Active Management Versus Passive Management: Does Market Volatility Change the Outcome? : A Quantitative Study of Risk-Adjusted Performance in Actively and Passively Managed Swedish Equity Funds Across Different Market Volatility Regimes

Sammanfattning

This thesis examines whether actively managed Swedish equity funds achieve higher risk-adjusted performance than passively managed funds across different market volatility regimes. The study is relevant for investors, as active funds generally charge higher fees and are often expected to add value during volatile market conditions. Using a quantitative research design, Swedish equity funds are analysed over the period 2015-2025. Risk-adjusted performance is measured using annual Sharpe ratios based on net returns after management fees, and market volatility is measured as annual realised volatility calculated from daily OMXSPI returns. Panel regression models are used to examine whether active and passive fund performance differs between normal- and high-volatility periods. The results of this thesis provide no statistically significant evidence that active funds outperform passive funds on a risk-adjusted basis in either volatility regime. The thesis contributes evidence from the Swedish equity fund market and suggests that investors should be cautious in assuming that active management becomes more valuable during periods of elevated market volatility.