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Hedge fund strategies on the Swedish market- Absolute return despite market fluctuation?
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2013 (English)Independent thesis Basic level (university diploma), 10 credits / 15 HE creditsStudent thesisAlternative title
Hedgefondstrategier på den svenska marknaden- Absolut avkastning oavsett marknadens variation? (Swedish)
Abstract [en]

An alternative form of investing that has grown steadily during turbulent economic conditions

is the decision to invest in Hedge funds. Hedge funds differ from mutual funds by achieving

absolute returns, meaning that the funds use complex investment strategies in order to achieve

positive returns regardless of the performance of the stock market. The hedge fund market has

grown significantly since the mid-1990s in the Nordic countries. Sweden has dominated the

hedge fund scene in terms of pure numbers and is also in a dominant position in terms of

hedge fund assets under management. Despite this growth, Swedish investors generally have

a lack of knowledge about hedge funds as an alternative form of investment, which makes it

difficult to assess its advantages and drawbacks.

The purpose of the report is to study what hedge fund strategies on the Swedish market are

able to generate absolute return over a given period. The purpose is also to compare the

performance of the hedge fund strategies with the performance of the Swedish stock market

over the given period. The strategies have been compared with the Swedish Stock Market

Index SIXRX which reflects the performance of the Stockholm Stock Exchange, adjusted for

dividends.

The results show that all the hedge fund strategies had a lower volatility and generated a

higher return relative to risk compared to the Stockholm Stock Exchange, over the given

period. However, only three out of five hedge fund strategies managed to generate absolute

return over the total period.

Abstract [sv]

Ett investeringsalternativ som har vuxit sig starkare under turbulenta ekonomiska

förhållanden är möjligheten att investera i hedgefonder. Hedgefonder skiljer sig från

traditionellt förvaltade fonder genom möjligheten att utvinna s.k.

absolut avkastning. Detta

innebär att fonden använder komplexa investeringsstrategier i syfte att generera en positiv

avkastning oberoende av aktiemarknadens utveckling. Hedgefonder har sedan mitten av 1990-

talet vuxit sig allt starkare bland nordiska länder och Sverige är idag det land i Norden som

dominerar avseende både antalet hedgefonder och förvaltat hedgefondkapital. Trots denna

tillväxt har svenska investerare generellt sett låg kännedom om hedgefonder som

placeringsalternativ, vilket gör det svårt att bedöma dess för- och nackdelar.

Rapportens syfte är att undersöka vilka hedgefondstrategier på den svenska marknaden som

klarar att generera absolut avkastning över en bestämd tidsperiod. Syftet är även att under

samma period jämföra hedgefondstrategiernas utveckling med den svenska aktiemarknadens

utveckling som helhet. Jämförelsen har gjorts med det svenska aktieindexet SIXRX som

speglar Stockholmsbörsens utveckling, justerat för aktieutdelningar.

Slutresultatet visar att samtliga hedgefondstrategier hade en lägre volatilitet samt genererade

en högre avkastning i förhållande till risk jämfört med Stockholmsbörsen som helhet, under

vald tidsperiod. Endast tre av fem strategier klarade dock att generera en absolut avkastning

under tidsperiodens samtliga år.

Place, publisher, year, edition, pages
2013.
Keyword [en]
Hedge funds, hedge fund strategies, absolute return
Keyword [sv]
Hedgefonder, hedgefondstrategier, absolut avkastning
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-124214OAI: oai:DiVA.org:kth-124214DiVA: diva2:633747
Supervisors
Examiners
Available from: 2013-06-27 Created: 2013-06-27 Last updated: 2013-06-27Bibliographically approved

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Christian Strömbäck(535 kB)392 downloads
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CiteExportLink to record
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