Smart Beta

: en kvantitativ studie om hur tre Smart Beta-strategier presterar på den svenska aktiemarknaden

Abstract

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.