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.

På senare år har intresset för hållbarhet ökat i samhället. Allt fler vill bidra till samhället på ett positivt sätt genom att exempelvis källsortera, åka mindre bil eller minska på köttkonsumtionen. I och med det ökade intresset för hållbarhet, har även intresset för hållbara investeringsalternativ ökat. Studiens syfte är att undersöka sambandet mellan graden av hållbarhet och prestation hos fonder på den svenska fondmarknaden. Detta är en kvantitativ studie där totalt 32 svenskregistrerade fonder undersöks. Fonderna valdes ut från Morningstars onlineregister och jämfördes utifrån de fem hållbarhetsbetygen, där betyg 1 anses vara minst hållbart och betyg 5 är mest hållbart. Perioden som analyserades var 2015-01-01 till 2019-12-31. För att få fram ett resultat som kan besvara studiens frågeställningar användes faktisk avkastning, CAPM, Sharpekvot, Jensens alfa och Treynorkvot. Studien visar inte på några signifikanta resultat i att fonder presterar sämre desto hållbarare de är. Detta leder till slutsatsen att det inte går att bevisa att hållbara fonder presterar bättre eller sämre än konventionella fonder. / In later years, the interest for sustainability has increased in society. More and more people want to contribute to society in a positive way by for example, sorting at source, driving less with cars or reducing meat consumption. With the increased interest in sustainability, the interest in sustainable investment alternatives has also increased. The purpose of the study is to investigate the relationship between the degree of sustainability and performance of funds in the Swedish fund market. This is a quantitative study in which a total of 32 Swedish-registrered funds are examined. The funds were selected from Morningstar’s online register and compared on the basis of the five sustainability ratings, where grade 1 is considered as the least sustainable and grade 5 is the most sustainable. The period that was analyzed was 2015-01-01 to 2019-12-31. In order to get a result that can answer the questions of this study, actual return, CAPM, Sharpe ratio, Jensen’s alpha and Treynor ratio are used. The study does not show any significant results regarding the degree of sustainability and the performance. The conclusion regarding whether sustainable funds perform better or worse than conventional funds cannot be established.

Sweden is one of the countries in the world where investing in mutual funds is most prevalent among the population. The supply of funds in the market has increased significantly in recent decades as well as the public debate on ethical issues. This has contributed to the development of the market for ethical funds. There is no clear definition of what an ethical fund is but generally it is a fund that takes into account factors related to social responsibility in different ways. This study analyzes the ethical funds historical performance levels in comparison with the corresponding traditional mutual funds. Three questions have been answered with the help of quantitative and qualitative analysis. A computational model has been constructed in Excel to analyze historical data from a range of ethical funds and traditional mutual funds. The results of the calculations are the basis for the quantitative portion of the analysis. These have been supplemented by external expertise. The effects, which the commodity prices have had on the yield differences between traditional and ethical funds, have also been studied. In this study, the price of oil has been chosen to illustrate these effects. It is not possible to reliably reach any general conclusions about how ethical funds as a fund category have performed in comparison with the corresponding traditional mutual funds. However, a pattern is observed, that the risk levels for the selected ethical funds, during the periods studied when the market went sharply up or down, respectively, were higher in all cases. The reason for this seems to be the diversification problems that have arisen due to the ethical constraints, something that both the underlying theory on the subject and the discussion with one of Swedbank Roburs portfolio manager’s support. The increased level of risk has contributed to the fact that ethical funds have found it harder to reach an equivalent risk-adjusted rate of return when the bull and the bear markets were examined. / Sverige är ett av de länder i världen där sparandet i fonder är som mest utbrett bland befolkningen. Utbudet av fonder på marknaden har ökat markant de senaste decennierna och i takt med att samhällsdebatten kring etiska frågor ökat, har en ny marknad vuxit fram, marknaden för etiska fonder. Det finns ingen tydlig definition på vad en etisk fond är men generellt är det fonder som tar hänsyn till faktorer kopplade till socialt ansvarstagande på olika sätt. Denna undersökning analyserar etiska fonders historiska prestationsnivåer i jämförelse med motsvarande traditionella aktiefonder. Tre frågeställningar har besvarats med hjälp av kvantitativ och kvalitativ analys. En beräkningsmodell har byggts i Excel i syfte att analysera historisk data från ett urval av etiska fonder och traditionella aktiefonder. Resultaten från beräkningarna ligger till grund för den kvantitativa delen av analysen som därefter har diskuterats med extern expertis. Råvaruprisernas effekter på skillnader i avkastning mellan traditionella och etiska fonder har också analyserats. I denna undersökning har oljepriset valts för att studera dessa effekter. Det går inte att med säkerhet komma fram till några generella slutsatser kring hur etiska fonder som fondkategori presterat i jämförelse med motsvarande traditionella aktiefonder. Dock kan ett mönster observeras under de perioder som undersökts då marknaden gått kraftigt uppåt respektive neråt, nämligen att risknivåerna för de utvalda etiska fonderna varit högre i samtliga fall. Anledningen till detta tycks vara de diversifieringsproblem som uppstått till följd av de etiska restriktionerna, något som bakomliggande teori inom ämnet och intervju med en av Swedbank Roburs förvaltare stödjer. Den ökade risknivån bidrar till att de etiska fonderna haft svårare att uppnå en likvärdig riskjusterad avkastning när den uppåtgående och den nedåtgående perioden granskats.

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京都大学 / 0048 / 新制・課程博士 / 博士(医学) / 甲第20241号 / 医博第4200号 / 新制||医||1020(附属図書館) / 京都大学大学院医学研究科医学専攻 / (主査)教授 今中 雄一, 教授 川上 浩司, 教授 川村 孝 / 学位規則第4条第1項該当 / Doctor of Medical Science / Kyoto University / DGAM

京都大学 / 0048 / 新制・課程博士 / 博士(社会健康医学) / 甲第20288号 / 社医博第77号 / 社新制||医||9(附属図書館) / 京都大学大学院医学研究科社会健康医学系専攻 / (主査)教授 川上 浩司, 教授 一山 智, 教授 伊達 洋至 / 学位規則第4条第1項該当 / Doctor of Public Health / Kyoto University / DGAM

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This research study examines the risk-adjusted performance and portfolio risk of 60 large cap equity funds - mutual funds - under Swedish management. These funds apply environmental, social and governance criteria in their investment strategies. The empirical context concerns the COVID-19 situation and the context is divided into three periods, before, during and after the COVID-19 crisis. The ESG concept, modern portfolio and stakeholder theories are used to develop a theoretical base for the study on which the hypotheses are based which are summarized in a conceptual model. Secondary data regarding ESG and risk-adjusted returns are collected for each fund based on which the sharpe ratios and standard deviations (total or portfolio risk) for each fund are calculated. While there are associations between ESG and portfolio risk, no associations are found between ESG and sharpe ratios. As a result, this confirms the fact that ESG could be characterized as a mechanism to protect against downside risk in poor economic times but no association was established that ESG could also be used as a mechanism to determine efficiency in terms of risk-adjusted performance

This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. The findings show that there are no statistical differences in risk-adjusted returns between portfolios with high and low ESG scores. These findings are evident when sole capital gain is considered, and when dividends are reinvested. Differences can however be discerned between portfolio weights. All portfolios show excess returns when adjusted for risk factors in the market. The results from this study contribute to the literature surrounding ESG assets by providing evidence of how high- and low-rated ESG stocks have performed in the European market. This study has practical implications for actors in the capital markets, as it is evident from the results that ESG ratings have no apparent effect on the risk-adjusted returns of a portfolio. If sustainability is of high importance, high ESG companies offer the advantage of aligning financial performance with stakeholder goals, as well as providing adequate returns.

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