Comparative analysis of passively managed funds and actively managed funds in Nordic stock market
Dang, Thu (2020)
2020
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Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:amk-2020062619365
https://urn.fi/URN:NBN:fi:amk-2020062619365
Tiivistelmä
The discussion about the performances of the passively managed funds and the actively managed funds was deployed in many previous empirical studies. These performances were typically related to indicate the outperformance between two types of funds. The objectives of the study were to compare the performance of passively managed funds and actively managed funds, and to analyze the market timing ability of actively managed funds performing the index funds as a benchmark.
The quantitative approach was used to answer the research questions. The secondary data of the funds was collected, more specifically, there were 25 passive funds and 39 active funds taken from the Nasdaq OMX Nordics. The period of this study was from 2012 to 2019. There were two methods of data analysis deployed during the research. The first method was risk-adjusted performance analysis, which displayed a comparative performance between two types of funds. The second method was based on the Treynor- Mazuy model to indicate the ability of the actively managed funds outperforming a benchmark.
The first result revealed that the passively managed funds resulted in a better outperformance compared to the actively managed funds for the given level of risk, and the second result showed the inability of the actively managed funds outperforming the Index funds as a benchmark. Limitations were identified, and recommendations for further studies were suggested.
The quantitative approach was used to answer the research questions. The secondary data of the funds was collected, more specifically, there were 25 passive funds and 39 active funds taken from the Nasdaq OMX Nordics. The period of this study was from 2012 to 2019. There were two methods of data analysis deployed during the research. The first method was risk-adjusted performance analysis, which displayed a comparative performance between two types of funds. The second method was based on the Treynor- Mazuy model to indicate the ability of the actively managed funds outperforming a benchmark.
The first result revealed that the passively managed funds resulted in a better outperformance compared to the actively managed funds for the given level of risk, and the second result showed the inability of the actively managed funds outperforming the Index funds as a benchmark. Limitations were identified, and recommendations for further studies were suggested.