En jämförelsestudie av AP-fonderna och bankernas Sverigefonder 2003-2010
Morningstar RatingTreynor ratioSharpe ratioJensen's AlphaStandard DeviationBetaSwedish pension fundsRisk-adjusted returnAP-fonderAllmäna Pensions fonderAvkastningRiskjusterad avkastningSharpekvotTreynorkvotJensens AlfaMorningstar ratingPortfölj teoriStandardavvikelseBeta
Background: In 1999 the Swedish pension system was reformed with an aim to create a stable and high return on pension assets. First, Second, Third and Fourth general pension funds, hereby referred to as AP1-AP4, had an important part in the reform. AP1-AP4, also called the buffer funds, was assigned to secure long-term, big parts of the pension capital. The funds objective is by law, to manage the fund's assets in a manner that provides maximum benefit for the state pension. The funds will also invest pension assets with an overall low level of risk while achieving a sustainable high return.Aim: The purpose of this study is to investigate whether the First-Fourth AP-Funds is meeting its objectives regarding risk and return according to Swedish law. The aim is also to see how AP1-AP4 risk-adjusted returns compare to the four Sweden funds risk-adjusted returns according to modern portfolio theory.Theory: Morningstar Rating, Treynor ratio, Sharpe ratio, Jensen's Alpha, Standard Deviation, Beta.Conclusion: The risk-adjusted performance measures used in this study shows that there are clear differences between the two fund groups, where the AP-funds performed worse than the Sweden funds in every measurement. The study shows that the pension funds do not reach their goals over the five-year period, in four of the five time intervals listed in the study. In summary, the study shows that pension funds have a lower risk-adjusted return than the four bank Sweden funds and that the pension funds have not achieved their goals.