Är en schimpans bättre på att skapa avkastning än en professionell fondförvaltare?: En jämförande studie om historisk avkastning av förvaltade fonder och slumpmässigt genererade portföljer
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Background: Investors have several options to choose from when the goal is to achieve the highest yield at the lowest cost and risk. Stocks are a common investment options, but is also associated with risks. Portfolios are usually constructed with several different assets to reduce the unsystematic risk of investment. Funds are similar to composite stock portfolios, the big difference is that they dealt with in their entirety and investors may not affect the fund's content. The problem remains that whether you choose stocks or mutual funds there is still uncertainty as to how the future will unfold. Which stocks will yield a high return, and what will bring losses? This is a problem that all investors have to deal with, and by economic theory seeks to create models and mathematical estimates forecasting the future. Studies indicate that the opposite of such economic models can provide at least the same rate of return, for example by allowing a monkey, baby, dog or other non-analytical choose the shares to the portfolio.
Objective: Our aim was to investigate the possibility to provide an equal or higher returns than actively managed funds, but the study would also examine the number of shares a portfolio should contain, then random selection acting factor.
Delimitation: The study will not take into consideration commissions, dividends, transaction costs, taxes or other issues than those stated.
Method: The study extends between the years 2003 - 2013, and was performed by assembling a total of fifteen portfolios according to three different compositions of shares in the portfolios, ie 10, 15 and 20 shares. Five portfolios were randomly composed for each of the three portfolio categories, which are then compared against ten professionally managed funds, as well as an index for the same measurement period. Both the ten funds and stock composition of the fifteen portfolios were randomly reselected for each one of the total ten measurement periods.
Conclusion: The managed funds outperformed the index OMXSPI by 2.8%, but the study found that randomly assembled portfolios delivers a significantly higher return than managed funds provide. The portfolio composition of twenty shares was found to provide the most representative results as the portfolio type had the lowest volatility and hence the lowest spread within the results.
Place, publisher, year, edition, pages
2013. , 44 p.
Portfolio management, Fund management, Random selected portfolios, Stocks, Funds
Portfö̈ljfö̈rvaltning, Fondfö̈rvaltning, Slumpmä̈ssigt sammansatta portfö̈ljer, Aktier, Fonder
IdentifiersURN: urn:nbn:se:sh:diva-19677OAI: oai:DiVA.org:sh-19677DiVA: diva2:646513
Subject / course
UppsokSocial and Behavioural Science, Law
Smolander, Maria, Högskolelektor