Stats › Global markets and exchanges › Swedish portfolios
Swedish households gave up 35% of the available risk adjusted return through poor diversification
| Benchmark | Median loss | Mean loss | Benchmark Sharpe ratio |
|---|---|---|---|
| Currency hedged world index | 35% | 38% | 45.2% |
| Unhedged world index | 14% | 19% | 34.6% |
| Swedish stock index | -8% | -2% | 27.4% |
Relative Sharpe ratio loss of the complete household portfolio at 31 December 2002, from Swedish wealth tax records covering all households. A negative value means the median household beat that benchmark on a Sharpe ratio basis. The authors estimate a standard error of about 0.06 for an individual household's loss and report no standard errors for the averages.
Using the national wealth register, the median household's complete portfolio lost 35 per cent of its Sharpe ratio against a currency hedged world index. Direct domestic shares were 20.9 per cent of financial wealth against 1.8 per cent international.
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