Sparčiai kintant finansinių institucijų veiklos sąlygoms, didėjant finansinių rinkų nepastovumui bei veiklos mastams, atsirandant vis naujoms finansinėms priemonėms, o kartu su jomis ir naujoms finansinių institucijų rizikos rūšims, ypač išaugo prekybinio portfelio rizikos valdymo poreikis. Tą įrodo ir tai, kad po eilės solidžių ir pakankamai konservatyvių finansinių institucijų, tokių kaip Baring, Daiwa, Sumitomo, Metallgesellschaft, Orange County, Long Term Capital Management, bankrotų ar milžiniškų nuostolių patyrimo praeito amžiaus paskutiniame dešimtmetyje didžiosios pasaulio finansinės institucijos bei šalių centriniai bankai ėmė iš esmės griežtinti rinkos rizikos valdymo procedūras. Kaip parodė vėlesnė minėtų kompanijų istorijos analiz�����, pagrindinė jų nuostolių ar bankrotų priežastis buvo nesugebėjimas tinkamai valdyti prekybinį portfelį įtakojančios rinkos rizikos. Prekybinio portfelio rizikos valdymas tampa vis aktualesnis ir Lietuvos finansinėms institucijoms, ypač investicinių bei pensijų fondų valdytojams, investuojantiems į užsienio vertybinius popierius, denominuotus kitomis valiutomis nei litas ar euras. / The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are the following: (i)the comparative study on Value at Risk estimation methods allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of Value at Risk estimation methods were suggested as well; (ii)the comparative study on performance of volatility forecasting models allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends on characteristics of the data under investigation and selected criteria for assessment of forecasting accuracy; in the context of risk management, the priority was given to operational rather than statistical accuracy assessment techniques in the context of risk management; (iii)the comparative study on risk adjustment measures allowed making important theoretic conclusion that selection of risk adjustment measures depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of risk adjustment measures were suggested as well.

The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are the following: (i)the comparative study on Value at Risk estimation methods allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of Value at Risk estimation methods were suggested as well; (ii) the comparative study on performance of volatility forecasting models allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends on characteristics of the data under investigation and selected criteria for assessment of forecasting accuracy; in the context of risk management, the priority was given to operational rather than statistical accuracy assessment techniques in the context of risk management; (iii)the comparative study on risk adjustment measures allowed making important theoretic conclusion that selection of risk adjustment measures depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of risk adjustment measures were suggested as well. / Sparčiai kintant finansinių institucijų veiklos sąlygoms, didėjant finansinių rinkų nepastovumui bei apimčiai, atsirandant vis naujoms finansinėms priemonėms, o kartu su jomis ir naujoms finansinių institucijų rizikos rūšims, ypač išaugo prekybinio portfelio rizikos valdymo poreikis. Prekybinio portfelio rizikos valdymas tampa vis aktualesnis ir Lietuvos finansinėms institucijoms, ypač investicinių bei pensijų fondų valdytojams, investuojantiems į užsienio vertybinius popierius, denominuotus kitomis valiutomis nei litai ar eurai. Prekybinio portfelio rizikos valdymas yra labai aktuali tema ir atskirų šalių centriniams bankams bei tarptautinėms finansų sistemos priežiūros institucijoms.

Fund investments are very popular in Sweden. However, we have the impression that despite this popularity, the average fund investor in Sweden does not pay much attention to the importance and possible link of fund’s asset composition features (e.g. Asset class, Holdings, and Geo-exposure) to fund’s performance. Instead, S/he relies on factors such as fees, risk levels, historical performance, etc. in her/his investment decisions. Similarly, academic studies mainly focus on attributes such as funds fees, size, and manager’s skill to explain fund’s performance. Thus there are limited premier academic studies on the relationship between fund’s performance and its asset composition features. The main purpose of this study is to investigate possible causal relationship between the performances of funds with their assets composition features. We study the whole population of 346 Swedish listed mutual funds older than five years for the period 2009-2013. The results of the study provides the investors and analysts with additional decision-making and investment-analysis tools to assist them in making more informed judgment on funds and their expected returns. The results are also useful for fund managers to improve their strategies by refining the combinations of their funds’ asset composition attributes in order to improve the absolute risk-adjusted performance of their funds. Our research philosophy has been based on positivism and objectivism along with functionalist paradigm and we have applied deductive approach to test the theories. We have used quantitative method and collected the funds’ data from public business databases and chosen Jensen’s alpha and Treynor ratio as funds’ risk-adjusted performance measures. We performed Correlation tests and Regression with robust techniques on our data to answer the research question from three aspects, namely asset class (equity, bond, and mixed assets); geo-exposures (Sweden, Global, Europe, and Nordic) and Top-ten holdings’ measures (asset concentration and Treynor of each fund’s passive top-ten sub-portfolio). We conclude that correlations between funds’ risk-adjusted performance and assets composition features are likely to exist. Stronger correlations are observed between the explanatory measures and fund’s relative risk-adjusted performance (fund’s Treynor) as compared to fund’s absolute risk adjusted performance (fund’s Jensen’s alpha). Asset concentration in top-ten holdings and bond asset class are more likely to be in casual relationship with fund’s risk-adjusted performance, whereas Treynor ratio of top-ten holdings’ passive sub-portfolio as well as fund’s geo-exposure do not seem to have strong explanatory power for funds’ absolute performance.

我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 / We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.

隨著金融市場的整合、金融控股公司的成立，保險公司、銀行與證券機構等的經營不再只是各自為政，其經營變化皆會影響到整體的經營成敗。子公司的經營應不再只是注重經營績效，還應納入各項經營風險的考量，在報酬與風險之間取得一個平衡點。 本研究主要是透過風險調整資本報酬(RAROC)，來測量在金控旗下產物保險公司經營績效之優劣。本文利用民國73年至93年的產物保險年鑑的財報資料，以RAROC及傳統財務比率，比較富邦公司與本國老公司經營績效之差異。 本文之實證研究結果發現如下： 1. 在傳統財務比率之下，富邦產物保險公司的經營能力與本國老公司大致相同，但獲利能力明顯優於本國老公司。 2. 在風險調整資本報酬比率下，營運部分之績效比較結果為： (1) 在全部業務之下，富邦產物保險公司與本國老公司大致相同。 (2) 在扣除分保業務之後，富邦產物明顯優於本國老公司 3. 在風險調整資本報酬比率下，富邦產物之投資方面的經營績效明顯優於本國老公司。 / After the renovation of financial market and the establishment of financial holding company in Taiwan, insurance companies, banks and security institutes will not operate independently, and their efficiency on operation will affect themselves. Subsidiary companies not only focus on efficiency on operation, but also measure variation of risk on operation to achieve a balance between risk and return. This study applies the concept of Risk-Adjusted Return on Capital (RAROC) to measure efficiency on operation of non-life insurance company in financial holding company. The empirical analysis is conducted based on the financial data of non-life insurance companies in Taiwan during the period of 1984-2003. The empirical results are summarized as follow. 1. Base on traditional financial ratios, the underwriting efficiency of Fubon is the same as the other companies, but in the part of investment, Fubon is more efficient than other companies. 2. Based on Risk-Adjusted Return on Capital for measuring underwriting efficiency: (1) Fubon and old local companies are the same efficient for total business. (2) Fubon is significantly more efficient than other companies for the retained business. 3. Based on Risk-Adjusted Return on Capital for measuring investment efficiency, Fubon is better than other companies.

Intresset för fondsparformen har ökat de senaste åren och med tanke på att åtta av tio svenskar sparar i fonder är det viktigt att undersöka vad det är som påverkar hur en fond presterar utifrån vem som förvaltar fonden.    Syftet med studien är att bidra med ökad kunskap kring vad det är som påverkar en fondförvaltares prestationer. Studien avser först att undersöka den enskilda fondförvaltarens prestation i form av riskjusterad avkastning utifrån de demografiska aspekterna. Därefter undersöks om grupper presterar bättre eller sämre riskjusterad avkastning än enskild individer och slutligen undersökes om gruppers diversitet, utifrån de demografiska aspekterna, påverkar fondens prestation också mätt i riskjusterad avkastning.   Studien utgår från ett positivistiskt synsätt och en forskningsstrategi med en deduktiv ansats. Metodvalet karaktäriseras av ett kvantitativt tillvägagångssätt där empirin grundar sig på icke-indexfonder i Morningstars kategorisering Sverigefonder.   Studiens övergripande slutsatser är att de olika demografiska aspekterna har olika påverkan på den riskjusterade avkastningen. Grupper presterar generellt sämre än enskilda individer och ju mer diversifierad gruppen är desto sämre blir också resultatet. / The interest of saving in funds has risen in recent years. Since eight of ten Swedes have got savings in funds it’s important to investigate what affects the funds’ performance, based on who manages the fund.   The purpose of the study is to contribute with increased knowledge about what affects the performance of fund managers. The focus of the study is firstly on different demographic aspects and how they affect the risk-adjusted returns. Secondly the study examines whether group performances are superior to individuals. Lastly the study also examines whether more diverse groups perform better than less diverse groups.   The study is based on a positivistic approach and a research strategy with a deductive approach. The method selection is characterized by a quantitative approach where data is based on non-index funds in the Morningstar categorization of Sverigefonder.   The overall conclusions of the study is that different demographical aspects have different effects on the risk-adjusted returns. Groups generally perform worse than individuals and the study also concludes that the more diversified the group gets, the worse the results will be.

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.

Syftet med studien är att undersöka och jämföra hur svenska hållbara aktiefonder och svenska traditionella aktiefonder har presterat inom premiepensionssystemet under perioden 2015-2019. Detta görs eftersom att intresset för hållbara investeringar har ökat markant både hos privatpersoner och företag de senaste åren. Premiepensionssystemet väljs eftersom att varje privatperson som arbetar och betalar skatt i Sverige får en del av sin inkomst placerad i detta system, och sedan 2018/2019 läggs det otroligt mycket fokus på ökad transparens och medvetenhet hos Pensionsmyndigheten på fondplaceringar och att de kan erbjuda hållbara investeringar eftersom efterfrågan ökar. Författaren kan heller inte identifiera någon liknande studie som gjorts angående premiepension efter det att fondtorget gjorts om. Studien innehåller ett urval på totalt 5 hållbara fonder och 24 traditionella fonder. Studien har inriktat sig på den svenska marknaden, det vill säga fonder som placerar i svenska företag och som återfinns på den svenska marknaden samt uteslutande aktiefonder. Historisk data har insamlats från Pensionsmyndigheten och Morningstar för att sedan ligga till grund för beräkningar med hjälp av olika ekonomiska modeller och prestationsmått som Sharpekvot, Jensen’s alfa och Treynors kvot. Dessa mått mäter den riskjusterade avkastningen. Författaren väljer också att titta på faktisk avkastning, nettoavkastning för att se vad som presterat bäst för en privatperson som investerare. Därutöver görs statistiska beräkningar av statistiska mått i form av t-test för att beräkna p-värde och således kunna se om det finns någon statistisk signifikans för att antingen kunna acceptera eller förkasta en formulerad nollhypotes. Studiens resultat visar ingen större skillnad i prestation mellan hållbara och traditionella fonder, om än en marginell fördel för de traditionella i faktisk nettoavkastning. Studien erhåller heller ingen statistisk signifikans på 5-procentsnivån vilket indikerar på att vi inte kan förkasta nollhypotesen. / The purpose of the study is to investigate and compare how Swedish sustainable equity funds and Swedish traditional equity funds have performed within the premium pension system during the period 2015-2019. This is because the interest in sustainable investments has increased markedly among both individuals and companies in recent years. The premium pension system is chosen because every private person who works and pays tax in Sweden gets part of their income placed in this system, and since 2018/2019 there is an incredible amount of focus on increased transparency and awareness at the Swedish Pensions Agency on fund investments and that they can offer sustainable investments as demand increases. The author can also not identify any similar study that has been done regarding premium pensions after the fund market has been redesigned. The study contains a selection of a total of 5 sustainable funds and 24 traditional funds. The study has focused on the Swedish market, i.e. funds that invest in Swedish companies and that are found on the Swedish market, as well as exclusively equity funds. Historical data has been collected from the Swedish Pensions Agency and Morningstar to then form the basis for calculations using various economic models and performance measures such as Sharpe quota, Jensen's alpha and Treynor's quota and these measures measure the risk-adjusted return. The author also chooses to look at actual returns, net returns to see what has performed best for an individual as an investor. In addition, statistical calculations are made of statistical measures in the form of a t-test to calculate the p-value and thus be able to see if there is any statistical significance for either being able to accept or reject a formulated null hypothesis. The results of the t-statistics show that there is not significant differences in performance between sustainable and traditional funds, although a marginal advantage over the traditional ones in actual net returns. The study also receives no statistical significance at the 5% level, which indicates that we cannot reject the null hypothesis.

This thesis aims to investigate fund managers salaries in relation to their contributions. The study is conducted on the Swedish fund market under a period over five years, 2014-2018, and include 332 funds. The result observed shows a positive relation between salaries and risk-adjusted performance. The result proves that fund managers are able to outperform the market on average, which should not be possible to do systematically over time according to the efficient market hypothesis. It also turns out that salary has a positive relationship with assets under management. This indicates that fund managers are employed and compensated for more reasons than to generate a high return, namely to contribute to more significant inflows of cash to the fund company. Interpretations of fund managers’ salaries are primarily linked to agency theory and economics of superstars. The agency problem alter in the fund industry since the setting is two-folded. Agency problem could be mitigated by implementing a performance-based compensation structure, to aligning investors, management and fund managers’ ambitions. The result shows signs that a performance-based salary is present in the fund industry. A fund managers’ salary assumes to be based on his/her skillfulness, but could also be due to an individual’s stardom. To conclude, the thesis state that fund managers’ deserve their salary, which in relative terms are fairly high, since they procure additional benefits to the fund company.

This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.