Analys av institutionell kapitalförvaltning
Stiftelserna som bildades ur de forna löntagarfonderna
This paper studies the research foundations created in 1994 from the former wage earners? funds out of a portfolio management point of view. Firstly it describes the seven largest foundations and their different portfolio management structures. Secondly it analyses the performance of these foundations measured as the intercept, Jensen?s a, in a linear regression of the excess returns of a portfolio versus a proxy for the market, as well as the Sharpe-ratio. Thirdly, the estimated performance measures are used to analyse possible correlation with investor specific attributes such as size, yearly cost of portfolio management and formal economic competency. We find that the boards of directors of these foundations generally have a low economic competency and have not been appointed with respect to knowledge in portfolio management. The structure of the portfolio management, as well as the level of diversification, differs across the foundations and their investments have a strong home country bias. The quantitative analysis finds that these foundations on an aggregated level outperformed the market but the results are heavily driven by two foundations. We find indications about a positive relationship between performance and economic competency, internal resources dedicated to portfolio management, as well as good evaluation methods. The relationship between performance and the number of portfolio managers can not clearly be estimated. Finally, the analysis suggests a negative relationship between performance and the cost of portfolio management.