Crisis Alpha : An Empirical Analysis of Swedish Active vs Passive Fund Performance During Inflation Surges and Monetary Tightening

Sammanfattning

Our thesis examines whether actively managed Swedish equity funds outperform passively managed funds during periods of heightened macroeconomic stress, specifically the Swedish inflation surge ranging between 2021 – 2024 and the Riksbank monetary policy tightening cycle that followed thereafter. Using a sample of 89 Swedish equity funds over the period January 2020 to February 2026, this study answers two research questions. The first compares active and passive fund performance across sub-periods defined by a three-percent CPI threshold using raw and excess returns, Treynor and Sharpe ratios, CAPM alphas, and Maximum Drawdowns. The second estimates a panel regression framework that employs an active fund dummy with monetary policy surprises derived from intraday changes in the 3-month SEK OIS rate and the 2-year SEK Swap rate around Riksbank announcements. The results show that passively managed funds outperformed active funds during the inflation surge across all reported performance measures, both on raw and risk-adjusted basis. No sub-period produced a statistically significant result in mean-daily returns between active and passive funds. The panel regression confirms that unexpected monetary policy tightening has an effect on fund excess returns with the surprise coefficients being negative and significant across all specifications. However, the interaction term covering the differential response of active funds to monetary policy shocks is statistically insignificant across every specification meaning that active managers could not provide measurable downside protection compared to their passive peers. These findings hold across pooled OLS and fixed effects estimates, across every event-day and full-sample models and even two different surprise measures. The results are inconsistent with the crisis alpha hypothesis and suggest that, for the average Swedish equity funds investor during the sample period, the additional cost of active management was not compensated either by superior performance or resilience to monetary policy shocks.