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<p>Bakgrund</p><p>En stor majoritet av Sveriges befolkning sparar i fonder. Utbudet av fonder är mycket omfattande och det kan vara svårt för den enskilda fondspararen att välja fond. Till hjälp för investeraren finns företag som betygsätter fonderna utefter prestation. Det största av dessa företag är Morningstar.</p><p>Syfte</p><p>Vårt syfte är att undersöka huruvida det föreligger ett samband mellan Morningstars fondrating och framtida prestation. Vidare ämnar vi jämföra prediktionsförmågan hos Morningstars rating med en alternativ rating, baserad på Sharpekvot.</p><p>Genomförande</p><p>Tidsseriedata över fondkurser och Morningstar-rating för Sverige-domicilierade fonder samlas in. Fondernas prestation, mätt med ej riskjusterad avkastning och Sharpekvot, beräknas. Med hjälp av regressionsanalys undersöks om prestationen, efter ratingtillfället, skiljer sig mellan de olika betygskategorierna. Sambandet mellan Morningstar-rating och framtida prestation jämförs sedan med sambandet mellan en alternativ rating och framtida prestation. Vi undersöker även Morningstar-ratingens varaktighet.</p><p>Slutsats</p><p>Våra undersökningar visar på att det föreligger ett tydligt samband mellan rating och framtida prestation. Våra undersökningar där sambandet mellan Morningstars rating och prestation jämförs med en alternativ rating baserad på Sharpekvot visar på ett tydligare samband och en högre signifikans hos den alternativa ratingen. Studien av varaktigheten visar att en hög rating till viss del är varaktig. Resultaten pekar på att fondernas prestation upprepar sig vilket innebär att den effektiva marknadshypotesen kan ifrågasättas.</p> / <p>Background</p><p>A large majority of the Swedish people invest in mutual funds. There is a vast amount of funds available to the investor and it may be difficult for the investor to choose between the funds. To assist the investor in choosing funds, there are a number of companies that rank the funds based on historical performance. The largest of these companies is Morningstar.</p><p>Purpose</p><p>The purpose of this study is to examine whether there is a relationship between the Morningstar fund rating and future performance. In addition to this, we aim to compare the predictive ability of the Morningstar rating with that of an alternative rating, based on the historical Sharpe ratio.</p><p>Implementation</p><p>We collect time series data of the funds’ NAV and Morningstar ratings of all mutual funds domiciled in Sweden. The funds’ in sample performances are then measured using un-adjusted return and Sharpe ratio. Via regression analysis we examine whether the performance, after the rating, differs between the different rating categories. A similar study is made based on the alternative rating, and the results are compared. In addition to this, we examine the persistence of the Morningstar ratings.</p><p>Conclusion</p><p>The results show that there is a strong relationship between the Morningstar ratings and future performance. However, our study of the predictive ability of the alternative rating shows that there is an even stronger relationship between the historical Sharpe ratio and future performance. Our study indicates that there exists, to some extent, a persistence in the Morningstar ratings, i.e. highly rated funds tend to keep high ratings. These results indicate that fund performance repeats itself, which is not consistent with the efficient market hypothesis.</p>

Bakgrund En stor majoritet av Sveriges befolkning sparar i fonder. Utbudet av fonder är mycket omfattande och det kan vara svårt för den enskilda fondspararen att välja fond. Till hjälp för investeraren finns företag som betygsätter fonderna utefter prestation. Det största av dessa företag är Morningstar. Syfte Vårt syfte är att undersöka huruvida det föreligger ett samband mellan Morningstars fondrating och framtida prestation. Vidare ämnar vi jämföra prediktionsförmågan hos Morningstars rating med en alternativ rating, baserad på Sharpekvot. Genomförande Tidsseriedata över fondkurser och Morningstar-rating för Sverige-domicilierade fonder samlas in. Fondernas prestation, mätt med ej riskjusterad avkastning och Sharpekvot, beräknas. Med hjälp av regressionsanalys undersöks om prestationen, efter ratingtillfället, skiljer sig mellan de olika betygskategorierna. Sambandet mellan Morningstar-rating och framtida prestation jämförs sedan med sambandet mellan en alternativ rating och framtida prestation. Vi undersöker även Morningstar-ratingens varaktighet. Slutsats Våra undersökningar visar på att det föreligger ett tydligt samband mellan rating och framtida prestation. Våra undersökningar där sambandet mellan Morningstars rating och prestation jämförs med en alternativ rating baserad på Sharpekvot visar på ett tydligare samband och en högre signifikans hos den alternativa ratingen. Studien av varaktigheten visar att en hög rating till viss del är varaktig. Resultaten pekar på att fondernas prestation upprepar sig vilket innebär att den effektiva marknadshypotesen kan ifrågasättas. / Background A large majority of the Swedish people invest in mutual funds. There is a vast amount of funds available to the investor and it may be difficult for the investor to choose between the funds. To assist the investor in choosing funds, there are a number of companies that rank the funds based on historical performance. The largest of these companies is Morningstar. Purpose The purpose of this study is to examine whether there is a relationship between the Morningstar fund rating and future performance. In addition to this, we aim to compare the predictive ability of the Morningstar rating with that of an alternative rating, based on the historical Sharpe ratio. Implementation We collect time series data of the funds’ NAV and Morningstar ratings of all mutual funds domiciled in Sweden. The funds’ in sample performances are then measured using un-adjusted return and Sharpe ratio. Via regression analysis we examine whether the performance, after the rating, differs between the different rating categories. A similar study is made based on the alternative rating, and the results are compared. In addition to this, we examine the persistence of the Morningstar ratings. Conclusion The results show that there is a strong relationship between the Morningstar ratings and future performance. However, our study of the predictive ability of the alternative rating shows that there is an even stronger relationship between the historical Sharpe ratio and future performance. Our study indicates that there exists, to some extent, a persistence in the Morningstar ratings, i.e. highly rated funds tend to keep high ratings. These results indicate that fund performance repeats itself, which is not consistent with the efficient market hypothesis.

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During the past few decades, social responsible investing (SRI) has rapidly grown to become a renowned investment strategy. Because of the contradictory findings on how successful this strategy is in terms of financial return, the aim of this thesis is to compare the performance of sustainable and conventional funds in four different geographical areas during the last three years. With the use of regression analysis, the correlation between the Portfolio Sustainability Score of a fund, which is a Morningstar-provided rating that represents how well a fund incorporates ESG, and its risk-adjusted return is determined. The final results of this analysis varies among the four geographical regions. The correlation between the two variables is positive in USA and Asia ex-Japan, whereas a negative relationship is found in Europe and the Nordic region. However, the obtained findings are not of statistical significance, implying that there is no difference between the risk-adjusted returns of sustainable versus conventional funds. / Under de senaste årtionden har hållbara investeringar ökat och på senare tid även blivit en väletablerad investeringsstrategi. Då tidigare studier inom området uppvisat motstridiga resultat gällande hur effektiv denna strategi är inom värdeskapande, fokuserar denna rapport på att klargöra ifall hållbara alternativt vanliga fonder är fördelaktiga utifrån ett finansiellt perspektiv. Mer specifikt undersöks fyra geografiska områden över en tidsperiod på tre år. Genom regressionsanalys bestäms korrelationen mellan en fonds Portfolio Sustainability Score, ett betyg som erhålls av Morningstar som representerar hur väl den specifika fonden inkorporerar ESG, och dess riskjusterade avkastning. De slutgiltiga resultaten av denna analys varierar i de fyra geografiska områdena. I USA och Asien där Japan exkluderas är korrelationen positiv medan en negativ korrelation råder i Europa och Norden. Dock är resultaten inte av statistisk signifikans vilket indikerar att det inte är någon skillnad i den riskjusterade avkastningen mellan hållbara och vanliga fonder.

Morningstar ratings are a popular way for investors to compare mutual funds. This thesis focuses on Swedish domestic equity funds. The relation of Morningstar ratings and fund flows was studied. Additionally, the short-term performance predictability using star ratings was investigated. This study found that top rated funds using Morningstar ratings received a higher fraction of positive fund flows compared to top rated funds ranked using past returns, Sharpe ratio, or Carhart's four-factor alpha. This provides some evidence towards Swedish investors using Morningstar ratings over other measures when selecting mutual funds. Additionally, all four measures performed poorly when used to predict one-, three- and twelve-month future fund flows, with no model being able to explain more than 7% of the variance in the data (measured in adjusted R-squared). Finally, the predictive power of Morningstar rating in respect to future outperformance (measured in Carhart's four-factor alpha) was evaluated. While all star ratings were statistically significant predictors, no model managed to explain more than 17% of the data's variance. Thus, Morningstar ratings were not found to be a good predictor of future outperformance. / Morningstar Ratings är ett populärt sätt för investerare att jämföra fonder. Denna uppsats fokuserar på svenska fonder som investerar på den svenska aktiemarknaden. Sambandet mellan Morningstar Ratings och fondflöden studerades. Även förmågan att på kort sikt förutsäga fonders prestation genom att använda deras Morningstar Rating undersöktes. Denna studie fann att topprankade fonder utifrån Morningstars prestationsmått fick en högre andel av positiva inflöden än om fonderna rankades efter tidigare avkastning, Sharpekvot eller Carharts alfa. Detta ger begränsat stöd till att svenska investerare använder Morningstar Ratings över andra prestationsmått vid val av fonder. Dessutom hade alla mått låg förklarande förmåga för framtida fondflöden över en, tre och tolv månader. Ingen modell kunde förklara mer än 7% av variansen i fondflödena (mätt i justerad R2). Till sist utvärderades förmågan att förutsäga framtida (Carharts) alfa genom Morningstar Rating. Trots att Morningstar Ratings kunde anses vara statistiskt viktiga för modellen, lyckades ingen modell förklara mer än 17% av variansen i alfa. Således kunde inte Morningstar Ratings anses vara en bra prediktor för framtida alfa.

Seven out of ten Swedes save voluntarily in funds, and if premium pensions and pension savings are taken into account, almost all adults save. In recent years, there has been a growing interest in sustainable funds, with more than a third choosing a sustainable fund to invest in. There is a disagreement in the existing research as to whether sustainable funds are a better option than conventional ones.  The study examined whether sustainable funds underperformed conventional funds on the variables of return, standard deviation and Sharpe ratio. The study's measurement period covered 21 April 2019 to 21 April 2024, for Swedish-registered funds in the industrial sector. The study conducted a quantitative approach using t-tests and regression analyses to examine performance across categories. The study obtained secondary data from Morningstar and used the Morningstar Sustainability Rating to categorise the funds. Funds with a rating of 1-3 were defined as conventional and sustainable as those with a rating of 4-5.  From the data collected in the study, the authors concluded that the t-test between conventional and sustainable funds was significant based on the standard deviation variable, while the other variables were not significant. Like the t-test, the regression analysis between sustainability ratings and standard deviation was significant and the other regressions were not significant. The study does not find that sustainable funds are characterised by lower returns, higher risk or lower risk-adjusted returns compared to conventional funds. / Sju av tio svenskar sparar frivilligt i fonder och tar man hänsyn till premiepensionen och pensionssparande så sparar nästan alla vuxna. Under de senare åren har det växt fram ett intresse för hållbara fonder, där mer än en tredjedel har valt en hållbar fond att investera i. Det finns en oenighet i den befintliga forskningen huruvida hållbara fonder är ett bättre alternativ än konventionella.  Studien undersökte om hållbara fonder presterade sämre än konventionella fonder utifrån variablerna avkastning, standardavvikelse och Sharpekvot. Studiens mätperiod avsåg 2019-04-21 till 2024-04-21, för svenskregistrerade fonder inom industrisektorn. Studien genomförde en kvantitativ ansats med hjälp av t-tester och regressionsanalyser för att undersöka prestationen mellan kategorierna. Studien inhämtade sekundärdata från Morningstar och har använt Morningstar Sustainability Rating för att kategorisera fonderna. Fonder som innehar 1-3 i betyg definierades som konventionella och hållbara som innehar 4-5 i betyg.  Av studiens inhämtade data, konstaterade författarna att t-testet mellan konventionella och hållbara fonder var signifikant utifrån variabeln standardavvikelse medan de övriga variablerna inte var signifikanta. Likt t-testet var regressionsanalysen mellan hållbarhetsbetyg och standardavvikelse signifikant och de övriga regressionerna var ej signifikanta. Studien kan inte konstatera att hållbara fonder kännetecknas av en lägre avkastning, en högre risk eller en lägre riskjusterad avkastning gentemot konventionella fonder.

During recent years many fund managers have merchandised their funds as accounting for “ethical”, “responsible” and “sustainable” criterions during the investment process (the generic term “ESG funds” will be used hereafter). These managers have used this as a marketing tool and claimed that this brings added value to their investors.  However, it has been very hard for investors to actually determine if the fund managers have been following these announced “ESG” criterions and strategies. In addition to this there have been a lot of discussions around whether or not funds that incorporate “ESG” criterions during their investment process sacrifice return in order to fulfill their obligations.   During March this year Morningstar launched the first independent rating that aims to evaluate how the underlying holdings in fund, i.e. companies in which the fund own shares, manage environmental, social and governance (ESG) matters. By analyzing the underlying holdings from the aspects mentioned above, Morningstar has been able to aggregate this information into a sustainability measure for funds. This new sustainability measure has been named Morningstar Sustainability Rating™, which is a rating for how sustainable a fund is.   This thesis address questions regarding how ESG funds, or rather funds that market themselves as ESG funds, tend to have different attributes compared to traditional funds in the Nordic countries Sweden, Denmark, Finland and Norway. The specific attributes that has been examined are relative fund flows, total returns, risk-adjusted ratings and sustainability ratings.   The results suggest that ESG funds do not show a difference in Sustainability Ratings compared to traditional funds. Furthermore, it could be verified that ESG funds in some cases generate higher relative fund flows compared to traditional funds. It has also been confirmed that these ESG funds actually outperforms traditional funds from a total return perspective.

In this study, we examine the predictive power of Morningstar’s new ratings for mutual funds’ future performance and compare its predictive power with four competing predictors. We also examine Morningstar’s new ratings’ predictive power in bull and bear periods. Furthermore, we compare the predictive power of the new and old star-ratings. We perform all these tests for both U.S. and Canadian equity funds. We use a regression model and non-parametric tests in this study. The results suggest Morningstar’s new ratings accurately rank funds and predict out-of-sample performance of only five-star rated complete funds for short- and medium-terms for U.S., and for medium-term only for Canada. Also, predictive power of Morningstar’s new ratings is low compared to four alternative predictors for both countries. Further, the new star ratings accurately predicts for bear period for both markets. The old ratings (new ratings), however relatively predict better for U.S. funds (Canadian funds). / ix, 184 leaves ; 29 cm

Every fourth Swede chooses to invest their capital in sustainable funds. There is consensus on the fact that the financial market has been affected by the increased awareness on sustainability which companies have embraced and now manage extensive CSR-work. The goal of this essay is to answer the question whether sustainable funds contributes larger to a portfolios risk adjusted return than conventional mutual funds and if there is a connection between that and passive or active fund management. The report compares 16 funds between the years of 2012 to 2018, whereas 8 funds are conventional and 8 are sustainable. Furthermore, half of each group is passively managed and half is actively managed. The ratios used to measure risk adjusted return in this essay is the Sharpe ratio and the Sortino Ratio. The results show that the conventional funds have a higher risk adjusted return than the sustainable funds. The result is further compared to previous research and discussed towards the hypotheses presented in the theory chapter.