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Efficiency of Swedish equity funds – A DEA approach
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2017 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The purpose of this study is to evaluate the efficiency of Swedish equity funds. Funds are evaluated with a model for Data Envelopment Analysis (DEA). The suggested DEA model gives a method to rate equity funds entirely based on economic theory, such as Modern Portfolio Theory and the Efficient Market Hypothesis. Contrary to many other papers, efficiency is here seen from the perspective of a risk averse consumer investing in funds, not a manager managing a fund. Moreover, in this paper the DEA approach is for the first time applied to the Swedish equity market. Previous studies of fund rating methods have found weak or no significant relationship between long term performance of funds and high fund rates e.g. as given by Morningstar rates. The method used by Morningstar is then often criticized for favouring funds with high fees. This paper thus responds to a request in the market for new ways to evaluate fund performance. In the study, a set of frontiers of the most efficient funds in the Swedish market are identified. By comparing the frontiers of efficient funds we have in addition to this identified funds in the Swedish market that both offer low fees and are efficient as well.

Place, publisher, year, edition, pages
2017.
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-141288OAI: oai:DiVA.org:umu-141288DiVA: diva2:1153037
Available from: 2017-10-27 Created: 2017-10-27 Last updated: 2017-10-27Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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