Thesis (MBA (Business Management))--University of Stellenbosch, 2010.

The last decades have seen a rapid increase of sustainable investing, also known as ESG (Environmental, Social and Governance) investing. There has also been an increasing body of academic literature devoted to whether investors can gain any financial benefits from taking ESG under consideration. Previous literature of portfolio performance in terms of risk-adjusted returns has given much of its attention to best-in-class approaches, which is a strategy that selects top performers in ESG within a sector or industry. The purpose of this study is foremost to investigate a best-effort approach to ESG investing, which is a strategy that focuses on the top improvers in ESG. The purpose is further to compare this with a best-in-class approach, since the findings from earlier studies of this strategy still are inconsistent. The region chosen to perform this study in is the Eurozone. Several theories that have implications for portfolio studies and abnormal returns are taken under consideration in relation to the study and its findings. This includes the efficient market hypothesis, the adaptive market hypothesis and modern portfolio theory. The theoretical framework also cover asset-pricing models and the notions of risk-adjusted returns. A quantitative study with a deductive approach are used to form portfolios, with a Eurozone index as the investable universe. Best-effort and best-in-class portfolios as well as difference portfolios of the two approaches are created, based on ESG data and different cut-off rates for portfolio inclusion. As for risk-adjusted performance measure, the Carhart four-factor model are used. The overall results are mostly insignificant findings in terms of abnormal returns. However, three best-effort portfolios based on the top ESG improvers show significant positive abnormal returns. These findings are strongest for the environmental and social factor. As for the best-in-class approach, only the governance portfolios provided weakly significant results in terms of abnormal returns. Further, the study is not able to significantly distinguish between a best-effort and a best-in-class approach when it comes to risk-adjusted performance. The exception is the environmental factor based on the top performers in each approach, where the best-effort portfolio outperforms the best-in-class portfolio. Finally, none of the portfolios provided significant negative risk-adjusted returns. This can at least be considered as good news for ESG investing, since it indicates that investors do not have to sacrifice risk-adjusted returns in order to invest in a more sustainable way.

This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama & French three factor model and the regressions were in the end conducted with the GARCH model which showed results that both the SRI-portfolio and the Sin-portfolio had a general excess return over the market. The two portfolios were also compared with the help of Sharpe Ratio and Jensen’s Alpha. The Sharpe ratio as well as the Jensen’s Alpha showed that the Sin-portfolio had the highest risk-adjusted returns. In conclusion, the SRI-portfolio as well as the Sin-portfolio both outperformed the market during the time period 2001-2021 and they were both less volatile than the market.

We are currently in the golden age of sustainable investing much thanks to the increasedimportance of companies acting responsibly and sustainably. ESG reporting practices aredrastically improving globally. However, emerging market equities remain remarkablyunderrepresented compared to developed market equities in institutional investors’sustainability portfolios. One of the most popular sustainable investing practices is ESG investing. Over the years, institutional investors have developed several ESG investingstrategies. A relatively new and upcoming strategy which is expected to growtremendously over the coming years is thematic ESG investing which differentiates itselfcompared to more traditional strategies. To the author’s knowledge, very few studies havebeen conducted comparing the performance of ESG investment strategies against eachother, especially comparing thematic ESG versus more traditional ESG investingstrategies in emerging markets. This study found that emerging market based thematic ESG portfolios built around thetheme of clean energy perform better financially compared to more traditional emergingmarket-based non-thematic ESG portfolios. Hence, answering our stated researchquestion “How do Clean Energy focused thematic ESG investment portfolios performcompared to non-thematic ESG portfolios in emerging markets?”. Thematic clean energyportfolios rebalanced annually and quarterly performed better in almost every aspect(return, risk and risk/return) compared to broader non-thematic ESG portfolios during ourselected 5-year period, indicating that thematic investing may be the better strategy toadopt if investing sustainably in emerging markets. This study also found evidenceindicating that emerging market-based thematic clean energy portfolios may performbetter than their developed market counterpart. These findings should persuade investorsto finally break the norm and allocate more capital towards emerging market equities,unlocking the potential for previously hidden diversification opportunities. By analyzingthe performance differences through the lens of existing financial theories, this studymanages to also break new ground within the field of sustainable investing literatureadding new valuable insights while also challenging already existing financial theoriessuch as the efficient market hypothesis. This is a quantitative comparative study utilizing a deductive approach, where the authorshave created and compared the performance of sustainable equity portfolios in emergingmarkets. The Carhart four-factor model was applied through OLS regression to explainthe excess returns of the portfolios, Monte Carlo simulations were conducted to predictfuture movements of the portfolios while multiple performance metrics such as Sharpe,Sortino, and Treynor were calculated and compared.

This study investigates the impact of Environmental, Social, and Governance (ESG) ratings on the risk-adjusted returns of fintech firms across different segments, including fintech banks, paytech, wealth tech, fintech infrastructure, and cryptocurrency firms. Using a sample dataset comprising 104 worldwide fintech firms spanning the period from 2012 to 2022, we employ regression analysis to assess the relationship between ESG ratings and stock returns, considering both overall ESG scores and individual pillar ratings. Our findings reveal unique associations between ESG ratings and risk-adjusted returns, varying across different segments of the fintech industry. While high ESG-rated fintech firms exhibit a negative impact on stock returns, low ESG-rated firms show no significant association. Moreover, the environmental pillar rating demonstrates a negative correlation with risk-adjusted returns, whereas social and governance pillar ratings display a positive relationship. Furthermore, infrastructure fintech firms exhibit adistinct pattern, with overall ESG, social and governance ratings positively associated with stock returns. These results highlight the importance of considering ESG factors in evaluating the financial performance of fintech firms, with implications for investors, policymakers and industry practitioners. The study contributes to the existing literature by providing insights into how ESG considerations influence the risk-return profile of fintech firms, offering valuable guidance for sustainable investment strategies in the rapidly evolving fintech landscape.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Every investor that invests in JSE Securities Exchange listed shares wants to achieve optimum profits. Numerous tools are used to help investors and analysts to analyse buy signals, standard deviations, risk-adjusted returns and every possible piece of information that may lead to perfect recommendations. Despite all the problems and issues involved to make perfect recommendations, it seems as if some individuals achieve well above average results. There are no obvious reasons for the success they achieve. Often it may be ascribed to a combination of detailed technical analysis, market intelligence as well as gut-feel. This study evaluates the recommendations made by the analysts and quantifies the accuracy. Different scoring systems are used to evaluate the accuracy of the recommendations and a ranking of the analysts is compiled. Risk-adjusted returns are investigated in detail and are used in the calculations. The results of this study show that some analysts outperformed the rest by substantial margins. / AFRIKAANSE OPSOMMING: Elke belegger wat in aandele op die JSE Sekuriteitebeurs belê, wil die maksimum moontlike wins maak. Verskeie modelle word gebruik om beleggers te help om koopseine, standaardafwykings, risiko-aangepaste winste en enige andere moontlike inligting te ontleed om sodoende betroubare aanbevelings te maak. Ten spyte van al die probleme wat dit moeilik maak om akkurate vooruitskatlings te maak, wil dit voorkom asof sekere individue heelwat beter vaar as die gemiddeld. Die sukses kan nie aan ooglopende aspekte toegeskryf word nie en dit berus meestal by 'n kombinasie van gedetaileerde tegniese analise, markintelligensie en "gut-feel". Hierdie studie is daarop toegespits om vooruitskattings van analiste te evalueer en die akkuraatheid van die aanbevelings te kwantifiseer. Verskeie punte stelsels word gebruik om die akkuraatheid van die aanbevelings te evalueer en 'n ranglys word opgestel na aanleiding van die resullate. Risiko aangepaste resultate word in detail ondersoek en word gebruik in die berekeninge. Die resultate van die navorsing dui daarop dat sekere ontleders aansienlik beter vaar as ander.

Purpose: Aims of this paper is to evaluate a comparative study between China and Russia funds in respect of the risks and returns. We also want to examine what has affected the funds in their respective domestic stock market.                                                             Method: The study is based on qualitative methodology to complement the quantitative survey by first gathering of secondary data from Morningstar, and fund manager´s stories on fund and banking companies' websites.  Primary data is conducted by the interview with fund manager. The sample consists of all land funds for China and Russia has found more than 10 years on the stock market. Results and Conclusion: The survey shows that China funds will generate better in decline than Russia Funds in both return and risk-adjusted Sharpe ratio. Because the China funds had better risk diversification and its holdings spread across different industry area while Russia funds is more directed towards oil and gas industry. The upturn managed Russia Funds better to recovery than China Funds in terms of return and risk-adjusted Sharpe ratio, which was due to China funds were cautiously optimistic, with the government's stimulus package, while Russia Funds earned at the price of oil in the world increased and a greater willingness to take risks of the global financial system. During the 10 years period, Russia funds better growth compared to China Funds in the total seen by far. For Russia have large oil resources and raw materials including exporting to the fast growing Asian. In China, due to good growth in the consumption good and growing middle class in the country, but also increased projects in financial and infrastructure.

The population of high-net-worth-individuals (HNWIs) in Ghana is projected to increase from 2,400 in 2015 to 4,900 by 2024. HNWIs in Ghana desire to have access to alternative investment instruments to enhance diversification and improve investment returns on their portfolios. Guided by the product-market-grid-model, the purpose of this qualitative multiple case study was to explore diversification strategies some fund managers use to improve returns for HNWIs. Twelve participants from 3 investment firms in the Greater Accra Region of Ghana, including CEOs and fund managers with more than 5 years of professional and industry experience, participated in semistructured interviews. Observations and company documents served as secondary sources of data collection. Five themes emerged from the analysis of interview and document data: investment objectives and risk appetite level, product availability, asset allocation, limited knowledge and lack of sophistication, and, performance benchmarking. Findings may be used by fund managers to combine knowledge and innovation in identifying alternative investment options for HNWIs and improving investment returns. HNWIs may use their disposable income from returns to engage in entrepreneurial activities that may create employment opportunities and improve the economic environment in Ghana.

<p><strong>Purpose:</strong> Aims of this paper is to evaluate a comparative study between China and Russia funds in respect of the risks and returns. We also want to examine what has affected the funds in their respective domestic stock market.                                                            </p><p><strong>Method:</strong> The study is based on qualitative methodology to complement the quantitative survey by first gathering of secondary data from Morningstar, and fund manager´s stories on fund and banking companies' websites.  Primary data is conducted by the interview with fund manager. The sample consists of all land funds for China and Russia has found more than 10 years on the stock market.</p><p><strong>R</strong><strong>esults and Conclusion</strong>: The survey shows that China funds will generate better in decline than Russia Funds in both return and risk-adjusted Sharpe ratio. Because the China funds had better risk diversification and its holdings spread across different industry area while Russia funds is more directed towards oil and gas industry. The upturn managed Russia Funds better to recovery than China Funds in terms of return and risk-adjusted Sharpe ratio, which was due to China funds were cautiously optimistic, with the government's stimulus package, while Russia Funds earned at the price of oil in the world increased and a greater willingness to take risks of the global financial system. During the 10 years period, Russia funds better growth compared to China Funds in the total seen by far. For Russia have large oil resources and raw materials including exporting to the fast growing Asian. In China, due to good growth in the consumption good and growing middle class in the country, but also increased projects in financial and infrastructure.</p>

Background: In Sweden one of the most common ways of saving money is through funds and investors have many options to choose between. It depends on the risks you are willing to take, the expected return and size of management fees. The fees charged by the management company varies a lot depending on if the funds are managed actively or passively. During the recent years there have been discussions about which type of fund management will be the most profitable in relation to the fee. Actively managed funds are in general more expensive than passively managed. Object: The purpose of this study is to analyze if there is any relationship between the fee and the return while considering the risk. Furthermore, it will be analyzed if actively or passively managed funds generate higher return considering the fees, and if the actively managed funds succeedtheir benchmark index or not. The aim is to find out which type of fund management is the most appropriate to receive the highest return on the investment. Delimitation: The study is limited to Swedish funds that have been on the Stockholm Stock Exchange for at least 10 years and at least 90 % of the fund’s holdings must be invested in Swedish companies. Actively managed funds and index funds are analyzed and the other funds are excluded. Method: The study extends between the years 2011-2015. A correlation analysis has been made to see if there is a relationship between management fees and the return on investment. To get the best possible result,calculations and analysis have been made on both risk and performance measurements. Conclusion: It is more profitable to invest in index funds than actively managed funds. Actively managed funds does not generate a higher return on investment than indexfunds but they have a higher management fee. There is no relationship between the fee charged by the mangementcompanies and what return you get in the funds. / Bakgrund:Fonder ären vanlig sparmetod i Sverige och vid val av fond finns det många möjligheter för investerare. Detta beroende på vilken risk man är villig att ta, hur hög avkastning man förväntar sig samt hur hög fondens avgift är. Förvaltningsavgiften är den kostnad som betalas till fondbolagen för det förvaltningsarbete som utförs. Avgiften varierar beroende på om fonden förvaltas aktivt eller passivt. Under de senaste åren har det förekommit diskussioner kring vilken fondförvaltning som är bäst att välja i förhållande till avkastning och avgift, eftersom priserna för de aktivt och passivt förvaltade fonderna ofta skiljer sig åt. Syfte: Syftet med studien är att undersöka om det finns något samband mellan avgift och avkastning i förhållande till tagen risk för de aktivt och passivt förvaltade fonderna. Vidare kommer undersökas om aktiv eller passiv fondförvaltning genererar högre avkastning i förhållande till avgift, samt om de aktivt förvaltade fonderna överträffar sitt jämförelseindex eller inte. Avsikten är att få svar på vilken fondförvaltning som ger bättre resultat och därmed är bäst att investera i. Avgränsning: Studien avgränsas till svenska fonder som funnits på Stockholmsbörsen i minst 10 år och har minst 90 % av innehavet i svenska företag. Aktiv förvaltade aktiefonder och indexfonder undersöks, övriga fonder exkluderas. Metod: Tidsperioden som undersöks är fem år, 2011-2015. En korrelationsanalys utförs för att se samband mellan avgift och avkastning. Även relevanta risk-och prestationsmått räknas på och analyseras för att få svar på vilken fondförvaltning som är bäst att välja för bästa resultat. Slutsats: Det är mer lönsamt att investera i indexfonder med lägre avgift än att betala en hög fondavgift för aktiv fondförvaltning. Aktivt förvaltade fonder lyckas oftast inte slå sitt jämförelseindex och genererar inte en högre avkastning i genomsnitt än indexfonder, som har lägre avgift. Det finns inget samband mellan avgift och avkastning för de undersökta fonderna.