Bakgrund: Historiskt har många faktorer spelat roll för investerare vid val av investering, framförallt betydande har varit faktorerna finansiell prestation och finansiella prognoser. Under de senaste åren har en rad nya faktorer tagit mer plats och ESG-faktorer har blivit några av de viktigaste aspekterna, både för investerare och andra intressenter. ESG står för Environmental, Social och Governance och är ett mått på investeringens hållbarhet. Även om det ofta diskuteras om ESG som ett helhetsbetyg, så är det mer sällan man diskuterar varje kriterium var för sig. I denna studie har E, S och G separerats för att undersöka om det är hållbarhet inom ett visst område som är mer gynnsamt än ett annat för att uppnå högst riskjusterad avkastning. Syfte: Syftet med denna studie är att undersöka vilket kriterium av E, S och G som genererar högst riskjusterad avkastning på OMXSPI. Metod: Studien har en deduktiv forskningsansats och grundas på en kvantitativ undersökningsmetod. All data har inhämtats från Refinitiv Eikon och man har sedan använt statistiska metoder och skapat regressionsanalyser för att undersöka variablernas samband. Variabeln som används för att mäta riskjusterad avkastning är sharpekvoten. Slutsats: Resultatet av denna studie visar att det finns ett statistiskt säkerställt positivt samband mellan betyget för S året 2018 och riskjusterad avkastning. Resterande år och kriterium finns det både positiva och negativa samband, men inget av dessa är signifikanta. / Background: Historically, many factors have played a role for investors when making decisions about an investment, especially significant have been the factors regarding financial performance and financial forecasts. In recent years, a number of new factors have become important, such as ESG factors. Those have become some of the most important aspects, both for investors and other stakeholders. ESG stands for Environmental, Social and Governance and is a measure of the sustainability of an investment. Although ESG often is discussed as an overall rating, it is less common to discuss each criterion separately. In this study, E, S and G have been separated to investigate whether sustainability focus in one specific area is more favorable than another to achieve the highest risk-adjusted return. Purpose: The purpose of this study is to investigate which criterion of E, S and G that generates the highest risk-adjusted return on OMXSPI. Methodology: The study has a deductive research approach and is based on a quantitative research method. All data were obtained from Refinitiv Eikon and statistical methods with regression analysis were created to investigate the relationship of the variables. The variable used to measure risk-adjusted return is the sharpe ratio. Conclusion: The results of this study show that there is a statistically significant positive relationship between the grade for S year 2018 and risk-adjusted return. The remaining years and criteria have both positive and negative relationships, but none of these are significant.

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.

Sustainability has become a major societal trend and interest in sustainable investments has increased among investors. The purpose of this study is to investigate how sustainability affects Swedish funds' returns and risk. Since research on the impact of sustainability on funds focuses mostly on investments outside Sweden, this study has limited itself to Swedish funds to fill the gap in research. The study analyzes 67 Swedish funds during 2015-2019 using various models such as CAPM, Fama-French three-factor model and Sharpe ratio. Furthermore, the funds' sustainability is measured using Morningstar's sustainability rating. Results show no signs of linear regression between sustainability and results from different models and the results of the study are not statistically significant. Thus, the study concludes that it is not sustainability that affects risk and return among the Swedish funds, but there may be other factors that have not been taken into account in this study. However, previous research shows that sustainable funds perform better and are more stable during times of crisis. This study has not examined the Swedish funds during times of crisis, but this may be an interesting topic for future research. / Hållbarhet har blivit en stor samhällstrend och intresset för hållbara investeringar har ökat bland investerare. Syftet med denna studie är att undersöka hur hållbarhet påverkar Sverigefonders avkastning och risk. Eftersom forskning kring hållbarhetens påverkan på fonder fokuserar mestadels på investeringar utanför Sverige har denna studie avgränsat sig till Sverigefonder för att fylla luckan i forskningen. Studien analyserar 67 Sverigefonder under 2015-2019 med hjälp av olika modeller såsom CAPM, Fama-French trefaktormodell och Sharpekvot. Vidare mäts fondernas hållbarhet med hjälp av Morningstar hållbarhetsbetyg. Resultat visar inga tecken på linjär regression mellan hållbarhet och resultat från olika modeller samt studiens resultat är inte statistiskt signifikanta. Därmed är studiens slutsats att det inte är hållbarhet som påverkar på risk och avkastning bland Sverigefonderna utan det kan vara andra faktorer som inte tagits hänsyn till i denna studie. Däremot visar tidigare forskning att hållbara fonder presterar bättre och är mer stabila under kristider. Denna studie har inte undersökt Sverigefonderna under kristider men detta kan vara ett intressant ämne för framtida forskning.

Studien syftar till att undersöka vilken förvaltningsstrategi som är bäst, fonders prestation genom olika ekonomiska förhållanden samt persistens på den svenska fondmarknaden. Huvudsyftet är att undersöka om fonders föregående prestation kan användas för att förutsäga framtida avkastning. Genom att använda etablerade mått på förvaltningsprestation som Jensens Alfa, Sharpekvoten och Modiglianis riskjusterad prestation (𝑀2) jämförs fonders prestation. För att identifiera persistens jämförs fondernas avkastning med medianavkastning under en specifik period. Genom statistiska tester i form av Oddskvot, Chi-två-test och regressionsanalys fördjupas studien ytterligare. Resultaten från studien visar enskilda fall av persistens, men inga konsekventa mönster kan utläsas för alla fonder. Slutsatsen från studien är att det inte går att slå fast en överlägsen förvaltningsstrategi. Slutsatsen indikerar även att det inte finns några signifikanta indikationer på att det går att förutspå framtida avkastning utifrån föregående tidsperiods avkastning. / The study investigates which management strategy is superior, funds’ performance across different economic conditions and persistence in the Swedish fund market. The main objective is to examine whether past fund performance can be utilized to predict future returns. Through using established performance measures such as Jensen’s Alpha, The Sharpe Ratio and Modigliani’s risk- adjusted performance (𝑀2), we compare fund performance. To identify persistence, funds’ returns are compared with median returns over a specific period. Through statistical tests such as Odds Ratio, Chi-square test and regression analysis, the study is further elaborated. The results of the study reveal isolated instances of persistence, but no consistent patterns can be discerned across all funds. The conclusion drawn from the study is that no superior management strategy can be definitively established. Additionally, the findings suggest no significant indications that past period returns can predict future returns.

The main objective of the study was to determine the exchange rate volatility regime for carry trade profitability when using the South African Rand as the target currency. The study used the Logistic Smooth Transition Regression (LSTR) model to test the uncovered interest rate parity (UIP). The Sharpe ratio and the risk adjusted forward premium were used as the transition variables. The transition variable is a function of the transition function, which is used to determine the regime for the UIP. The LSTR model is characterised by three regimes, i.e. the lower regime, the middle regime and the upper regime. The LSTR model was tested for the short-term forward rate maturity of less than one year. The results show that the UIP hypothesis holds in the middle regime for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable. Meanwhile, the UIP hypothesis does not hold for the Rand/Yen when using the Sharpe ratio as the transition variable for the forward rate maturity of one month, and it does hold for other short-term forward rate maturity of less than one year. The results for the risk adjusted forward premium as the transition variable show that the UIP hypothesis does not hold for all three currencies at various short-term forward rate maturities of less than one year. The research provides the following contributions to new knowledge: (1) Uncovered interest parity hypothesis holds in the middle regime for all periods for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable with a short-term forward rate maturity of less than one year. (2) Currency carry trade profit taking for the Rand/USD and the Rand/GBP can be achieved in the upper regime. (3) The results for the Rand/Yen are mixed, in that the UIP hypothesis does not hold for other crisis periods as a result of negative Sharpe ratios. However, for the calm periods, UIP hypothesis holds in the middle regime for the Rand/Yen for short-term forward rate maturity of more than one month but less than one year when using the Sharpe ratio as the transition variable. The overall contribution of this study is that for the South African Rand as the target currency, the UIP hypothesis holds for the short-term horizon when using the Sharpe ratio as the transition variable and that this mostly depends more on currency than on horizon. Contrary to other researchers who found that the UIP holds in the long-term maturity with higher Sharpe ratios in the upper regime, this study proved that the UIP holds in the short-term maturity horizon. / Business Management / D.B.L.

The main objective of the study was to determine the exchange rate volatility regime for carry trade profitability when using the South African Rand as the target currency. The study used the Logistic Smooth Transition Regression (LSTR) model to test the uncovered interest rate parity (UIP). The Sharpe ratio and the risk adjusted forward premium were used as the transition variables. The transition variable is a function of the transition function, which is used to determine the regime for the UIP. The LSTR model is characterised by three regimes, i.e. the lower regime, the middle regime and the upper regime. The LSTR model was tested for the short-term forward rate maturity of less than one year. The results show that the UIP hypothesis holds in the middle regime for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable. Meanwhile, the UIP hypothesis does not hold for the Rand/Yen when using the Sharpe ratio as the transition variable for the forward rate maturity of one month, and it does hold for other short-term forward rate maturity of less than one year. The results for the risk adjusted forward premium as the transition variable show that the UIP hypothesis does not hold for all three currencies at various short-term forward rate maturities of less than one year. The research provides the following contributions to new knowledge: (1) Uncovered interest parity hypothesis holds in the middle regime for all periods for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable with a short-term forward rate maturity of less than one year. (2) Currency carry trade profit taking for the Rand/USD and the Rand/GBP can be achieved in the upper regime. (3) The results for the Rand/Yen are mixed, in that the UIP hypothesis does not hold for other crisis periods as a result of negative Sharpe ratios. However, for the calm periods, UIP hypothesis holds in the middle regime for the Rand/Yen for short-term forward rate maturity of more than one month but less than one year when using the Sharpe ratio as the transition variable. The overall contribution of this study is that for the South African Rand as the target currency, the UIP hypothesis holds for the short-term horizon when using the Sharpe ratio as the transition variable and that this mostly depends more on currency than on horizon. Contrary to other researchers who found that the UIP holds in the long-term maturity with higher Sharpe ratios in the upper regime, this study proved that the UIP holds in the short-term maturity horizon. / Business Management / D.B.L.

本研究中，我們計算OGA演化投資策略在五類時間數列模型上之表現，這五類模型分別是線性模型、雙線性模型、自迴歸條件異質變異數模型、門檻模型以及混沌模型。我們選擇獲勝機率、累積報酬率、夏普比例以及幸運係數做為評斷表現之準則，並分別推導出其漸近統計檢定。有別於一般計算智慧在財務工程上之應用，利用蒙地卡羅模擬法，研究中將對各表現準則提出嚴格之統計檢定結果。同時在實証研究中，我們考慮歐元兌美元及美元兌日圓的tick-by-tick匯率資料。故本研究主要的重點之一，乃是對於OGA演化投資策略，於這些模擬及實証資料上的有效性應用，作了深入且廣泛的探討。 / In this study, the performance of ordinary GA-based trading strategies are evaluated under five classes of time series model, namely, linear ARMA model, bilinear model, ARCH model, threshold model and chaotic model. The performance criteria employed are the winning probability, accumulated returns, Sharpe ratio and luck coefficient. We then provide the asymptotic statistical tests for these criteria. Unlike many existing applications of computational intelligence in financial engineering, for each performance criterion, we provide a rigorous statistical results based on Monte Carlo simulation. In the empirical study, two tick-by-tick foreign exchange rates are also considered, namely, EUR/USD and USD/JPY. As a result, this study provides us with a thorough understanding about the effectiveness of ordinary GA for evolving trading strategies under these artificial and natural time series data.

隨著我國壽險業資產比率快速增加，投資績效不但影響眾多保戶的權益，更影響整體經濟之安定，但面臨現今全球金融和經濟環境劇烈動盪，加上壽險同業間激烈競爭的情況，我國壽險公司如何訂定投資策略做好資產配置，對壽險公司的營運健全而言相當重要。現行保險法第一百四十六條限制壽險公司的投資上限，但法令限制對壽險公司資產配置的影響為何，本研究將透過Markowitz的平均數－變異數投資組合模式對我國整體壽險業及國泰人壽、南山人壽、新光人壽及富邦人壽探討之；並以夏普指數、崔納指數及詹森指數，評估上述四家壽險公司之資金運用績效；另藉由分析壽險業之資金成本是否低於實際投資率，以達成研究壽險業長期資產配置之穩健度。 本研究主要結論如下：1.運用Markowitz 投資組合模型所推導出的效率前緣，以最大Sharpe Measure評估，不受法令限制下所建立之最佳投資組合，較有受法令限制下所建立之最佳投資組合的期望報酬率高，且分散風險的效果較佳。2.整體壽險業及前四大壽險公司之實際投資報酬率皆低於其實際投資組合之期望報酬，顯示壽險業於資金運用的靈活度及績效性有改善的空間。3.以績效評估指標求出前四大壽險公司的資金運用績效，發現新光人壽在此三項評估指標皆位居最後；國泰人壽在評估中皆名列前茅。4.新光人壽的平均實際報酬率低於平均資金成本，應控管好資金成本並加強投資組合之績效；富邦人壽平均實際報酬率高過平均資金成本最多，顯示富邦人壽在資金成本控管及投資績效有良好之表現。整體壽險業的實際報酬率亦高於平均資金成本，顯示我國壽險業於營運狀況正常。 / With the life insurance companies’ assets ratio rapidly increasing, the investment performances affect not only the right of a number of policy holders, but also affect the economic stability. However, facing the dynamic global financial and economic environment and the keen competition in the domestic life insurance industry, the life insurance companies need to adopt the proper investment strategy. Law of Insurance 146th p restricts the investment upper limit of the life insurance company. This research will use Markowitz MV model to discuss the influence of this investment restriction on life insurance companies’ asset allocation by the samples of Life industry, Cathay Life Insurance, Nan Shan Life Insurance, Shin Kong Life Insurance, and Fubon Life Insurance, and evaluate the performances of these four life insurance companies by Sharpe ratio, Treynor ratio, and Jensen’s measure. This research also analyze the cost of capital and real rate of return of these companies to examine the stability of life insurance industry’s long term asset allocation. The conclusions of this research are as follows: 1.Evaluated by the Markowitz efficient frontier and the Sharpe measure, there is the higher expected rate of return and better diversification with no investment restriction. 2.The actual rates of return of the life insurance industry and the above four life insurance companies are below the expected rates of returns of their portfolio evaluated be the Sharpe measure, which means the life insurance industry need to prove their capital allocation. 3. Comparing the performance of the life insurance companies by the performance indicator, we find the then Shin Kong Life Insurance is the last, while Cathay Life Insurance has a good score. 4. We also find the real rate of return of Shin Kong Life Insurance is lower than its cost of capital, which means Shin Kong Life Insurance need to adjust its cost of capital and the investment performance. Meanwhile, Fubon Life Insurance is the excellent in controlling the cost of capital and investment. The real rate of return of the Life insurance industry is higher than its cost of capital, and that shows the Life insurance industry has normal operation.

國內壽險公司面臨資金不斷累積與同業間激烈競爭，加上全球經濟動盪不安，國際金融偶有黑天鵝事件發生，尤以2008年金融海嘯重創全球產業為最，壽險業亦難以倖免，肇致壽險業者經營益顯艱困。因此，為維繫公司永續經營，規劃長期財務穩健性至關重要。是故，如何訂定投資策略與妥適資產配置，並兼顧風險管理，為當前壽險公司重要課題。 本研究分析郵政壽險資產配置行為，歸納影響公司資產配置之內、外在因素，例如流動性風險、利率風險、信用風險、資本適足率、匯率風險及法令規範等因素，皆影響資產配置策略。另為建構最佳資產配置，提升獲利，逐步改善財務結構，在現行法令限制下，運用Markowitz之投資組合理論為分析工具，導出效率前緣線，再運用夏普指標績效分析，來建立最佳投資組合。 另外分析壽險公司必須正視未來「國際會計準則」（International Financial Reporting Standards, IFRS）IFRS 4第二階段適用公平價值評估負債，利差損問題會更加嚴重，對業務發展與負債評價將產生巨大衝擊。尤其我國壽險業發行商品大都以長年期終身險為主，若壽險商品負債評價與資產不一致時，其缺口將因利率變化影響損益波動。 / Abstract Domestic life insurers are in a challenging environment with increasing asset size to manage and fierce competition within the industry. Moreover, the world economy is going down a bumpy path. Every now and then in the global financial system, we encounter a black swan event. Among them, the financial tsunami of 2008 hit global industries most severely. The financial tsunami of 2008 also left life insurers having an increasingly difficult time running the business. It is crucial to have sound long-term financial plans in order to ensure business sustainability. Therefore, how to form an investment strategy, determine asset allocation and manage risks at the same time becomes a critical issue for life insurers. The research studies the asset allocation behavior of Chunghwa Post insurance sector and lists both the internal and the external factors affecting asset allocation. Factors like liquidity risk, interest rate risk, credit risk, capital adequacy, currency risk and regulations all have some influence on the asset allocation strategy. Meanwhile, the research constructs efficient frontier with Markowitz Portfolio Theory and adopts Sharpe ratio as the performance measure to build an optimal portfolio under current regulations with the goal of optimizing asset allocation, boosting profits and gradually improving the financial structure. The research also studies the tremendous impact of IFRS 4 on business development and liability valuation of life insurance companies. The implementation of IFRS 4 Phase II will require fair value measurement of liabilities, which will exacerbate the negative interest spread problem. When the liability valuation approach of insurance products is not in line with asset valuation, the gap will intensify the income fluctuations from interest rate movements, especially for domestic life insurers whose main products are long-term whole life policies.

The thesis consists of four chapters. The introductory chapter clarifies different notions of rationality used by economists and gives a summary of the remainder of the thesis. Chapter 2 proposes an explanation for the common empirical observation of the coexistence of infrequently-changing regular price ceilings and promotion-like price patterns. The results derive from enriching an otherwise standard, albeit stylized, general equilibrium model with two elements. First, the consumer-producer interaction is modeled in the spirit of the price dispersion literature, by introducing oligopolistic markets, consumer search costs and heterogeneity. Second, consumers are assumed to be boundedly-rational: In order to incorporate new information about the general price level, they have to incur a small cognitive cost. The decision whether to re-optimize or act according to the obsolete knowledge about prices is itself a result of optimization. It is shown that in this economy, individual retail prices are capped below the monopoly price, but are otherwise flexible. Moreover, they have the following three properties: 1) An individual price has a positive probability of being equal to the ceiling. 2) Prices have a tendency to fall below the ceiling and then be reset back to the cap value. 3) The ceiling remains constant for extended time intervals even when the mean rate of inflation is positive. Properties 1) and 2) can be associated with promotions and properties 1) and 3) imply the emergence of nominal price rigidity. The results do not rely on any type of direct costs of price adjustment. Instead, price stickiness derives from frictions on the consumers’ side of the market, in line with the results of several managerial surveys. It is shown that the developed theory, compared to the classic menu costs-based approach, does better in matching the stylized facts about the reaction of individual prices to inflation. In terms of quantitative assessment, the model, when calibrated to realistic parameter values, produces median price ceiling durations that match values reported in empirical studies.<p><p>The starting point of the essay in Chapter 3 is the observation that the baseline New-Keynesian model, which relies solely on the notion of infrequent price adjustment, cannot account for the observed degree of inflation sluggishness. Therefore, it is a common practice among macro- modelers to introduce an ad hoc additional source of persistence to their models, by assuming that price setters, when adjusting a price of their product, do not set it equal to its unobserved individual optimal level, but instead catch up with the optimal price only gradually. In the paper, a model of incomplete adjustment is built which allows for explicitly testing whether price-setters adjust to the shocks to the unobserved optimal price only gradually and, if so, measure the speed of the catching up process. According to the author, a similar test has not been performed before. It is found that new prices do not generally match their estimated optimal level. However, only in some sectors, e.g. for some industrial goods and services, prices adjust to this level gradually, which should add to the aggregate inflation sluggishness. In other sectors, particularly food, price-setters seem to overreact to shocks, with new prices overshooting the optimal level. These sectors are likely to contribute to decreasing the aggregate inflation sluggishness. Overall, these findings are consistent with the view that price-setters are boundedly-rational. However, they do not provide clear-cut support for the existence of an additional source of inflation persistence due to gradual individual price adjustment. Instead, they suggest that general equilibrium macroeconomic models may need to include at least two types of production sectors, characterized by a contrasting behavior of price-setters. An additional finding stemming from this work is that the idiosyncratic component of the optimal individual price is well approximated by a random walk. This is in line with the assumptions maintained in most of the theoretical literature. <p><p>Chapter 4 of the thesis has been co-authored by Julia Lendvai. In this paper a full-fledged production economy model with Kahneman and Tversky’s Prospect Theory features is constructed. The agents’ objective function is assumed to be a weighted sum of the usual utility over consumption and leisure and the utility over relative changes of agents’ wealth. It is also assumed that agents are loss-averse: They are more sensitive to wealth losses than to gains. Apart from the changes in the utility, the model is set-up in a standard Real Business Cycle framework. The authors study prices of stocks and risk-free bonds in this economy. Their work shows that under plausible parameterizations of the objective function, the model is able to explain a wide set of unconditional asset return moments, including the mean return on risk-free bonds, equity premium and the Sharpe Ratio. When the degree of loss aversion in the model is additionally assumed to be state-dependent, the model also produces countercyclical risk premia. This helps it match an array of conditional moments and in particular the predictability pattern of stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished