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Efficient trading within PPM: An analysis of historic information as a predictor for future returns
Umeå University, Faculty of Social Sciences, Umeå School of Business.
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2009 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Background: We have reason to believe that in fear of doing wrong; most PPM investors are crippled to stay passive. Hence, they are not using the full potential of the PPM systems. Some are lured in to use professional pension saving steward by promises of abnormal return. According to efficient market hypothesis this would be impossible, however, studies have shown that their might exist inherent financial anomalies that by the utilization of historic information can open the window for abnormal return.

Purpose: The purpose of the study is to draw attention to the problem of using ex ante data to predict ex post returns. Thus, we would have evaluated the practical implication of using ex ante data as a determinant in relation to optimal PPM funds selection, and if possible to provide some simplistic guidelines for the average PPM investor.

Results: We found a handful of portfolios that gave significant results against their own index; however, when tested against Sverige, rena and Global, Mix bolag the evidence of abnormal return were thin.  From our results, we conclude that their seems to be a persistence effect, as top achievers continued to perform above average in almost all cases, however, one could not profitize on abnormal return other than by chance.  Consequently, historic return can give the investor an aid in optimal portfolio selection. Historic figures concerning standard deviation, expense ratios, and load fees all significantly correlated with return, however, neither seem to give the investor an edge in optimal PPM portfolio selection.

Place, publisher, year, edition, pages
2009. , 89 p.
Keyword [en]
finance, funds, efficient market, persistence
National Category
Business Administration
URN: urn:nbn:se:umu:diva-24642OAI: diva2:226964
Available from: 2009-07-08 Created: 2009-07-08 Last updated: 2009-07-08Bibliographically approved

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Westerlund, Johan
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Umeå School of Business
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