Valet som avgör pensionen : Aktiv vs. Passiv fondförvaltning i det svenska premiepensionssystemet 2016-2025

Sammanfattning

This study examines whether actively managed funds within the Swedish PremiumPension System (PPM) deliver higher risk-adjusted returns than passively managedalternatives and the default option AP7 Equity Fund over the period 2016-2025. Using asample of 129 funds, with 119 being actively managed, 8 passively managed, and AP7Equity Fund as a reference, three research questions are tested using Welch’s t-test, onesample t-test, and Pearson’s correlation analysis. Risk-adjusted performance is measuredthrough the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha, with AP7 Equity Fund as themarket proxy.Results show no statistically significant difference between actively and passivelymanaged funds on any of the three performance measures. However, actively managed fundssignificantly underperformed AP7 Equity Fund on the Sharpe ratio. Pearson’s correlationanalysis reveals a weak but statistically significant negative relationship between fund feesand returns among actively managed funds, yet fees account for only 6,8 percent of the totaleconomic loss relative to AP7, the remaining 93,2 percent is attributable to differences inreturns.The findings are consistent with the semi-strong form of the Efficient MarketHypothesis and suggest that PPM savers who remain in the default option AP7 Equity Fundhave historically achieved a significantly better risk-adjusted pension outcome than thosemaking active choices. The study’s conclusions are subject to limitations includingsurvivorship bias, AP7’s structural differences due to leverage, and category heterogeneitybetween active and passive funds in the sample.