En analys i prestation och aktiv förvaltning mellan svenska large- och small-cap fonde

Abstract

The aim of this thesis is to explore whether there is a significant difference between Swedish large- and small-cap mutual funds. The study will examine each fund’s performance compared to one another. To investigate the performance of each fund category, performance measures such as the excess return, Sharpe ratio, Jensen’s alpha, Treynor ratio and information ratio will be used. Furthermore, the study also intends to answer the question if active management has an impact on these measures by using regression analysis and including the active share, tracking error and volatility as control variables. The study finds that there is a significant difference between small-cap funds and large-cap funds, where small-cap funds are able to consistently outperform their counterpart in regards to risk adjusted return. Our analysis also shows that there is a positive correlation between tracking error and risk adjusted return. Contrary to this, we found a negative relationship between risk adjusted returns and active share. Confirming that there is little evidence to support the conclusion that a higher active share leads to higher returns.