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Equity funds - and the Relationship between Return and Administration Fees
Jönköping University, Jönköping International Business School, JIBS, Economics.
Jönköping University, Jönköping International Business School, JIBS, Economics.
2007 (English)Independent thesis Basic level (degree of Bachelor), 10 points / 15 hpStudent thesis
Abstract [sv]

Sammanfattning

Antalet investeringsfonder och intresset för dessa har under de senaste åren ökat drama-tiskt. 94 % av den svenska befolkningen mellan 18-74 år sparar i någon form av fond. Un-der 2005 uppgick det totala fondkapitalet till ungefär 1,4 miljarder SEK. Det gör detta till ett viktigt ämne att studera vidare.

Syftet med denna uppsats att analysera om det är något samband mellan förvaltningsavgif-ter, avkastning, riskjusterad avkastning och marknadsanpassad förvaltningsavgift och av-kastning i svenska aktiefonder. Vidare, skiljer sig prestationen mellan fonder beroende på om de är förvaltade av banker, listade som premiepensionsfonder eller förvaltade av andra fondbolag?

För att analysera dessa frågor användes ’panel least square’ regressioner. Populationen bestod av 63 aktiefonder inom en tidsram av 20 kvartal. Dummy variabler användes för att särskilja bank- och premiepensionsfonder från den totala populationen.

Observationerna visade liksom tidigare forskningen blandade resultat. Ingen relation hitta-des mellan avkastning, riskjusterad avkastning och förvaltningsavgift. Detta indikerar att fondbolagen inte tar hänsyn till den förväntade avkastningen när de fastställer sin förvaltningsavgift, vilket överensstämmer med tidigare forskning.

Ett negativt samband hittades emellertid mellan den marknadsanpassade avkastningen och förvaltningsavgiften.

Generellt presterade banker i genomsnitt bättre än fondbolag som varken var bank- och/eller premiepensionsfonder när det gäller avkastning, riskjusterad avkastning och marknadsanpassad avkastning. Vidare, fonderna med någon avgift utöver förvaltningsavgif-ten var de med den i genomsnitt näst sämsta gällande avkastning.

Abstract [en]

The number of investmentfunds have dramatically increased in the last years and so have the interest in funds. 94% of the Swedish population between 18-74 years are investing in some kind of mutual fund. In 2005 the total fund capital was approximately 1.4 billion SEK. That makes this an important topic to investigate further.

Therefore this thesis purpose is to analyse if there is any relationship between administrationfees, returns, the risk-adjusted performances. Furthermore, does the performance of the Swedish mutual funds differ dependent on whether they are managed by banks or if they are listed as Premiepensionsmyndigheten (PPM) funds, or run by other mutual fund companies?

To analyse the problem a panel least square regression was used. The population consisted of 63 Swedish mutual equity funds over 20 quarters. Dummy variables were used to separate the banks- and PPM funds from the total population.

The findings are mixed compared to previous research. There seem to be no relationship between the return, the risk-adjusted return and the administration fee. This indicates that the fund companies do not set their administration fee based on the expected return.

However, a negative relationship was found between the market-adjusted return and administration fee.

In general, the banks, on average, outperformed, the mutual fund companies that were not bank and/or PPM funds, in return, risk-adjusted return and market-adjusted return. Further, the funds with some additional fee had the on average second lowest efficiency in terms of return on the market.

Place, publisher, year, edition, pages
2007. , p. 32
Keywords [en]
Mutual equity funds, Return, Administration fee
Keywords [sv]
Aktiefonder, Avkastning, Förvaltningsavgift
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-707OAI: oai:DiVA.org:hj-707DiVA, id: diva2:4435
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samhälle/juridik
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Available from: 2007-03-01 Created: 2007-03-01

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