Recently, the selections of ethical funds are increased; at the same time investors with social and moral preferences have increased in the capital market. There are currently debates on whether ethical funds perform better or worse than funds without ethical criteria. This also involves a vivid discussion on whether investors know about the consequences of investing in ethical funds. Therefore, this study involves theories about the rationality and decision theory, in addition to what mainly control the investment decisions. The study also discusses portfolio theory since this is one of the underlying theories behind fund management and its development. The purpose of this study is to explain if ethical limitations in the selection of securities affect risk and return in the fund portfolio. This study has positivistic research approach and a quantitative method. The method involves some calculations and equations used that will be presented. The study indicates that ethical funds actually deliver better risk adjusted returns than its Swedish benchmark index. It also indicates a trend that ethical funds deliver better excess returns than funds without ethical preferences. Furthermore, the study concludes that no statistical difference between the ethical funds and the benchmark in terms of risk in investment can be demonstrated. One limitation of the study is that the survey mainly includes the Swedish market with Swedish company stakeholders. This means that there may be a need for research in a global market where also cultural aspects need to be considered. It has not previously been quite clear how ethical fund performance in the Swedish market, and at a time when demand for ethical choice increases, the goal of this study was to clarify the performance of ethical funds. / På senare tid har urvalet av etiska fonder ökat, samtidigt som investerare med sociala och moraliska preferenser har blivit allt vanligare på kapitalmarknaden. Det finns idag diskussioner om huruvida etiska fonder presterar bättre eller sämre än fonder utan de etiska kriterierna. Detta innefattar också en livlig diskussion om huruvida investerare är medvetna om konsekvenserna av att investera i etiska fonder. Därför berör studien teorierna kring den rationella- och beslutsteorin, för vilka huvudsakligen styr investeringsbesluten. Studien behandlar också portföljvalsteori då detta är en av de bakomliggande teorierna för fondförvaltning och dess uppkomst. Syftet med denna studie är förklara om de etiska begränsningar i urvalet av värdepapper påverkar risk och avkastning i fondportföljen. I studien kommer en positivistisk forskningssats användas samt en kvantitativ metod. Metoden innefattar en del beräkningar och ekvationer som används och som presenteras. Studien pekar på att de etiska fonderna faktiskt levererar en bättre  riskjusterad  excessavkastning än sitt jämförelseindex på den svenska marknaden. Den visar också tendenser att de etiska fonderna levererar en bättre excessavkastning än de fonderna utan etiska preferenser. Vidare kommer studien fram till att det inte kan påvisas någon statistisk skillnad mellan de etiska fonderna och jämförelseindexet vad det gäller risken i investeringar. En begränsning med studien är att undersökningen huvudsakligen innefattar den svenska marknaden med svenska företagsaktörer. Detta gör att det kan finns behov av forskning på en global marknad där även de kulturella aspekterna behöver bejakas. Eftersom det tidigare har varit ganska oklart vad det gäller etiska fondernas prestanda på den svenska marknaden, och i en tid då efterfrågan på etiska urvalet ökar, är målet med denna studie att bringa klarhet om etiska fonders prestation.

Syfte: Studera sju portföljer och notera den bästa typen av portfölj med högst avkastning till lägst risk. Metod: Sekundärdata är grunden för uträkning av samtliga portföljers avkastningar, risker och korrelation. Studien är deduktiv med kvantitativa inslag av kända teorier av nobelpristagare i ekonomisk vetenskap.  Slutsats: Studien visar att stora bolag i olika branscher är ett vinnande portföljinnehåll för denna studie. Stora bolags aktier har visat högre avkastning till lägre risk jämfört med små bolag under studiens tid då ekonomiska kriser drabbade marknaden. Den mest presterande portföljen var därför storbolagsportföljen. Vidare forskning: Längre tidsperspektiv och nya teorier som Jensens alfa samt Treynorkvot är av intresse för vidare forskning för att styrka vår slutsats. / Intention: To study seven portfolios and note the best type of portfolio with the maximum return at a minimum risk. Method: Secondary data is the basis for calculation of the total portfolio returns, risk and correlation. This study is deductive based using a quantitative method of world-known theories of Nobel laureates in economic sciences. Conclusion: The study shows that the best efficient portfolio contains large companies in different lines of business. Large companies' shares have higher returns at lower risk compared to small companies in circumstances to difficult economic situations globally. The best performed portfolio was the portfolio with large companies.                                       Further Research: Longer period of time study and a study of new theories such as Jensens Alfa and Tretnor ratio would be interesting for further research.

Problem: Do ethical investments perform better than conventional investments? Purpose: To evaluate whether Shariah-compliant indexes and/or socially responsible indexes can improve financial performance of an investment portfolio. Sub-problem: What kind of relationship exists between socially responsible investments and faith-based investments, represented by Shariah-compliant investments? Sub-purpose: To discover how two types of ethical investments, socially-responsible and Shariah-compliant, are related. Method: Quantitative study, covering three types of investment styles of four index families during the period from 2000 until 2011. Financial performance evaluation through the Sharpe ratio, Treynor ratio and Jensen’s alpha. Conclusions: Conventional, socially responsible, and Shariah-compliant indexes do not have any significant differences in financial performance on a global basis. However, Shariah-compliant indexes could slightly over-perform conventional and socially responsible indexes during financial downturns. In the same time socially responsible indexes were noticed to be the most volatile during the whole period of study, to compare with conventional and Shariah-compliant. Regarding relationships, high correlations were found between ethical indexes, as well as between ethical and conventional indexes.

Magistro baigiamajame darbe išanalizuoti ir įvertinti Lietuvos II pakopos pensijų fondų investicijų grąžos pokyčiai verslo cikluose, iškelta fondo pasirinkimo problema bei pateikti siūlymai kaip šią problemą spręsti pensijų fondų dalyviams. Pirmoje darbo dalyje teoriniu aspektu analizuojama Lietuvos pensijų sistema, pateikiami teigiami ir neigiami kaupiamųjų fondų aspektai ir pateikiama verslo ciklų samprata. Antroje dalyje atliekama II pakopos pensijų fondų metinėse ataskaitose skelbiamų rodiklių analizė, nagrinėjami dažniausiai mokslinėje literatūroje sutinkami pensijų fondų vertinimo metodai bei pateikiamas darbo tyrimo modelis ir apibrėžiama darbo eiga. Trečioje dalyje pateikiama trumpa 2013 metų pabaigoje veiklą vykdžiusių II pakopos pensijų fondų apžvalga ir panaudojant Šarpo metodiką bei kitus pagrindinius fondų vertinimo kriterijus yra atrenkami efektyviausiai valdomi skirtingų strategijų pensijų fondai. Identifikavus verslo ciklus Lietuvoje, atliekama efektyviausiai valdomų skirtingų strategijų pensijų fondų investicijų grąžos analizė kiekvienoje verslo ciklo fazėje. Atliekama techninė analizė ir sudaromos tiesinės daugianarės regresijos lygtys, naudojamos prognozuoti investicijų grąžos pokyčius remiantis faktiniais fondų apskaitos vienetų vertės pokyčiais ir makroekonominiais rodikliais. / Master's Work analyzed and evaluated Lithuanian pillar II pension funds return on investment changes in business cycles, a series of suggestions is given for pension funds participants how to solve the problem of pension fund selection. The first part examines theoretical aspect of Lithuanian pension system, an overview of its positive and negative aspects and defined concept of business cycles. In second section analyzed indicators provided in the annual reports of pillar II pension funds, mostly encountered pension fund valuation methods in the scientific literature and workflow is defined. The third part present short review of Lithuanian pillar II pension funds which operated in 2013 and using Sharpe methodology and other most important valuation methods are selected efficiently managed by different strategies of pension funds. After identification of the business cycles in Lithuania, carried out in most effectively managed, by different strategies of pension funds, the return on investment analysis for each phase of the business cycle Technical analysis and the straight multiple regression equations used to predict changes in investment return based on the actual value of the fund units of accounting changes and macroeconomic indicators.

Made available in DSpace on 2009-11-18T19:01:04Z (GMT). No. of bitstreams: 1 ACF189.pdf: 1048760 bytes, checksum: 6056ed3b4b46f5ee586cfd69fdbc22bf (MD5) Previous issue date: 2007 / This research evaluated the quality of the management of Brazilian stock funds on the period from January 1997 to October 2006. The analysis was based on the Modern Portfolio Theory measures of performance. In addition, this research evaluated the relevance of the performance measures The sample with 21 funds was extracted from the 126 largest Brasilian stock options funds because they were the only with quotas on the whole period. The monthly mean rate of return and the following indexes were calculated: total return, mean monthly return, Jensen Index, Treynor Index, Sharpe Index, Sortino Index, Market Timing and the Mean Quadratic Error. The initial analysis showed that the funds in the sample had different objectives and limitations. To make valuable comparisons, the ANBID (National Association of Investment Banks) categories were used to classify the funds. The measured results were ranked. The positions of the funds on the rankings based on the mean monthly return and the indexes of Jensen, Treynor, Sortino and Sharpe were similar. All of the ten ACTIVE funds of this research were above the benchmark (IBOVESPA index) in the measures above. Based on the CAPM, the managers of these funds got superior performance because they might have compiled the available information in a superior way. The six funds belonging to the ANBID classification of INDEXED got the first six positions in the ranking based on the Mean Quadratic Error. None of the researched funds have shown market timing skills to move the beta of their portfolios in the right direction to take the benefit of the market movements, at the significance level of 5%. / Esta pesquisa analisou a qualidade da gestão dos fundos de ações brasileiros através da análise do desempenho obtido por eles no período de janeiro de 1997 a outubro de 2006. A análise foi feita com base na Teoria Moderna das Carteiras. Ela analisou também a aplicação dos critérios de desempenho na medida do desempenho deles. A amostra de 21 fundos foi selecionada do universo composto pelos 126 maiores fundos de aços Brasileiros. Os seguintes critérios de desempenho foram calculados a partir das cotas mensais dos fundos: retorno absoluto, retorno Médio Mensal, Índice de Jensen, Índice de Treynor, Índice de Sharpe, Índice de Sortino, capacidade de prever os movimentos do mercad (Market Timing) e o Erro Quadrático Médio. A análise dos dados começou com a classificação dos fundos de acordo com os tipos ANBID, pois os objetivos e as limitações dos fundos da amostra não eram homogêneos. Posteriormente, os resultados obtidos nas medições de desempenho foram ordenados em rankings e analisados. Dez dos 21 fundos da amostra, todos ativos, tiveram desempenho superior ao mercado (representado pelo IBOVESPA) nos critérios do retorno médio mensal e nos Índices de Jensen, Treynor, Sortino e Sharpe. De acordo com o CAPM, esses gestores devem ter compilado as informações disponíveis de uma forma superior, e por isso, conseguiram um desempenho superior ao mercado. Os seis fundos da categoria IBOVESPA INDEXADO ficaram com as seis primeiras posições na calcificação pelo Erro Quadrático Médio, o que já era esperado, pois a missão desses fundos é reproduzir o retorno do índice. Nenhum dos gestores dos 21 fundos demonstrou ter capacidade de prever o movimento do mercado (Market Timing), ao nível de significância de 5%, e movimentar o beta de sua carteira na direção correta a fim de maximizar o retorno do investidor.

The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. The leverage of the investment is determined by a conditional expectation estimate of the number of portfolio assets of the next-coming day. A moving window is used to historically measure the transition probabilities of moving from one state to another within this stochastic count process and this is used as an input to the estimator. It is found that the most accurate estimate is the actual trading day’s number of portfolio assets and this is obtained when the size of the moving window is one. Increasing the penalty parameter on transaction costs of selling and buying assets between trading days lowers the aggregated transaction cost and increases the performance of the optimal-weighted portfolio considerably. The best portfolio performance is obtained when at least 50% of the capital is invested equally among the assets when maximizing the modified Sharpe ratio. The optimal-weighted and equal-weighted portfolios are constructed on a daily basis, where the allowed VaR0:05 is €300 000 for each portfolio. This sets the limit on the amount of capital allowed to be invested each trading day, and is determined by empirical VaR0:05 simulations of these two portfolios.

If more people are starting to invest, then the focus on the effective markethypothesis will increase. The hypothesis's basic idea is that stock pricesalready reflect all available information and outperforming the marketthrough investment strategies is not possible. This study presents how twoinvestment strategies, CAN SLIM and Peter Lynch, has performed on andagainst the S&P 500 under a 10 year period. The result of the study showsthat the efficient market hypothesis does not hold and that an excess returncompared to the market is possible. Between the investment strategies therewas a comparison and analysis regarding the Sharpe ratio and the CapitalAsset Pricing Model. Conclusively, the study shows that CAN SLIM is thestrategy that has performed the best under the period that the study is basedon.

Under de senaste åren har investeringsintresset ökat kraftigt, och i synnerhet intresset för att investera i fonder. Detta medför en problematik då valet att investera i aktivt eller passivt förvaltade fonder inte är självklart. Tidigare studier pekar åt olika håll när det kommer till detta dilemma. Syftet med denna studie är att undersöka vilken förvaltningsstrategi som har gett mest avkastning i förhållande till den tagna risken och avgiften. Då marknaden under de senaste åren har varit volatil ger detta mer relevans till studiens syfte. Studiens valda tidsperiod sträcker sig mellan 2017-04-21 och 2022-04-21. För att vidare undersöka om det lönar sig att investera i aktivt förvaltade fonder med högre avgift, formuleras två hypoteser. Studien undersöker ett urval på totalt 110 aktivt och passivt förvaltade svenska aktiefonder som enbart är exponerade mot svenska bolag.           Studiens resultat av de två förvaltningsstrategiernas genomsnittliga prestations- och riskmått skiljer sig inte avsevärt gentemot varandra. Studiens resultat pekar på att indexfonderna har presterat marginellt bättre än de aktivt förvaltade fonderna och i genomsnitt har dessa gett högst avkastning till lägst tagen risk. Studiens båda hypoteser förkastades då samtliga korrelationskoefficienter påvisade svaga icke-samband samt att de inte var signifikanta på en 5% signifikansnivå. Sammanfattningsvis medför en högre avgift nödvändigtvis inte en högre avkastning eller riskjusterad avkastning. / In the recent years, the interest in investing on the stock market has increased sharply, and in particular the interest to invest in funds. This entails a problem as the choice to invest in actively or passively managed funds is not self-evident. Previous studies point in different directions when it comes to this dilemma. The purpose of this study is to examine which management strategy has given the most return in relation to the risk and the fee. As the market in recent years has been volatile, this gives the purpose of why this study is relevant. This study's investigates the market from 2017-04-21 and 2022-04-21. To further investigate whether it is profitable to invest in actively managed funds with a higher fee compared to index funds, two hypotheses are formulated. The study investigates a sample of 110 actively and passive managed Swedish equity funds that are only exposed to Swedish companies.  The conclusion of the performance and risk measures of the two management strategies do not differ significantly from each other. Marginally the result of this study indicates that the index funds have an average higher return at the lowest risk. Both hypotheses of this study were rejected when all correlation coefficients showed weak non-correlations and that they were not significant at a 5% significance level. In summary, a higher fee does not necessarily lead to a higher return or a higher risk-adjusted return.

There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. Therecent launch of the MSCI Climate Paris Aligned Indices (CPAI) aim to illustrate thedevelopment of an economy that is in line with the requirements and goals of the ParisAgreement from 2015. In this research we aim to find out whether the MSCI Europe,USA and EM Climate Paris Aligned Indices outperform their parent indices. We do thisby comparing performance measures such as the net return, standard deviation of netreturns and Sharpe ratio. We further conduct an ordinary least squares regression to testwhether the betas and Jensen´s alphas of the CPAI differ significantly from their parentindices.The results show that only the USA CPAI clearly outperforms its parent index. This isdue to it having a higher Sharpe Ratio and Jensen’s alpha as well as higher monthly netreturns and a lower standard deviation compared to its parent index. The regressionshows that it does perform better than the parent index. The results for the EM CPAIshow that it performs in a similar way as its parent index. It has a higher monthly netreturn but also slightly higher standard deviation which leads to an equally large Sharperatio. Neither the estimated Jensen’s alpha nor the beta are significantly different fromthose of its parent index and thus the hypothesis of it performing equally as well as itsparent index cannot not be rejected. Lastly, the Europe CPAI has a higher Sharpe ratio,Jensen’s alpha and monthly net returns than its parent index, but it also exhibits a higherstandard deviation. The regression indicated that it performs in a similar way as itsparent index, no difference could be proven. In conclusion, this means that all CPAIperform at least equally as well as their parent indices, if not better.

This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.