FOND VS HEDGEFOND, ÄR DET VÄRT ATT UTSÄTTA SIG FÖR DEN SYSTEMATISKA RISKEN?

Abstract

During the first decade of the millennium there have been some financial uncertainty due to financial crises that have affected our economy. The effect on mutual funds were a dramatic decreases since they are unable to protect themselves from the systematic risk. Investors’ interests towards the hedge fund market have increased significantly since they are able to adjust their systematic risk exposure. Our main purpose with this study is to examine if higher exposure to systematic risk for hedge funds and mutual funds are more profitable. The study will also examine which investment option that had the highest yield between 2011 and 2016, and also see if there is any pattern when hedge funds or mutual funds performs better. The result of the study shows that higher systematic risk exposure doesn’t yield a higher return for both hedge funds and mutual funds, we can’t either confirm that investments in mutual funds have yielded a higher return then hedge funds. According to CAPM theory investments with higher systematic risk are expected to yield higher returns. This has not been the case during the study period where we can see that the hedge funds and mutual funds that had been most systematic risk exposed didn’t yield the highest returns. Hedge funds outperformed mutual funds during the financial crisis 2011 and have had a more even return. Mutual funds have the highest returns over the whole five year period but also been most risk exposed. Both investment options have in common that the expected return is higher in January and February compared to the other months.