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How to select mutual funds for the Swedish Premium Pension System

The objective of this project is to present a model for selecting mutual funds to include in a public pension system with a limited number of funds.

Funded by: Nasdaq Nordic Foundation (starting grant, currently no funding)
Time period: September 1, 2018-
Project contact person:

Background

Since the public pension system in Sweden changed in 2000 it has been widely debated. Recently the debate regarding the individual choice of mutual funds has intensified due to fraud by some fund companies. The large number of mutual funds (around 800 funds 2018) has been debated since it makes it even more difficult for individuals to select mutual funds. Sorensson (2013) tested if it was possible to obtain the same return characteristics with around 80 mutual funds as with 800 mutual funds. Four different criteria that are normally used for selecting mutual funds were tested and the result were that 80 mutual could provide the similar return characteristics as having 800 mutual funds to choose from.

  This project will focus on the problem with selecting which mutual funds to include in a public pension system with a limited number of funds. It is a well-known fact that the performance of mutual funds are not persistent (see. e.g. Jegadeesh and Titman 1993; Bollen and Busse 2005) which makes the building of a selection model very difficult. The research question that we try to answer is how could a model for choosing mutual funds be constructed that offers the best long-term economic outcome for the individuals participating in the system? The objective of this project is to present a model for selecting mutual funds to include in a system such as the Swedish Premium Pension System (PPS) and other providers of retirement plans.

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Belongs to: Industrial Economics and Management
Last changed: May 10, 2021
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How to select mutual funds for the Swedish Premium Pension System