This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. Therefore, there is a need in studying ESG investment properties with other financial asset classes. By collecting daily price data from October 2007 to December 2018, we research the directionalities between ESG, ethical, conventional, commodities and currency. Initially, we employed a MODWT, multiscale investment horizon wavelet analysis transformation of the data. The decomposed wavelet data is then applied in pairwise linear and non-linear Granger causality estimations to study the directionality relationships dependent on investment horizon. Additionally, econometric filtering processes have been employed to study the effects of volatility on directionality relationships. The results mainly suggest significant directionality relationships between ESG and the other asset classes. On the medium-term investment horizon, almost all estimations indicate strict bidirectionality. Thus, on the medium-term, ESG can be said to be integrated with the other asset classes. For the long-term horizon, most relationships are still predominantly bidirectional between ESG and all other asset classes. The biggest differences are found on the short-term horizon, with no directionality found between ESG and commodities that cannot be explained by volatility. Furthermore, most directionality relationships also disappear when controlling for the volatility transmission between ESG and currency on the short-term horizon. Thus, our findings suggest significantly more integration between ESG and ethical and conventional as bidirectionality overwhelmingly prevails regardless of investment horizon. As previous research has found similarities between ethical and conventional as well as ESG having similar characteristics to commodities as conventional and ethical, we suggest that ESG should be considered as being integrated and having strong similarities with other equities. Thus, it should be treated as being part of the conventional equity asset class. Deviations from bidirectionality could be caused by ESG variable specific heterogeneity. However, despite our rejection of ESG as an independent asset class, it still carries significant potential as it excludes firms with climate-harming practices, thereby helping in combating climate-related as well as social and governance issues the world is facing.

Fund investments are very popular in Sweden. However, we have the impression that despite this popularity, the average fund investor in Sweden does not pay much attention to the importance and possible link of fund’s asset composition features (e.g. Asset class, Holdings, and Geo-exposure) to fund’s performance. Instead, S/he relies on factors such as fees, risk levels, historical performance, etc. in her/his investment decisions. Similarly, academic studies mainly focus on attributes such as funds fees, size, and manager’s skill to explain fund’s performance. Thus there are limited premier academic studies on the relationship between fund’s performance and its asset composition features. The main purpose of this study is to investigate possible causal relationship between the performances of funds with their assets composition features. We study the whole population of 346 Swedish listed mutual funds older than five years for the period 2009-2013. The results of the study provides the investors and analysts with additional decision-making and investment-analysis tools to assist them in making more informed judgment on funds and their expected returns. The results are also useful for fund managers to improve their strategies by refining the combinations of their funds’ asset composition attributes in order to improve the absolute risk-adjusted performance of their funds. Our research philosophy has been based on positivism and objectivism along with functionalist paradigm and we have applied deductive approach to test the theories. We have used quantitative method and collected the funds’ data from public business databases and chosen Jensen’s alpha and Treynor ratio as funds’ risk-adjusted performance measures. We performed Correlation tests and Regression with robust techniques on our data to answer the research question from three aspects, namely asset class (equity, bond, and mixed assets); geo-exposures (Sweden, Global, Europe, and Nordic) and Top-ten holdings’ measures (asset concentration and Treynor of each fund’s passive top-ten sub-portfolio). We conclude that correlations between funds’ risk-adjusted performance and assets composition features are likely to exist. Stronger correlations are observed between the explanatory measures and fund’s relative risk-adjusted performance (fund’s Treynor) as compared to fund’s absolute risk adjusted performance (fund’s Jensen’s alpha). Asset concentration in top-ten holdings and bond asset class are more likely to be in casual relationship with fund’s risk-adjusted performance, whereas Treynor ratio of top-ten holdings’ passive sub-portfolio as well as fund’s geo-exposure do not seem to have strong explanatory power for funds’ absolute performance.

Submitted by Edoardo Camela (edoardocamela@gmail.com) on 2015-10-26T22:05:50Z No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-10-27T11:35:59Z (GMT) No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) / Made available in DSpace on 2015-10-27T13:38:23Z (GMT). No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) Previous issue date: 2015 / The aim of this project is the comparison between the pros and cons of passive and active management by conducting a statistical study of several strategies through Exchange-Traded Funds. In particular, the examination will go through the most passive strategy, namely buy & hold, to a different degree of active indexing management such as sector and/or asset class rotations based on bottom-up, top-down and technical indicators. The analysis show that active strategies, if properly implemented, obtain risk-adjusted returns substantially higher than a passive approach, overcoming the issues of transaction costs and diversification which are typically claimed by a passive management. / O objectivo deste projecto é a comparação entre os prós e contras de gestão passiva e ativa através da realização de um estudo estatístico de várias estratégias através dos Exchange-Traded Funds. Em particular, a análise vai passar pela estratégia mais passiva, ou seja, buy and hold, para um grau diferente de active indexing management, tais como rotações do sector e / ou classe de ativos com base no bottom-up, top-down e indicadores técnicos. A análise mostra que as estratégias ativas, se forem devidamente aplicadas, conseguem obter retornos ajustados ao risco substancialmente superiores quando comparados com uma abordagem passiva, superando as questões de custos de transação e diversificação que normalmente são reivindicadas por uma gestão passiva.

Infrastructure consists of facilities and services that are considered essential to the functioning and economic productivity of society (Preqin, 2022). The rapid economic growth over the past decades has led to an increase in the demand for fundamental functions such as energy, telecommunications, and transportation. Increases in infrastructure investments are required on a global scale, not only to support economic growth globally, but also to help fulfill the United Nations Sustainable Development Goals (SDGs). Despite the large demand for infrastructure investments globally, planned governmental investments in infrastructure are not enough to bridge the gap. In order to bridge the infrastructure investment gap, there is a need for institutional investors to intervene, both in private and public markets. However, investors need to be able to assess how the market is performing as well as have accessible investment products that are linked to the infrastructure asset class. The quality of such investment products is dependent on the indices they are linked to, making it essential that infrastructure indices reflect the asset class in the way investors expect them to. Therefore, there is a need to assess the performance of existing infrastructure indices as well as to find a methodology for constructing a new index that more accurately fulfills investor expectations. This thesis compares three existing infrastructure indices in terms of three investment characteristics that investors look for in infrastructure investments: risk adjusted returns, inflation hedging properties, and stability during market downturns. These characteristics are evaluated by measuring the sharpe ratio, correlation with the consumer price index, and downmarket capture ratio. The thesis also proposes a methodology for finding an index that more accurately represents the infrastructure asset class in terms of the three aforementioned investment characteristics. The methodology is based on parameter optimization to find the set of inclusion criteria that maximizes performance. The thesis finds that the infrastructure indices are adequate in terms of risk adjusted returns and inflation hedging properties, but that they do not show consistent performance during down markets. It is concluded that existing indices are somewhat sufficient in what they set out to do, but that there is room for improvement in capturing the desired characteristics. The results of the thesis also indicate that a new index that more accurately represents the infrastructure asset class can be constructed by implementing inclusion criteria based on filters related to financial ratios associated with infrastructure companies, such as fixed asset turnover and dividend yield. In conclusion, an index with a minimum dividend yield criterion and a maximum fixed asset turnover ratio criterion can be constructed to more accurately capture the key characteristics of the infrastructure asset class. / Infrastruktur består av anläggningar och tjänster som anses väsentliga för samhället (Preqin, 2022). Den stora ekonomiska tillväxten under de senaste årtiondena har lett till ökad efterfrågan på grundläggande funktioner som energi, telekommunikation och transport. Ökade infrastrukturinvesteringar krävs globalt, inte bara för att stödja tillväxt utan också för att hjälpa till att uppfylla FN:s mål för hållbar utveckling (SDG). Trots den stora efterfrågan på infrastrukturinvesteringar globalt räcker inte planerade statliga investeringar i infrastruktur för att överbrygga klyftan. För att kunna möta behovet av infrastrukturinvesteringar behöver investerare ingripa, både på privata och publika marknader. Investerare behöver dock kunna bedöma hur marknaden presterar samt ha tillgängliga investeringsprodukter som är kopplade till infrastruktur som tillgångsklass. Kvaliteten på sådana investeringsprodukter är beroende av vilka index de är kopplade till, och därmed är det viktigt att infrastrukturindex speglar tillgångsklassen i enlighet med investerares förväntningar. Därmed finns det ett behov av att bedöma hur nuvarande infrastrukturindex presterar samt eventuellt att hitta en metod för att konstruera ett nytt index som bättre uppfyller investerarnas förväntningar. Denna avhandling jämför tre befintliga infrastrukturindex i termer av tre investeringsegenskaper som investerare söker i infrastrukturinvesteringar: riskjusterad avkastning, inflationsskyddande egenskaper och stabilitet under nedgångar på marknaden. Dessa egenskaper utvärderas genom att mäta sharpe ratio, korrelation med ett konsumentprisindex, samt down market capture ratio. Avhandlingen föreslår också en metodik för att hitta ett index som bättre representerarinfrastruktur som tillgångsklass i termer av de tre ovan nämnda investeringsegenskaperna. Metodiken är baserad på parameteroptimering för att hitta den uppsättning inklusionskriterier som maximerar indexets prestation.Avhandlingen konstaterar att infrastrukturindexen är tillräckliga i termer av riskjusterad avkastning och inflationssäkrande egenskaper, men att de inte uppvisar konsekvent prestation under marknadsnedgångar. Slutsatsen som dras är att de nuvarande indexen delvis är tillräckliga i det de avser uppfylla, men att det finns utrymme för förbättringar. Resultaten av avhandlingen indikerar också att ett nytt index som mer träffsäkert representerar infrastruktur som tillgångsklass kan konstrueras genom att implementera inklusionskriterier baserade på filter relaterade till finansiella nyckeltal förknippade med infrastrukturföretag, såsom omsättning av anläggningstillgångar och direktavkastning. Sammanfattningsvis kan ett index med ett minimimumkriterium för direktavkastning och maximumkriterium för omsättning av anläggningstillgångar konstrueras för att mer träffsäkert fånga viktiga egenskaper hos infrastruktur som tillgångsklass.

Diploma thesis analyses venture capital, which is part of alternative asset class investment. At the outset, paper very briefly discusses the private equity industry and differences between venture and buyout capital. Followed by a chapter that discusses entrepreneurship, entrepreneurial finance, financing alternatives for new ventures and the importance of venture capital and its impact on new businesses. Next chapter describes problems and risks that venture capital fund and entrepreneurs face after the contract is being signed. The paper also highlights some instruments that can be used against these risks and problems. The biggest part of thesis describes whole venture capital investment cycle from getting money, screening opportunities to valuation and exit of portfolio companies. Lastly the paper analyses venture capital in Central and Eastern Europe region (CEE) and briefly describes venture capital company based in Prague - Credo Ventures and its portfolio companies.