Första-Fjärde AP-fonden: Riskjusterad avkastning och risk 2001-2017

Abstract

The purpose of this study is to investigate whether the four Swedish public pension funds AP1-4 contribute to the stability of the pension system by evaluating their mandate as formulated in the law. The thesis contributes to the existing literature regarding the Swedish pension system through an investigation of the performance and risk level of the funds during the period 2001-2017. We utilize the Fama-French three-factor model and the Sharpe ratio to measure the risk-adjusted return of the funds. By doing this, we can conclude that the funds have outperformed the market. Moreover, we present possible explanations for this outperformance. Regarding the risk level of the funds, we find that the funds cannot be considered low-risk funds when using historical volatility as a proxy for risk. The funds also show a strong home bias which reduces the diversification, hence increasing the risk level of the funds.