Change search
CiteExportLink to record
Permanent link

Direct link
Cite
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
  • rtf
Optimal portfolio selection and risk-adjusted performance of 51 equity funds available in the Swedish premium pension
Jönköping University, Jönköping International Business School.
Jönköping University, Jönköping International Business School.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In order to assure a livelihood for the working population after retirement, the national retirement pension was developed. The system is based on 18.5% of each tax-paying worker’s annual salary. The national retirement pension system in Sweden consist of two parts. The first and largest part contributing with 16 percentage points, of the 18.5%, is a defined benefit plan, named the income pension. The second part contributing with 2.5 percentage points, of the 18.5%, is the premium pension, which is a defined contribution plan. The premium pension is the sole part of the national retirement pension controlled by the individual employee, with the opportunity to actively invest in a broad selection of domestic and international funds. Investors not making a choice will be transferred into the governments default fund, named the seventh AP fund. By investing in funds, the premium pension is partly based on each worker’s annual salary but also on the development of the financial market.

This thesis has two purposes, the first is to investigate if the default alternative, the seventh AP fund has had a superior risk-adjusted return compared to fifty of the most commonly selected equity funds available in the premium pension selection. The second purpose is to construct portfolios for active investors with different risk-tolerance in order to compare the risk-adjusted return between an investor that has made an active investment in comparison to an investor that has not made an active choice.

To conclude, this thesis shows that there are superior funds to select, with regard to risk-adjusted return and risk-exposure, as an alternative to the seventh AP fund. In addition to this, the portfolio construction included in this thesis has proven that active participants can achieve results that are more compatible with their risk preferences in comparison to remaining in the default fund option. However, it is important for investors to remain active and alter their fund selections throughout the years, in order to attain the preferable outcome.

Place, publisher, year, edition, pages
2018. , p. 78
Keywords [en]
Pension, Premium pension, Swedish pension authority, national retirement pension, funds, AP7, Seventh AP Fund
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-39881ISRN: JU-IHH-FÖA-2-20180605OAI: oai:DiVA.org:hj-39881DiVA, id: diva2:1214132
Subject / course
IHH, Business Administration
Supervisors
Examiners
Available from: 2018-06-18 Created: 2018-06-05 Last updated: 2018-06-18Bibliographically approved

Open Access in DiVA

fulltext(1100 kB)67 downloads
File information
File name FULLTEXT01.pdfFile size 1100 kBChecksum SHA-512
b82be2a0e3337d2ffb0a65d5f5422365663372d8e770f0cf0a63dd8054d937fd6d223f4513e4c66dbe6f963889885a5217d066b4e4ef39fbd924eb3154a64cbd
Type fulltextMimetype application/pdf

By organisation
Jönköping International Business School
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 67 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 130 hits
CiteExportLink to record
Permanent link

Direct link
Cite
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
  • rtf