The content of this diploma thesis is building an automatic trading system and its exact description. The thesis is focused on the classification of system requirements and on this base selection of underlying asset, which is defined by the forex contracts category.

The study evaluated the development role of targeted development investments in South Africa and their risk adjusted performance over a 10-Year period, that is from 2008 to 2017. Targeted development investments as a subset of socially responsible investments have transformed the way capital is allocated towards development funding needs. In the South African context this study is relevant given it offers a contrast between investments made in the public sector where development impact is a key objective, versus private sector targeted investments that aim to achieve financial returns whilst also driving development impact objectives aligned to sustainable development goals. The role and impact of these investments in the post democratic era is put in the spotlight given the country is dealing with economic, social, and environmental challenges that have necessitated the need to assess the nature and role of the investment industry in solving these complex development challenges (Giampocaro & Pretorius, 2012). The study on the role of the public sector focused on the investments and development impact indicators tracked by the Top 3 public sector investment institutions or corporations. The analysis on the performance of the private sector TDI funds examined their risk adjusted performance using Treynor, Sharpe, Sortino, and Information ratios. The risk adjusted performance was used to test whether the TDI fund returns under or outperformed against five benchmark categories. The research findings showed mixed results where TDI funds either underperformed or outperformed against the benchmark categories. The findings highlighted the need for a hybrid development model where both the public and private sector actively play a role in the development landscape as guided by their respective investment mandates. The findings advocate for corporate and institutional investors to increase capital allocations and investments towards financing development needs given the scope to maximise investor returns, whilst considering socially responsible investing and issues relating to the development and empowerment of previously disadvantaged communities.

Denna studie behandlar två investeringsstrategier, momentum utifrån Jegadeesh & Titman (1993) och värdeinvestering utifrån Greenblatts (2006) Magic Formula Investing (MFI). Det huvudsakliga syftet med studien är att undersöka om det är möjligt att generera positiv abnormal avkastning på den svenska aktiemarknaden utifrån dessa strategier. Enligt den svaga formen av effektiva marknadshypotesen ska detta inte vara möjligt (Fama, 1970). Det sekundära syftet är att undersöka om en kombinerad strategi byggd på momentum och MFI skapar ännu högre abnormal avkastning än strategierna separat. För att testa strategiernas riskjusterade avkastning används Sharpekvoten. Resultatet av studien visar att portföljerna baserade på momentumeffekten- och MFI genererade högre avkastning än jämförelseindex. Studien finner dock inte statistiskt signifikanta resultat när dessa strategier undersöks separat. I kontrast till de separata strategierna uppnår den kombinerade strategin dock statistiskt signifikant resultat och genererade även högst avkastning av de studerade strategierna. Vilket resulterar i studiens tydligaste bidrag, att en kombinerad värde- och momentumstrategi genererar högre abnormal avkastning än när dessa används separat på den svenska aktiemarknaden under den studerade perioden 2005-2018.

Portfolio strategies focusing on following the trend, so called momentum based strategies, have been popular for a long time among investors and have had many academic studies, however with varying results. This study sets out to investigate different momentum trading signals as well as combining them in ensemble models such as Random Forest and the unique Dim Switch portfolio and then compare them to set benchmarks. Only one of the benchmarks, the 100% equity portfolio, is found to have better returns than the constructed momentum based strategies, however the momentum based strategies show a lot of potential with high risk-adjusted returns and good performance with regards to Expected Shortfall, Value at Risk and Maximum Drawdown. The most common momentum trading signal, the momentum rule with 9 months lookback, was found to have the highest risk-adjusted returns compared to both the benchmarks and the ensemble models, but it was also found to have slightly heavier left tail than the ensemble models. / Portföljstrategier som baserar sig på att följa trenden, så kallade momentumstrategier, har varit populära länge bland investerare. Många akademiska studier har gjorts om ämnet med varierande resultat. Denna studie utreder olika trendsignaler och kombinerar dem för att forma så kallade ensemble modeller, mer specifikt Random Forest och den unika "Dim Switch"-approachen, för att sedan jämföra dessa strategier mot benchmark portföljer. Endast en av benchmark portföljerna, 100% aktier i en ''buy and hold''-portfölj hade bättre avkastning än de momentumbaserade ensemble modellerna i studien. Däremot har momentumbaserade ensemble modellerna högre riskjusterad avkastning, Expected Shortfall, Value at Risk och Maximum drawdown. Den mest återkommande trendsignalen ''Momentum rule'' med nio månaders lookback hade extremt hög riskjusterad avkastning jämfört med benchmarks och ensemble modellerna, men det kom med kostnaden av högre risker i svansen.

Sustainability and finance should go hand in hand. A financial system that supports sustainablegrowth is necessary for the transition to a carbon-free society. Environmental, Social andGovernance (ESG) is a sustainability performance measurement used worldwide. Previousresearch within the ESG area has mainly focused on ESG score and financial performance.Environmental performance gets more attention from investors, and the Nordic countries areall in the top five when it comes to sustainability ranking. This research examines the relationbetween sustainability ratings (E score and ESG score) in the Nordic countries as well as if therelation differs between different rating agencies. To study the relationships, a regressionanalysis was performed, and we could not draw any concrete conclusions whether low CO2emissions are associated with a higher E- or ESG score in the Nordic countries. The resultindicates that a high E- or ESG score does not seem to be associated with lower CO2 emissions.A significant result was found on the fact that the E- and ESG scores relation to CO2 aredifferent between rating agencies. However, full access to one of the rating agencies has notbeen granted, which entails some limitations and further research on the questions isrecommended.

The aim with this thesis is to investigate whether increased capital flows to ESG screened indexes create higher price-to-earnings (P/E) ratios and momentum in the included stocks during the chosen time period of three years, from 2018 to 2020. The thesis will evaluate the capital flows to ESG indexes and compare both performance and P/E ratios between those and their corresponding Mother indexes. The study will also look at the development of capital flows, performance and P/E ratios separately in the four chosen geographical indexes; Global, Europe, US and Emerging Markets. The theoretical framework goes through four relevant subjects for this study; passive investing, ESG, momentum and the P/E ratio. The study has shown that the capital flows in all four ESG indexes increased during the chosen time period. Moreover, it could be proven that three out of four ESG indexes outperformed their Mother indexes, namely, Global, Europe and Emerging Markets. In the U.S. the Mother index outperformed the ESG index. Three out of four geographical indexes also had a higher increase in the average P/E ratio than their mother indexes. Here, the Global market stood out as the one that had a lower increase in P/E ratio than its Mother index. Lastly, regression analyses were made to see the relationship between the variables capital flows, average P/E ratios in the indexes and the performance of the indexes. The study showed significantly that capital flows is the explanatory variable for the increased P/E ratios on the European ESG index. However, for the other indexes no significant correlation could be proved. This led to an interesting discussion and conclusion, and also left us with a question mark. What is the reason behind this result on the European market, and why was it not possible to see any significant correlation on the other markets? Further research in this field is needed and some ideas are discussed in the last chapter of the thesis.

Purpose: The purpose of this thesis is to analyze how different portfolio compositions on the Stockholm Stock Exchange perform in relation to its risk between the years 2008-2020. The thesis analyzes how an unethical portfolio performs in comparison with a value portfolio, growth portfolio, random portfolio and OMX30 index. Theory: This thesis is based on the effective market hypothesis, Portfolio theory, Holding Period Returns, Sharpe ratio, Fama & French's three factor model and Oparat T-test. Method: A quantitative study with a deductive approach. The study collected data between 2008-01-01 and 2020-12-31 to see what portfolio construction generated the most returns. Results: The unethical portfolio generated the worst returns in relation to its risk. The random portfolio had the highest returns, however the value portfolio generated the best returns in relation to its risk. Conclusion: The conclusion for this thesis can be seen as that it is not worthwhile to invest in Swedish unethical companies listed on Nasdaq. To increase returns, investors should review other securities to invest in as unethical stocks neither maximize profits nor contribute to a better planet. However the unethical portfolio has a higher return than the OMX30 index. / Syfte: Syftet med denna uppsats är att analysera hur olika portföljsammansättningar på Stockholmsbörsen presterar i relation till dess risk mellan åren 2008-2020. Där uppsatsen analyserar hur en oetisk portfölj presterar i jämförelse med en värdeportfölj, tillväxtportfölj, slumpmässig portfölj och OMX30 index.  Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Portföljteori, Holding Period Returns, Sharpekvot, Fama & Frenchs tre faktors modell och Oparat T-test. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. Forskningen har bestått av datainsamling för aktier under perioden 2008-01-01 till 2020-12-31 för att undersöka vilken portföljsammansättning som genererar högst avkastning.  Resultat: Den oetiska portföljen genererar minst avkastning i relation till dess risk. Den slumpmässiga portföljen genererar högst avkastning men värdeportföljen genererar högst avkastning i relation till dess risk. Slutsats: Slutsatsen för denna uppsats kan ses som att det inte är lönt att investera i svenska oetiska bolag noterade på Nasdaq. För att höja avkastningen bör investerare se över andra värdepapper att investera i då oetiska aktier varken vinstmaximerar eller bidrar till en bättre planet. Den oetiska portföljen har en högre avkastning än OMX30 index dock.

No description available.

Abstract This thesis aims to explore the impact of municipal sustainability policy requirements on the feasibility - the viability or practicality of the realization - of housing development projects, by using the perspectives of the municipality, housing developers, and institutional investors. By using this three-point perspective, this thesis aims to shed light on the intricate dynamics between these stakeholders, and the implications of municipal policy requirements on the project feasibility. Therefore, the study seeks to uncover perceived challenges from the housing developers and identify potential areas for improvement in the policy implementation. The municipality of Eindhoven in the Netherlands is used as a case study. The study uses principal-agent theory and employs a qualitative analysis method, to gain new insights into the effectiveness of policy implementation, the interplay and collaboration between the different stakeholders, the collaboration, and investment strategies of institutional investors. The study concludes that collaboration between the housing developers and the municipality is a key factor in overcoming barriers and creating feasible housing development projects. Building trust, recognition for each other’s interests, and sharing risks and responsibilities are crucial elements. As well as stability in the policy implementation, which is identified as a key factor in safeguarding ongoing development projects from unexpected costs and delays. Aligning policy requirements with consumer needs, fostering trust and understanding between the stakeholders, and creating some sort of ‘transition policy’ are the key takeaways from this study. Ultimately, the study aims to contribute to effective policy implementation, improved collaboration, and accelerating the housing supply. / Sammanfattning Denna uppsats undersöker hur kommunala hållbarhetskrav påverkar genomförbarheten av bostadsutvecklingsprojekt genom att belysa tre olika intressenters perspektiv: kommun, bostadsutvecklare och institutionella investerare. Med genomförbarhet menas sannolikheten att ett bostadsutvecklingsprojekt kommer förverkligas med ett lyckat utfall. Genom att undersöka och lyfta fram de tre perspektiven syftar uppsatsen till att åskådliggöra den komplicerade dynamiken mellan dessa intressenter och konsekvenserna av de kommunala hållbarhetskraven på projektens genomförbarhet. Framför allt är målet att synliggöra bostadsutvecklarnas upplevda utmaningar och identifiera potentiella områden för förbättringar kring hur de kommunala kraven kan implementeras. Studien är baserad på en fallstudie av Eindhoven kommun i Nederländerna. Principal-agentteorin används i kombination med en kvalitativ analysmetod för att nå nya insikter om effektiviteten i genomförandet av kommunala hållbarhetskrav, om samspelet mellan de tre intressenterna samt de institutionella investerarnas investeringsstrategier. Studien konkluderar att samarbetet mellan bostadsutvecklare och kommun är avgörande för att övervinna hinder och skapa lyckade bostadsutvecklingsprojekt. Detta är kopplat till att bygga upp förtroende, erkänna varandras intressen och dela risker och ansvar. Att anpassa de politiska kraven till konsumenternas behov, främja förtroende och förståelse mellan intressenterna och skapa någon form av "övergångspolitik" är de viktigaste slutsatserna från studien. Likaså kontinuitet i genomförandet av politiken, som identifieras som en nyckelfaktor för att undvika oväntade kostnader och förseningar i pågående bostadsutvecklingsprojekt. Genom dessa insikter avser studien bidra till ett mer effektivt genomförande av de kommunala hållbarhetskraven, förbättra samarbetet mellan viktiga intressenter och skapa ett mer effektivt bostadsutbud.

Responsible investing is a growing concept as sustainability is becoming a much more apparent problem. Thus, the EU implemented a new regulation in 2021, the SFDR 2019/2088, to decrease information asymmetry between institutional investors and end investors regarding sustainable risks associated with funds’ investments. This thesis aims to study whether Swedish mutual funds are greenwashing in terms of funds that are classified as Article 9 funds and invest in firms with low ESG scores. I find that greenwashing occurs among some Swedish mutual funds classified as Article 9 funds, urging further actions to be taken by scholars, practitioners, and regulators given the complexity of the studied research field.