish investors.  A side-purpose was included to examine to what extent the Efficient Market Hypothesis holds in Sweden. A simple random sample was conducted where 500 equity funds were included. From Refinitiv/Thomson Reuters Eikon Datastream fund characteristics were downloaded. To find the abnormal return of mutual equity funds, a hybrid Fama-French Carhart factor model was used which includes both domestic Swedish factors and global factors. The model was used to calculate the yearly risk-adjusted performance for each fund using 12 months return. This was denominated Alpha which was used as the dependent variable in the regression models. Further, to determine the characteristics which affect risk-adjusted performance two multiple regression models with six independent variables and three control variables are constructed. Further, a one sample t-test was conducted to test the market efficiency for mutual funds available to Swedish investors. Eight statistical hypotheses were created and tested in which two found a significant result which were that alpha differs from zero and Total Expense Ratio determines the risk-adjusted performance.   To conclude, findings showed only the character Total Expense Ratio determines risk-adjusted performance of mutual equity funds available to Swedish investors. In conclusion the control variables year, geographical focus and currency affect the fund performance. The study is an interesting aspect for Swedish investors and fund managers since the study implies deeper knowledge about the mutual fund industry in Sweden and therefore should be concerned by the variable TER to earn abnormal returns. Further, the study contributes with a theoretical discussion in line with the results concerning Efficient Market Hypothesis, the Diversification Effect and Modern Portfolio Theory. Conclusions are drawn based on our result that the Efficient Market Hypothesis does hold in the Swedish fund market. Although only one character determines the risk-adjusted performance and average investor should choose funds that follow the market, based on the skill level of average investors.

Bakgrund: En stor andel av de svenska invånarna sparar idag i fonder. De senaste åren har utbudet av fonder ökat allt mer, dels genom antalet fondbolag samt spridningen över olika marknader. Fonder allokerade mot tillväxtmarknader, Emerging Markets samt Frontier Markets, är en av de fondtyper som fått större uppmärksamhet på sistone. På grund av lägre grad av transparens från dessa marknader har investerare inte tillgång till lika mycket finansiell information från tillväxtmarknader, de ses även som mindre effektiva jämfört med de mer utvecklade marknaderna. Tillväxtmarknadsfonder tenderar även att ta ut höga avgifter för förvaltningen. Det för oss vidare till att analysera hur förvaltare av tillväxtmarknadsfonder lyckas med sina investeringar sett till den årliga avgift de tar ut för sin förvaltning. Syfte: Syftet med denna uppsats är att studera hur sambandet ser ut mellan fonders årliga avgifter och den riskjusterade avkastningen hos fonder med full allokering mot tillväxtmarknader kategoriserade inom Emerging Markets samt Frontier Markets. Metod: Genom studien har en deduktiv ansats och en kvantitativ metod tillämpats för att undersöka samband mellan flertalet variabler mot den beroende variabeln, Total Expense Ratio. Vi har hämtat in månadsdata från ett urval av 50 fonder via Thomson Reuters som vi sedan analyserat genom nyckeltal samt regressioner. Slutsats: Studiens resultat tyder på att det finns ett negativt samband mellan fondernas riskjusterade avkastning och dess årliga avgift. Vi ser att fonderna med högre avgift tenderar att resultera i en lägre riskjusterad avkastning. / Background: Today most of the swedes saves in mutual funds. The past few years we have seen an increase in the supply of mutual funds. Funds allocated to Emerging Markets and Frontier Markets has gotten more attention as well. These markets have a lower grade of transparency and has a lack of financial information compared to more developed markets. Studies has shown that they are also less efficient than the developed. Mutual funds in Emerging Markets tends to charge higher fees for their management. These factors make it interesting to analyze how the trustees of the mutual funds succeed in their investments related to the Total Expense Ratio that they charge. Purpose: The purpose of this study is to analyze the relationship between mutual funds’ Total Expense Ratio and their risk adjusted return for funds allocated to Emerging Markets and Frontier Markets. Methodology: The authors have used a deductive approach and a quantitative methodology to fulfill the aim of this study. We have gathered data by observing 50 mutual funds and retrieved the data from Thomson Reuters. We have then analyzed the data by calculating key ratios and by regression analysis. Conclusion: The results of this study show that there is a negative relationship between mutual funds’ total expense ratio and their risk adjusted return. We note that mutual funds with higher expense ratios tends to result in lower risk adjusted return.

This thesis investigates the relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds registered in Sweden and the United States. The increasing amount of mutual funds and the shift towards sustainability in the society gives cause to study the relationship between the total expense ratio and the performance of sustainable mutual funds rather than conventional mutual funds. The analysis was conducted by testing the relationships through different regression models for both the Swedish and the U.S. market. A simple regression model was conducted for both markets to study the relation that the total expense ratio has to the 5-year performance to last month. To further analyse the relation between the two variables, a multiple regression model was conducted for both markets to further analyse the significant relationship between the total expense ratio and the 5-year performance to last month. The data was collected via Eikon and included mutual funds registered in Sweden and the U.S., each mutual fund collected was retrieved together with an ESG score which was the definitive factor whether the mutual fund could be considered as sustainable or not. The results gathered from the simple regression model for the Swedish market was found to have no significant relationship and the explanatory degree for the regression model was very low. The results regarding the simple regression model for the U.S. market are however found to be significant but with a low degree of explanation as well. Hence the result from this study indicates that there is no significant relationship between the total expense ratio and the 5-year performance to last month for the Swedish market when conducting a simple regression model, while the U.S. market has a low significant relationship between the variables. However, a multiple regression model for the Swedish market containing additional control variables presents a significant relationship between the total expense ratio and the 5-year performance to last month. The same results were found for the U.S. market when conducting a multiple regression model. The results for the Swedish simple regression model align with previous studies conducted within this area, where previous studies have found there to be no significant relationship between the total expense ratio and the performance of mutual funds, hence same results are applicable to sustainable mutual funds. However, this study did in fact also display significant relationships for the multiple regression model for the Swedish market as well as for both regression models for the U.S. market. Which indicates that the total expense ratio to some extents have an explanatory relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds in both the Swedish market and the U.S. market.