This thesis explores the application of Markowitz' Modern Portfolio Theory onto 220 years of financial returns for 13 metals and 21 poly-metallic ore types. The interdisciplinary research shows that poly-metallic ores can be described as naturally occurring portfolios that were diversified by natural geological processes. Safest and optimal portfolios for metals and ores can be computed for different time horizons using portfolio optimization algorithms. Results for optimized ore portfolios are thereby subject to geological constraints. The study revealed that commodity cycles last between six and twenty years and exhibit clockwise and counterclockwise motions in the risk-return framework. The cycle length differences for clockwise cycles are statistically significant and thus specific to all investigated metals and ores. By incorporating novel cycle parameters into decision making tools it is suggested that current industry decisions for resource development can be improved. Insights into the performance of metals and ores through the industrial cycles, as well as into the frequency of profitable super cycles can assist Metals & Mining executives in strategic planning and investment.:Introduction 1 Data 3 Metals & ore types studied 5 2.1 Metals.......................................... 5 2.2 Ore types ........................................ 5 2.3 Prices .......................................... 10 2.4 Summary ........................................ 12 II Analysis 13 3 Modern Portfolio Theory 15 3.1 Overview ........................................ 15 3.2 Definitions........................................ 15 3.3 Assumptions ...................................... 17 3.4 Discussion & Conclusion................................ 18 4 Poly-metallic ores as natural portfolios 19 4.1 Objectives........................................ 19 4.2 Results.......................................... 19 4.3 Summary & Discussion................................. 24 4.4 Conclusion ....................................... 25 5 Static portfolio optimization 27 5.1 Objectives........................................ 27 5.2 Assumptions ...................................... 27 5.3 Results.......................................... 27 5.4 Summary & Discussion................................. 31 5.5 Conclusion ....................................... 32 6 Dynamic portfolio optimization 33 6.1 Assumptions ...................................... 33 6.2 Results.......................................... 34 6.3 Summary & Discussion................................. 44 6.4 Conclusion ....................................... 45 7 Commodity cycles & metal assets 47 7.1 Commodity cycles ................................... 47 7.2 Commodity cycle observations ............................ 54 7.3 Summary ........................................ 76 7.4 Discussion........................................ 77 7.5 Conclusion ....................................... 78 III Application 81 8 Commodity cycles & resource development strategies 83 8.1 The timing of mine development and mining start-up................ 83 8.2 Lead times from discovery to operation........................ 88 8.3 Exploration....................................... 89 8.4 Project valuation considerations............................ 91 8.5 Summary & Discussion................................. 92 8.6 Conclusion ....................................... 93 9 Industrial cycles & modern history 95 9.1 The Metal Markets Indicator-MMI ......................... 95 9.2 The Metal Markets Indicator & the economy .................... 97 9.3 The MMI & military conflict ............................. 105 9.4 MMI cyclicality..................................... 115 9.5 Summary & Discussion................................. 122 9.6 Conclusion ....................................... 123 10 Industrial cycles & metal performance 125 10.1 Methodology ...................................... 125 10.2 Metal performance during technological epochs ................ 126 10.3 Discussion........................................ 133 10.4 Conclusion ....................................... 137 11 Industrial cycles & ore type preferences 139 11.1 Coal Age ........................................ 139 11.2 Oil Age ......................................... 142 11.3 Atomic Age....................................... 144 11.4 Discussion........................................ 146 11.5 Conclusion ....................................... 150 12 Industrial cycles & ore provinces 151 12.1 Ore genetic models and industrial cycles....................... 151 12.2 Ore geology and geography .............................. 154 12.3 Ore provenances and mining technology ....................... 156 12.4 Discussion........................................ 157 12.5 Conclusion ....................................... 157 13 The state and future of the M&M Industry 159 13.1 The current state.................................... 159 13.2 The dawn of a new Industrial Age .......................... 163 13.3 The future........................................ 164 13.4 Summary & Discussion................................. 167 13.5 Conclusion ....................................... 168 14 Summary 169 15 Conclusion 171 IV Appendix 173 Bibliography 233 Index 245

In this thesis the relationship between regional composition and risk-adjusted performance is evaluated concerning Swedish issued green mutual equity funds. By using three different indices; Sharpe, Jensen and Treynor, a relationship has been able to establish. The study finds no strong relationship between geographic composition and performance concerning any of the indices and thus the impact of diversifying one's portfolio has little impact. By using the Modern Portfolio Theory, Stewardship Theory, Home Bias Theory and Behavioral Finance Theory a theoretical discussion has been established in order to further examine and analyze the fundamental dynamics of this relationship. Lastly, model risk and other variables impact on performance has been investigated. Our study finds a potential model risk since our three indices results disparate. Further, ESG related factors and Morningstar ratings seem to impact performance greater than regional composition.

The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. The idea in this thesis is to find the connection between the components in macroeconomic environment and portfolios consisting of assets from OMX Stockholm 30 and use these relationships to perform Tactical Asset Allocation (TAA). The more specific aim of the project is to prove that dynamic modelling techniques outperform static models in portfolio theory. / Den finansiella marknaden är av en väldigt komplex struktur och modelleringsteknikerna har under senare tid blivit allt mer komplicerade. För en portföljförvaltare är det av yttersta vikt att finna mer sofistikerade modelleringstekniker, speciellt efter finanskrisen 2007-2008. Idéen i den här uppsatsen är att finna ett samband mellan makroekonomiska faktorer och aktieportföljer innehållande tillgångar från OMX Stockholm 30 och använda dessa för att utföra Tactial Asset Allocation (TAA). Mer specifikt är målsättningen att visa att dynamiska modelleringstekniker har ett bättre utfall än mer statiska modeller i portföljteori.

Indiana University-Purdue University Indianapolis (IUPUI) / This dissertation consists of two essays on nonprofit finance. Nonprofit finance concerns obtaining and managing financial resources to support the social purposes of nonprofit organizations. A unique feature of nonprofit finance is that nonprofits derive revenue from a variety of sources. Nonprofit finance thus involves answering two fundamental questions: What is the optimal combination of revenue sources that supports a nonprofit to achieve its mission? Where and how to obtain the revenue sources? The two dissertation essays address these two questions respectively. The first essay, titled “Modern Portfolio Theory and the Optimization of Nonprofit Revenue Mix,” is among the first to properly apply modern portfolio theory (MPT) from corporate finance to nonprofit finance. By analyzing nonprofit tax return data, I estimate the expected return and risk characteristics for five nonprofit revenue sources as well as the correlations among these returns. I use the estimates to identify the efficient frontiers for nonprofits in different industries, based on which nonprofit managers can select an optimal portfolio that can minimize the risk given a preferred level of service provision or maximize the return given a level of risk. The findings also pose a challenge to the predominant approach used in previous nonprofit finance studies (Herfindahl-Hirschman Index) and suggest that MPT is theoretically and practically more helpful in guiding nonprofit revenue management. The second essay, titled “Charitable Giving in Nonprofit Service Associations: Identities, Incentives, and Gender Differences,” concerns nonprofit resource attainment, specifically, how do decisionmaking contexts and framing affect donations. Membership in a service club is characterized by two essential elements: members’ shared interest in the club’s charitable mission; and private benefits that often come as a result of social interactions with other members, such as networking, fellowship, and fun. A laboratory experiment was designed to examine 1) whether membership in a service club makes a person more generous and 2) the effect of service club membership—stressing either the service or socializing aspects—on individual support for collective goods. The study finds that female individuals are the least generous when they are reminded of the socializing aspect of service-club membership.

[pt] A teoria moderna de carteiras estabelece que a alocação ótima de ativos é uma função da média-variância da distribuição dos retornos. Na prática, estes retornos são modelados por distribuições Gaussianas e seus parâmetros são estimados a partir dos dados históricos do mercado, utilizando técnicas descritivas da estatística Frequentista. A dinâmica atual dos mercados globalizados gera períodos aleatórios de alta e baixa volatilidade e/ou saltos nos retornos dos ativos, provocando mudanças de regime ou quebras estruturais na série temporal dos retornos, tornando-os não Gaussianos. Consequentemente, a teoria moderna de carteiras precisa ser adaptada para atender a estas novas condições do mercado. Para contornar o problema das mudanças de regime, propõe-se a substituição do mecanismo de otimização baseada no índice de Sharpe pela otimização baseada na medida Ômega. Isto porque a medida Ômega tem a vantagem de quantificar o risco-retorno de qualquer distribuição de probabilidade e não somente distribuições Gaussianas como acontece com o índice de Sharpe, ou seja, as distribuições de retornos não Gaussianos provocadas pelas mudanças de regime são tratadas naturalmente pela medida Ômega. Para contornar o problema das quebras estruturais, propõe-se a substituição do procedimento de estimação dos parâmetros da distribuição dos retornos, baseada em técnicas da estatística Frequentista por técnicas da estatística Bayesiana. Isto porque a estatística Bayesiana, tem a vantagem de combinar as informações públicas do mercado (dados históricos dos retornos) com informações privadas do investidor (visões prospectivas do mercado) permitindo corrigir a quebra estrutural e, na sequência, tratar o retorno não Gaussiano, utilizando o mecanismo de otimização baseada na medida Ômega. / [en] Modern portfolio theory states that the optimal asset allocation is a function of the mean-variance of the distribution of returns. In practice, these returns are modeled by Gaussian distributions and their parameters are estimated from historical market data, using descriptive techniques of Frequentist statistics. The current dynamics of globalized markets generate random periods of high and low volatility and/or jumps in asset returns, causing regime shifts or structural breaks in the time series of returns, making them non Gaussian. Consequently, modern portfolio theory needs to be adapted to meet these new market conditions. To circumvent the problem of regime shifts, it is proposed to replace the optimization mechanism based on the Sharpe index by the optimization based on the Omega measure. This is because the Omega measure has the advantage of quantifying the risk-return of any probability distribution and not only Gaussian distributions as with the Sharpe index, that is, non Gaussian returns distributions caused by regime shifts are treated naturally by the Omega measure. To circumvent the problem of structural breaks, it is proposed to replace the estimation procedure for the parameters of the distribution of returns, based on Frequentist statistics techniques, by Bayesian statistical techniques. This is because the Bayesian statistic has the advantage of combining public market information (historical return data) with private investor information (prospective market views) allowing to correct the structural break, and subsequently, treating the non Gaussian return using the optimization based on the Omega measure.

This thesis investigates the relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds registered in Sweden and the United States. The increasing amount of mutual funds and the shift towards sustainability in the society gives cause to study the relationship between the total expense ratio and the performance of sustainable mutual funds rather than conventional mutual funds. The analysis was conducted by testing the relationships through different regression models for both the Swedish and the U.S. market. A simple regression model was conducted for both markets to study the relation that the total expense ratio has to the 5-year performance to last month. To further analyse the relation between the two variables, a multiple regression model was conducted for both markets to further analyse the significant relationship between the total expense ratio and the 5-year performance to last month. The data was collected via Eikon and included mutual funds registered in Sweden and the U.S., each mutual fund collected was retrieved together with an ESG score which was the definitive factor whether the mutual fund could be considered as sustainable or not. The results gathered from the simple regression model for the Swedish market was found to have no significant relationship and the explanatory degree for the regression model was very low. The results regarding the simple regression model for the U.S. market are however found to be significant but with a low degree of explanation as well. Hence the result from this study indicates that there is no significant relationship between the total expense ratio and the 5-year performance to last month for the Swedish market when conducting a simple regression model, while the U.S. market has a low significant relationship between the variables. However, a multiple regression model for the Swedish market containing additional control variables presents a significant relationship between the total expense ratio and the 5-year performance to last month. The same results were found for the U.S. market when conducting a multiple regression model. The results for the Swedish simple regression model align with previous studies conducted within this area, where previous studies have found there to be no significant relationship between the total expense ratio and the performance of mutual funds, hence same results are applicable to sustainable mutual funds. However, this study did in fact also display significant relationships for the multiple regression model for the Swedish market as well as for both regression models for the U.S. market. Which indicates that the total expense ratio to some extents have an explanatory relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds in both the Swedish market and the U.S. market.

This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. However, the variance of the returns are high and therefore it is difficult to determine if mean-variance analysis performs better than its corresponding index in the general case. Furthermore, it is shown that individual stocks can still influence the movement of an optimized portfolio significantly, even though the model is supposed to diversify firm-specific risk. Thus, the authors recommend modifying the model by restricting the amount that is allowed to be invested in a single stock, if one wishes to apply mean-variance analysis in reality. To be able to draw further conclusions, more practical research within the subject needs to be done. / Denna uppsats utvärderar ramverket ”mean-variance analysis” genom att jämföra prestandan av en optimerad portfölj bestående av aktier från Dow Jones Industrial Average med prestandan av indexet Dow Jones Industrial Average självt. Resultaten visar att att den optimerade portföljen presterar bättre än motsvarande index när de utvärderas på perioden 2015 till 2019. Dock är variansen av avkastningen hög och det är därför svårt att bedöma om mean-variance analysis generellt sett presterar bättre än sitt motsvarande index. Vidare visas det att individuella aktier fortfarande kan påverka den optimerade portföljens rörelser, fastän modellen antas diversifiera företagsspecifik risk. På grund av detta rekommenderar författarna att modifiera modellen genom att begränsa mängden som kan investeras i en individuell aktie, om man önskar att tillämpa mean-variance analysis i verkligheten. För att kunna dra vidare slutsatser så krävs mer praktisk forskning inom området.

Titel: Portföljförvaltarens kamp mot index Syftet: Syftet med denna studie är att beskriva och analysera aktiv fondförvaltning genomriskjusterad avkastning. Metod: En kvantitativ studie har genomförts för att uppfylla syftet och besvara studiensfrågeställning för undersökningsperioden 2018–2022. Riskjusterade prestationsmåtten somanvänds är jensens alfa, sharpe- och treynorkvoten. Empiriskt resultat: Studien är baserad på 21 aktivt förvaltade fonder som är registrerad iSverige. Vidare har dessa fonder placeringsinriktning på industrisektorn samt har 80% av sittinnehav på svenska aktier. Slutsats: Mer än hälften av alla fonder genererade ett positivt jensens alfa. Dock visar etttvåsidigt t-test att inget alfavärde var statistiskt signifikant med både 90% och 95%konfidensgrad.Nyckelord: Riskjusterad avkastning, Aktiv fondförvaltning, Treynokvot, Sharpekvot, Jensensalfa, Marknadsindex, Capital Asset Pricing Model (CAPM) och Modern Portföljteori. / Title: Fund manager’s battle against index. Purpose: The purpose of this study is to describe and analyze active funds through riskadjusted returns. Methodology: The study uses a quantitative research method with data from secondarysources that contains fund’s net asset value (NAV). The research period of this study is 2018 to 2022. The study uses jensens alpha, treynor- and sharperatio as risk adjusted measurements. Empirical foundation: This study uses 21 active mutual funds that are registered in Sweden.The mutual funds that were obtained has an investment strategy that focuses on industry.Furthermore, these mutual funds have 80% holdings in Swedish stocks. Conclusion: More than half of the active mutual funds generated a positive jensens alpha.However, according to a two-sided t-test of a 90% and 95% confidence level, none of themutual fund’s alpha showed to be statistically significant and therefore no conclusions weremade.

The purpose of this thesis is to analyze differences between stock preferences of women and men in Sweden and analyze what portfolio characteristics and long-term effects that are revealed by investing in the stocks than men and women prefer. To fulfill the purpose of the thesis, two fictious portfolios have been created which are based on data from the reports “Aktieägandet i Sverige” by Euroclear. These reports present the favorite stocks of Swedish men and women by presenting stock top charts between the years 2017- 2021, and the data covers the total stock investing Swedish population. The fictious portfolios have been assigned to two fictious investors, Alice, and Adam, to enable analysis of the investment behavior and the portfolio’s performance on an aggregate level.   Alice’s and Adam’s portfolios are evaluated by using risk- and portfolio management measures, and the investment behavior is evaluated through measures previously presented in research within behavioral economics. The analysis is conducted by combining classic financial theory and previous research within behavioral economics to evaluate investment behavior from the perspective of portfolio theory.   The results show that the investment behavior differs between Swedish men and women, considering both stock preferences and investment strategy. Men tend to have a higher preference for risk than women and are more active when managing their portfolio. Women tend to invest more long-term and manages their portfolio in a more passive manner. Women also tend to invest in value stocks with dividends, while men invest in growth stocks. The investment strategy of men demonstrates a betting element which leads to a high total and non-systematic risk exposure. The consequences of the investment strategies long-term indicates that women obtain a more stable return due to lower volatility in their portfolio, while the higher non-systematic risk exposure and turn-over rate in men’s portfolio indicates that their return will be more volatile over time.   The results confirm, to a great extent, previous research on the differences between the investment behavior of women and men on an individual level. Based on new observations we conclude that a limited rational behavior does not always equal a higher risk exposure in the portfolio as it can also lower the level of risk. In addition, based on the analysis, we can conclude that men tend to invest more unethical than women. / Uppsatsens syfte är att identifiera och analysera skillnader i svenska kvinnor och mäns aktiepreferenser samt analysera vad för portföljegenskaper och långsiktiga effekter som följer av investering i de aktier som kvinnor och män föredrar. För att uppnå uppsatsens syfte har två fiktiva portföljer skapats som baseras på Euroclears rapporter ”Aktieägandet i Sverige”. Rapporterna presenterar svenska kvinnor och mäns favoritaktier i form av aktietopplistor mellan åren 2017–2021, varav datan omfattar hela den svenska aktieinvesterande populationen. De fiktiva portföljerna har tilldelats två fiktiva investerare, Alice och Adam, för att möjliggöra analys av investeringsbeteendet och portföljernas prestation på en aggregerad nivå.   Alices och Adams portföljer utvärderas med risk- och portföljutvärderingsmått, och investeringsbeteendet utvärderas genom mått som tidigare forskning inom beteendeekonomi lyft fram. Analysen genomförs genom att kombinera klassisk finansiell teori med tidigare forskning i beteendeekonomi för att utvärdera investeringsbeteendet ur ett portföljvalsperspektiv.   Resultaten påvisar att svenska kvinnor och mäns investeringsbeteende skiljer sig åt gällande både aktiepreferenser och förvaltningsstrategi. Män tenderar att ha en högre riskpreferens än kvinnor, samt är mer aktiva i förvaltningen av portföljen. Kvinnor tenderar att investera mer långsiktigt och passivt i familjära värdebolag med utdelning, medan män investerar i tillväxtbolag. Mäns investeringsstrategi har inslag av betting, vilket leder till en hög total- och icke-systematisk riskexponering. Konsekvenserna av investeringsstrategierna på lång sikt blir att kvinnor erhåller en stabilare avkastning till följd av lägre volatilitet, medan mäns exponering mot icke-systematisk risk samt höga omsättningshastighet leder till mer volatil avkastning över tid.  Resultaten bekräftar i stor utsträckning tidigare forskning om skillnader i kvinnor och mäns investeringsbeteende på individnivå. Genom nya observationer konstateras att ett begränsat rationellt beteende inte alltid leder till en högre riskexponering, utan även kan sänka risknivån i portföljen. Dessutom kan vi utifrån analysen konstatera att män tenderar att investera mer oetiskt än kvinnor.

Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection are optimal only if the empirical characteristics of asset returns do not violate the portfolio selection model assumptions. This thesis explores the empirical characteristics of traditional assets and hedge fund returns and examines their effects on the assumptions of linearity-in-the-mean testing and portfolio selection. The encompassing theme of this thesis is the empirical interplay between traditional assets and hedge fund returns. Despite the paucity of hedge fund research, pension funds continue to increase their portfolio allocations to global hedge funds in an effort to pursue higher risk-adjusted returns. This thesis presents three empirical studies which provide positive insights into the relationships between traditional assets and hedge fund returns. The first two empirical studies examine an emerging body of literature which suggests that the relationship between traditional assets and hedge fund returns is non-linear. For mean-variance investors, non-linear asset returns are problematic as they do not satisfy the assumption of linearity required for the covariance matrix in portfolio selection. To examine the linearity assumption as it relates to a mean-variance investor, a hypothesis test approach is employed which investigates the linearity-in-the-mean of traditional assets and hedge funds. The findings from the first two empirical studies reveal that conventional linearity-in-the-mean tests incorrectly conclude that asset returns are nonlinear. We demonstrate that the empirical characteristics of heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation in the underlying tests and it is shown that traditional assets and hedge funds are indeed linear-in-the-mean. The third and final study of this thesis explores traditional assets and hedge funds in a portfolio selection framework. Following the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio selection context. The characteristics of serial correlation in bond and hedge fund returns are shown to cause a downward bias in the second sample moment. This thesis proposes two methods to control for this effect and it is shown that autocorrelation induces an overallocation to bonds and hedge funds. Whilst heteroscedasticity cannot be directly examined in portfolio selection, empirical evidence suggests that heteroscedastic events (such as those that occurred in August 1998) translate into the empirical feature known as tail-risk. The effects of tail-risk are examined by comparing the portfolio decisions of mean-variance analysis (MVA) versus mean-conditional value at risk (M-CVaR) investors. The findings reveal that the volatility of returns in a MVA portfolio decreases when hedge funds are included in the investment opportunity set. However, the reduction in the volatility of portfolio returns comes at a cost of undesirable third and fourth moments. Furthermore, it is shown that investors with M-CVaR preferences exhibit a decreasing demand for hedge funds as their aversion for tail-risk increases. The results of the thesis highlight the sensitivities of linearity tests and portfolio selection to the empirical features of heteroscedasticity, autocorrelation and tail-risk. This thesis contributes to the literature by providing refinements to these frameworks which allow improved inferences to be made when hedge funds are examined in linearity and portfolio selection settings.