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.

This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama & French three factor model and the regressions were in the end conducted with the GARCH model which showed results that both the SRI-portfolio and the Sin-portfolio had a general excess return over the market. The two portfolios were also compared with the help of Sharpe Ratio and Jensen’s Alpha. The Sharpe ratio as well as the Jensen’s Alpha showed that the Sin-portfolio had the highest risk-adjusted returns. In conclusion, the SRI-portfolio as well as the Sin-portfolio both outperformed the market during the time period 2001-2021 and they were both less volatile than the market.

In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. With a statistical focus, a trading algorithm is built which is then evaluated on data between the years 2018 to 2021. The statistical concepts this thesis is based on are stationarity and cointegration and it is the Augmented Dickey-Fuller test that forms the basis for being able to test these concepts. The risk-adjusted return for the strategy is evaluated using the popular measure Sharpe ratio, which is then compared to the Sharpe ratio for the OMXSBPI-index. The results obtained in this study can not confirm that the pairs trading strategy is better than a buy-and-hold strategy on the OMXSBPI-index in terms of risk-adjusted return. One indication, however, is that the strategy seems to perform better in conditions when the market is declining. In 2018, the index went down by 7.7060 while the strategy went up by 7.5100 percent. As it is data for only one year, it is not possible to determine whether it is due to chance or a potential edge of the strategy.

This thesis investigates and compares the performance and characteristics of defensive and cyclical sectors on the Swedish stock market during 2003-2020 and the financial crisis in2007-2008, taking monthly price developments from nine sectors. The purpose is to examine the differences in sector performances based on the estimations of systematic risk. Using the relationship between risk and return, we aim to find the most beneficial investment strategy for investors with a long-term investment horizon and provide knowledge to investors who may want to change investment schemes during stock market crises to protect their portfolios from risk. To determine the sectors' classifications, the beta coefficient from CAPM is used. Moreover, alpha and Sharpe ratios are used as performance measures with the aim to find evidence of differences in performance between the classifications. The results show that beta is inconstant over time, and sectors behave differently depending on their dependence to business conditions, demonstrated by different patterns in beta for the two different classifications when comparing the crisis to the full period. The empirical evidence indicates that a defensive investment strategy is beneficial when considering the relationship between risk and return.

In Sweden most people are keeping their savings in ordinary saving account without any interest return. In this study two investment strategies have been examined; Graham Screener and Net Nets strategy. Investigating which of these performs better on the different Swedish stock markets. The subgroups that have been investigated are Large Cap, Mid Cap and Small Cap. The focus of this study is to find out which strategy yields the highest return with risk taken into consideration. After testing the strategies over a 15-year time period the study concluded that the Graham Screener strategy is to prefer over Net Nets strategy. The results also gave a hint that the market efficiency theory could be questioned according to the calculations in this study.

This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. The purpose is to find out if the investment strategy has had a higher return than the benchmark index DJIA. The results show that the investment strategy outperforms the DJIA by 111% between the years 2000 to 2020, however, the results show no statistical significance. Beta is used as risk measurement to explain the correlation between the portfolios and the benchmark index by calculating CAPM. Standard deviation is used to calculate the Sharpe ratio and thereby assess a risk-adjusted result.

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Hållbarhet är en trend på aktie- och fondmarknaden som ökat markant under de senaste åren.Det råder fortfarande en viss osäkerhet huruvida prestationen mellan hållbara ochtraditionella fonder skiljer sig. Tidigare forskning har visat på att hållbara fonder bättre klararav perioder präglade av osäkerhet och risk.Syftet med denna kvantitativa studie är därför att jämföra prestationen för svenska hållbarafonder med svenska traditionella under olika marknadsförhållanden. Hela studieperioden ärmellan år 2017-2023 och urvalet är totalt 13 hållbara fonder och 24 traditionella fonder.Resultatet presenteras med hjälp av deskriptiv statistik och en regressionsanalys.Studien gav ett varierande resultat vid olika perioder. Den första perioden visade inte någonstörre skillnad mellan fonderna, medan det under de två senare perioderna påvisades atthållbara fonder presterat bättre än traditionella. Sammanfattningsvis indikerar studien attunder perioder av osäkerhet och risk tenderar hållbara fonder att prestera bättre äntraditionella. Studien identifierar en positiv men inte särskilt stark korrelation mellanhållbarhetsbetyg och riskjusterad avkastning för fonderna. Detta antyder att fondernasprestation inte helt kan förklaras av deras hållbarhetsmått och vidare studier krävs för attförstå de bakomliggande faktorerna som kan påverka fonders prestation. / Sustainability has become a growing trend on the stock- and fund market throughout therecent years, although there is still some uncertainty on how the performance differs betweensustainable funds/stocks and more traditional funds/stocks. Previous research have shownthat sustainable funds show greater accomplishment in coping with periods of uncertainty andrisk.The purpose of this qualitative study is thereby to compare the performance of Swedishsustainable funds, with the performance of Swedish traditional funds. The study’s periodspans between the years 2017 and 2023. The selection contains a total of 13 sustainable fundsand 24 traditional funds. The result is presented with the help of descriptive statistics andregression analysis.The result of this study produced varying results across different periods, with the initialperiod showing no significant difference while the latter two periods indicated betterperformance by sustainable funds. Shortly summed up, the study shows that in periods ofuncertainty and risk, the sustainable funds appear to perform better than the traditional funds.The study identifies a positive, but not a particularly strong correlation between sustainabilityrating and risk-adjusted return for the funds. This means that the performance cannot alone beexplained by their sustainability rating, and more studies need to be done to understand theunderlying factors that may have an impact on fund performance.

This study examines the hedging effectiveness of the Silver Bullet Fund created by AuAg Funds. The Silver Bullet Fund will be examined alongside a financial proxy and an industry proxy, to assess whether to hedge or not during turbulent times.     The study examines the hedging performance of the Silver Bullet fund by utilizing a static model to capture the behavior of a crisis at a specific point in time, alongside a dynamic model to capture the behavior of crises over time. Further research suggests that several other econometric models can be used for analysis with the same purpose. However, the evidence in this study suggests that a hedged portfolio outperforms an unhedged portfolio during crisis for the S&P500 Index, while for the STOXX 600 Europe Automobiles & Parts Index should not be hedged during the crisis under the static assumption. Moreover, there are also occasions where the standardized returns for the three variables lies outside of the confidence intervals. The study also finds that under the dynamic model, the financial proxy Hedge Ratios during all three crises, compared to the industry proxy, sees the highest value of the Hedge Ratios, however, presenting low hedging effectiveness.

Purpose: The purpose of the study is to in a comparative and causal way explore whether there is a relationship between risk and return and also how it is perceived on the Nordic financial markets. Theory: The theoretical frame of reference applied in the thesis is considered relevant inthe perspective of the study’s purpose and research questions. We have among other theories used The Capital Asset Pricing Model, The Efficient Market Hypothesis and various Behavioural finance theories. Method: The study has its starting point in a quantitative approach with a quantitative data analysis supported by secondary data extracted from Thomson Reuters. Empirics: The empirics contains regression analyses made from calculated secondary data of 240 randomly chosen companies from Nasdaq OMX Stockholm, NasdaqOMX Copenhagen, Nasdaq OMX Helsinki and Oslo Bors. Conclusion: The study conclusions show that there are both a negative and positive relationship between volatility and actual return on the investigated markets. Considering this prior statement we can conclude that the Capital Asset Pricing Model can’t correctly describe the actual relationship between the parameters investigated on the current sample. The Capital Asset Pricing Model’s unclear compatibility regarding the relationship makes it impossible to make conclusions about the Efficient Market Hypothesis on any other ground than the observed abnormal return. / Syfte: Syftet med arbetet är att på ett komparativt och kausalt sätt ta reda på om ett samband mellan risk och avkastning existerar samt hur det i sådana fall urskiljs på de nordiska marknaderna. Teorier: Den teoretiska referensramen som appliceras i uppsatsen finner vi vara relevantför studiens syfte och frågeställningar. Vi har bland annat använt oss av teorier som Capital Asset Pricing Model, den Effektiva marknadshypotesen samt olika Behavioural finance teorier. Metod: Studien har sin utgångspunkt i en kvantitativ ansats med en kvantitativ dataanalys stödd av sekundärdata från Thomson Reuters. Empiri: Empirin innefattar regressionsanalyser med kalkylerad sekundärdata från 240 slumpmässigt valda bolag från Nasdaq OMX Stockholm, Nasdaq OMX Köpenhamn, Nasdaq OMX Helsingfors samt Oslo Börs. Slutsatser: Studiens slutsatser visar på både ett negativt och positivt samband mellan volatilitet och faktisk avkastning på de undersökta marknaderna. Med detta som grund dras slutsatsen att Capital Asset Pricing Model inte förmår korrekt beskriva det samband som råder på urvalet. Capital Asset Pricing Model:s otydliga kompatibilitet gör det omöjligt att dra slutsatser kring den Effektiva marknadshypotesens giltighet på andra grunder än observerade tillgångars överavkastning.