Recently, the debate on passive versus active fund management has been a major focus on the Swedish capital market. Passive management is gaining more and more market shares. However, theories and previous research show that Smart Beta strategies outperform their passive benchmark index. The Smart Beta strategy is described as a hybrid between active and passive fund management, where it takes advantage of the low management cost of passive fund management and active fund management’s ability to select. This study presents three new Smart Beta strategies based on the key ratios ROA, profit margin and gross margin. The purpose of the study is to investigate whether any of the three Smart Beta portfolios can perform better than the Swedish market based on OMXS30 from a risk-adjusted perspective. Previous studies have shown that Smart Beta portfolios outperform their benchmark index. However, this study's contributing key figures show no excess return for the investigated period on the Swedish stock market.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hkr-21194 |
| Date | January 2020 |
| Creators | Gunnarsson, Simon, Haskå, Filip |
| Publisher | Högskolan Kristianstad, Fakulteten för ekonomi, Högskolan Kristianstad, Fakulteten för ekonomi |
| Source Sets | DiVA Archive at Upsalla University |
| Language | Swedish |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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