Smart Beta
: en studie om hur smart beta strategier presterar på den svenska börsen 

Translated title of the thesis: Smart Beta: a study on how smart beta strategies performs on the Swedish stock exchange
  • Patrik Mårtensson
  • Henrik Sjöberg

    Student thesis: Bachelor

    Abstract

    The ongoing debate on active and passive fund management never seems to end. There are some pros and cons in each category and scientific theories can argue for both ways. But recently, a new strategy has been introduced, smart beta. Smart beta can be classified as a hybrid between a passive and active strategy. Previous studies have shown good results for smart beta, but in other geographic areas and with larger indexes. In this study, a new type of profitability smart beta is introduced.

     

    The purpose of the study is to examine how smart beta performs on the Swedish market, with starting point in OMXS30. The study has a positivist research philosophy along with a deductive approach and a quantitative method.

     

    The result of the study shows that all smart beta strategies generate a higher return than OMXS30. Three efficiency measures have been used to calculate the risk-adjusted return, and here too, all smart beta strategies demonstrate a higher value. The result is in line with previous studies in the field. The strategy that generated the highest risk-adjusted return was the study's new strategy.

     

    The contribution of this study is to introduce a new strategy, as well as examine the effect of the previous strategies on the Swedish market. The study can be of value to both established actors in the finance industry, but also for individuals. For further research in the area, the time period should be extended and more strategies tested, especially with measures of profitability.

    Date of Award2018-Apr-10
    Original languageSwedish
    SupervisorManuchehr Irandoust (Supervisor), Sven-Olof Yrjö Collin Collin (Examiner) & Timurs Umans (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
    • fundamental indexation
    • active and passive fund management
    • omxs30
    • alternative indexation

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