Det pågår diskussioner huruvida aktivt förvaltade fonder lyckas generera en bättre avkastning än marknaden. Ett argument för att investera i en aktivt förvaltad fond är att fondförvaltaren aktivt handlar värdepapper i syfte att uppnå hög avkastning. De här fonderna har ofta en högre avgift vilket används som motargument för att investera i den typen av fonder. Kritiker anser att en indexfond ger investerare en högre nytta eftersom de har lägre avgifter och att aktiv handel inte leder till större avkastning.  Många studier har gjorts på ämnet och den allmänna uppfattningen är att aktivt förvaltade fonder kan ge bättre avkastning än index över tid. Få studier kan dock bekräfta att det är fondförvaltarens bedrift. Fondprestation mäts enligt prestationsmåtten, Jensens Alfa, Sharpekvot och Treynorkvot. Slutsatsen liknar majoriteten av studier. Det är svårt att bekräfta hypotesen att det är fondförvaltarens skicklighet som ligger till grund till en bra fondprestation. Troligtvis beror större delen av en fonds prestation på makroekonomiska faktorer och börspsykologi. / Discussions are ongoing as to whether actively managed funds succeed in generating a better return than the market. One argument for investing in an actively managed fund is that the fund manager actively trades securities in order to achieve a high return. These funds often have a higher fee, which is used as a counter-argument to invest in this type of fund. Critics believe that an index fund provides investors with a higher benefit because they have lower fees and that active trading does not lead to greater returns.  Many studies have been done on the subject and the general perception is that actively managed funds can provide better returns than indices over time. Few studies can, however, confirm that this is the fund manager's achievement. Fund performance is measured according to performance measures such as Jensen's Alpha, Sharpe ratio and Treynor ratio. The conclusion of the study is similar to the majority of studies. It is difficult to confirm the hypothesis that it is the fund manager's skill that is the basis for a good fund performance. Most of a fund's performance probably depends on macroeconomic factors and stock market psychology.

Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.

<p>Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? </p><p>Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. </p><p>Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.</p>