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A Test of Strategies for Saving in European Pension Systems: The Case of Sweden
KTH, School of Industrial Engineering and Management (ITM).ORCID iD: 0000-0001-7402-0096
2012 (English)Conference paper, Published paper (Refereed)
Abstract [en]

This study investigates a mechanical computer aided momentum strategy for saving in the Swedish Premium Pension System (SPP). All funds that have been in the system during the period 2000-2011 are investigated. We show that over this period a strategy that builds on momentum increases the original invested amount over the period 2001-2011 by four times. If we include a stop-loss function we get an increase of 6 times the original amount. The basic investigated strategy is to invest in the five funds that have had the best return over the last 30 days. After 30 days the portfolio is rebalanced and the five funds that have had the best return over the last 30 days will be the new portfolio. This is done for the whole time period. In the paper we also show the results for other measuring and holding periods.

Place, publisher, year, edition, pages
2012.
Keywords [en]
Mutual funds, Pension systems, Portfolio selection
National Category
Economics and Business
Research subject
Business Studies
Identifiers
URN: urn:nbn:se:kth:diva-206185OAI: oai:DiVA.org:kth-206185DiVA, id: diva2:1091709
Conference
14th Annual Conference on European Integration held by the Swedish Network for European Studies in Economics and Business, May 2012, Mölle, Sweden
Note

QC 20170512

Available from: 2017-04-27 Created: 2017-04-27 Last updated: 2017-05-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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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