Performance analysis of the Swedish Pension Fund Market using CAPM

Abstract: The Capital Asset Pricing Model (CAPM) is frequently used in the world of finance to predict the price of various securities. In this thesis, the model will be examined on the Swedish pension fund market to evaluate three main questions. If CAPM holds on the Swedish pension fund market, to examine selected funds with various performance measurements and to predict the values for a smaller selection of funds and make a comparison to the actual returns. To achieve the aims, historical data has been used for the period of 2009-2017 selecting fifteen Swedish based pension funds from the four largest banks in Sweden. Time series regression was performed and also calculations for Sharpe, Treynor and Jensen’s Alpha. The result of the analysis is that CAPM holds for 9 of the 15 funds that was evaluated. Handelsbanken Svenska Småbolag was the top ranked fund in the ranking system, with highest position in all the performance measurements. The result of the prediction test was that the funds with the highest betas yielded the most accurate return.