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

  • Simon Gunnarsson
  • Filip Haskå

    Student thesis: Bachelor

    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.

    Date of Award2020-Sep-16
    Original languageSwedish
    SupervisorMartin Abrahamsson (Supervisor) & Zahida Sarwary (Examiner)

    Educational program

    • Degree of Bachelor of Science in Business and Economics

    Courses and Subjects

    • Banking and financing

    University credits

    • 15 HE credits

    Swedish Standard Keywords

    • Business Administration (50202)

    Keywords

    • smart beta
    • passive versus active management
    • index funds
    • omxs30

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