In recent decades, many investors have abandoned hopes of achieving above market returns through active management, and consigned themselves to passive investing in the form of market capitalization based portfolios. Using Swedish stock exchange data from 2002-2016, this thesis investigates if there is a way to harmonize the strengths of active management, yielding potential above market returns, and passive index investing, implying lower fees and transparency. Based on observations from 275 companies, analysed through market model regressions, the results suggest that fundamentally invested value and quality portfolios create an alpha of 1-2 percent quarterly relative the market capitalization benchmark portfolio. Moreover, the results constitute basis for performing real investments, as they take into consideration the transaction costs implied by portfolio turnover. Furthermore, the findings of greater risk-adjusted returns through fundamentally weighted portfolios stand in opposition to the efficient market hypothesis.

Magister Commercii - MCom / The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of fundamental indices could be explained by size and value risk factors. The examination period is 1st January 2000 to 31st December 2009. The JSE ALSI constituent’s fundamental attributes; book values, dividends, earnings and sales together with their market values are extracted from DataStream International. Indices are subsequently constructed according to share’s market values and the four aforementioned fundamental attributes as well as a composite metric. The composite metric is a combination of all four fundamental attributes. Fundamental indices are found to be more mean-variance efficient than cap-weighted indices, whilst displaying moderate value bias and minor size bias. Fundamental indices exhibit lower risk-adjusted returns when rebalanced less frequently, except for sales-weighted indices which justly capture undervalued shares that mean revert throughout the year. Fundamental indexation is therefore, adjudged to be superior to cap-weighted methods and only relatively affected by value effect

Den ständigt pågående debatten om aktiv respektive passiv förvaltning av fonder tycks aldrig upphöra. Det finns för- och nackdelar inom respektive kategori och vetenskapliga teorier kan argumentera för båda sätten. Men den senaste tiden har ett nytt förvaltningssätt introducerats, smart beta. Smart beta kan klassificeras som en hybrid mellan passiv och aktiv förvaltning. Tidigare studier inom området har uppvisat goda resultat för smart beta, dock i andra geografiska områden och med stora globala index. I denna studie introduceras en ny typ av smart beta strategi som har skapats efter ett lönsamhetsmått. Syftet med studien är att undersöka hur smart beta presterar på den svenska marknaden, med utgångspunkt i OMXS30. Studien har en positivistisk forskningsfilosofi tillsammans med en deduktiv ansats och en kvantitativ metod. Resultatet av studien visar att samtliga smart beta strategier genererar en högre avkastning än OMXS30. Tre effektivitetsmått har använts för att beräkna den riskjusterade avkastningen och även där påvisar samtliga smart beta strategier ett högre värde. Resultatet ligger i linje med tidigare studier inom området. Den strategi som genererade högst avkastning och högst riskjusterad avkastning var studiens nya smart beta strategi. Denna studie bidrar med att introducera en ny strategi, samt att undersöka effekten på den svenska börsen. Studien kan vara av värde för såväl etablerade aktörer inom finansbranschen, som för enskilda personer. För vidare forskning inom området bör tidsperioden utökas och fler strategier testas, framförallt med lönsamhetsmått. / The ongoing debate on active and passive fund management never seems to end. There are some pros and cons in each category and scientific theories can argue for both ways. But recently, a new strategy has been introduced, smart beta. Smart beta can be classified as a hybrid between a passive and active strategy. Previous studies have shown good results for smart beta, but in other geographic areas and with larger indexes. In this study, a new type of profitability smart beta is introduced.   The purpose of the study is to examine how smart beta performs on the Swedish market, with starting point in OMXS30. The study has a positivist research philosophy along with a deductive approach and a quantitative method.   The result of the study shows that all smart beta strategies generate a higher return than OMXS30. Three efficiency measures have been used to calculate the risk-adjusted return, and here too, all smart beta strategies demonstrate a higher value. The result is in line with previous studies in the field. The strategy that generated the highest risk-adjusted return was the study's new strategy.   The contribution of this study is to introduce a new strategy, as well as examine the effect of the previous strategies on the Swedish market. The study can be of value to both established actors in the finance industry, but also for individuals. For further research in the area, the time period should be extended and more strategies tested, especially with measures of profitability.

本研究以985筆台灣科技業公司為樣本，並且使用企業投資指標作為指數加權基礎，探討以有形和無形資產投資規模進行基本面指數化的績效表現與可行性。我們發現即使在考慮了價值風險和規模風險之後，以研究發展費用相關指標建構的基本面指數仍可以產生超額報酬。此外，研究結果顯示部分的基本面指數具有市場擇時能力，能避免投資組合績效受到價格不效率的影響。在對樣本進行流動性的篩選以及考慮投資組合的交易成本之後，我們仍得到一樣的結果。 / We employ 985 companies in technology industry in Taiwan to examine the performance and feasibility of the fundamental indices constructed by corporate investment metrics (including both tangible and intangible investment). We find that the fundamental indices constructed by R&D expenditure-related metrics generate significant Fama-French alpha. Besides, evidence shows that parts of the fundamental indices have market timing ability to prevent performance dragged by price inefficiency. We draw a same conclusion after weeding out the companies with low liquidity and adjusting for transaction costs.