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.

Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. Equal risk contribution, the Most diversified portfolioand a modification of the Minimum variance portfolio are considered as alternatives to the mean variance model. Portfolio optimization models introduced are explained in detail and solved using the optimization algorithms Cyclical coordinate descent and Alternating direction method of multipliers. Through implementation and backtesting using a diverse set of indices representing various asset classes, the study shows that the mean variance model suffers from high turnover and sensitivity to input parameters in comparison to the modern alternatives. The sophisticated asset allocation models equal risk contribution and the most diversified portfolio do not rely on expected return as an input parameter, which is seen as an advantage, and are not affected to the same extent by the shortcomings associated with mean variance optimization. The paper concludes by discussing the findings critically and suggesting ideas for further research. / Maximering av avkastning i samband med minimering av varians, på engelska kallat Mean variance optimization, är inte optimalt ur en investerares synpunkt. Syftet med denna uppsats är att genomföra en empirisk studie av hur moderna metoder för portföljallokering adresserar de problem som är förknippade med Mean variance optimization. Mer specifikt undersöks allokeringsstrategierna Equal risk contribution, Most diversified portfolio samt en variant av Minimum variance som ersättare till Mean variance optimization. Allokeringsmetoderna beskrivs detaljerat och löses med optimeringsalgoritmerna Cyclical coordinate descent och Alternating direction method of multipliers. Genom implementering och historisk simulering med ett antal index som representerar olika tillgångsslag visar studien att Mean variance optimization innebär hög portföljomsättning och har en större känslighet för ingångsparametrar i jämförelse med de moderna alternativen. De sofistikerade allokeringsmodellerna Equal risk contribution och Most diversified portfolio bygger inte på ingångsparametern förväntad avkastning, vilket ses som en fördel, och drabbas inte i samma utsträckning av problemen associerade med Mean variance optimization. Studien avslutas med att diskutera resultatet kritiskt och ge förslag på vidare studier som bygger på den teori och det resultat som har presenterats.

This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. However, the variance of the returns are high and therefore it is difficult to determine if mean-variance analysis performs better than its corresponding index in the general case. Furthermore, it is shown that individual stocks can still influence the movement of an optimized portfolio significantly, even though the model is supposed to diversify firm-specific risk. Thus, the authors recommend modifying the model by restricting the amount that is allowed to be invested in a single stock, if one wishes to apply mean-variance analysis in reality. To be able to draw further conclusions, more practical research within the subject needs to be done. / Denna uppsats utvärderar ramverket ”mean-variance analysis” genom att jämföra prestandan av en optimerad portfölj bestående av aktier från Dow Jones Industrial Average med prestandan av indexet Dow Jones Industrial Average självt. Resultaten visar att att den optimerade portföljen presterar bättre än motsvarande index när de utvärderas på perioden 2015 till 2019. Dock är variansen av avkastningen hög och det är därför svårt att bedöma om mean-variance analysis generellt sett presterar bättre än sitt motsvarande index. Vidare visas det att individuella aktier fortfarande kan påverka den optimerade portföljens rörelser, fastän modellen antas diversifiera företagsspecifik risk. På grund av detta rekommenderar författarna att modifiera modellen genom att begränsa mängden som kan investeras i en individuell aktie, om man önskar att tillämpa mean-variance analysis i verkligheten. För att kunna dra vidare slutsatser så krävs mer praktisk forskning inom området.

Titel: Portföljförvaltarens kamp mot index Syftet: Syftet med denna studie är att beskriva och analysera aktiv fondförvaltning genomriskjusterad avkastning. Metod: En kvantitativ studie har genomförts för att uppfylla syftet och besvara studiensfrågeställning för undersökningsperioden 2018–2022. Riskjusterade prestationsmåtten somanvänds är jensens alfa, sharpe- och treynorkvoten. Empiriskt resultat: Studien är baserad på 21 aktivt förvaltade fonder som är registrerad iSverige. Vidare har dessa fonder placeringsinriktning på industrisektorn samt har 80% av sittinnehav på svenska aktier. Slutsats: Mer än hälften av alla fonder genererade ett positivt jensens alfa. Dock visar etttvåsidigt t-test att inget alfavärde var statistiskt signifikant med både 90% och 95%konfidensgrad.Nyckelord: Riskjusterad avkastning, Aktiv fondförvaltning, Treynokvot, Sharpekvot, Jensensalfa, Marknadsindex, Capital Asset Pricing Model (CAPM) och Modern Portföljteori. / Title: Fund manager’s battle against index. Purpose: The purpose of this study is to describe and analyze active funds through riskadjusted returns. Methodology: The study uses a quantitative research method with data from secondarysources that contains fund’s net asset value (NAV). The research period of this study is 2018 to 2022. The study uses jensens alpha, treynor- and sharperatio as risk adjusted measurements. Empirical foundation: This study uses 21 active mutual funds that are registered in Sweden.The mutual funds that were obtained has an investment strategy that focuses on industry.Furthermore, these mutual funds have 80% holdings in Swedish stocks. Conclusion: More than half of the active mutual funds generated a positive jensens alpha.However, according to a two-sided t-test of a 90% and 95% confidence level, none of themutual fund’s alpha showed to be statistically significant and therefore no conclusions weremade.

En granskning har avslöjat att många svenska ungdomar lockas med att köpa dyra utbildningar för att lära sig handel med riskfyllda finansiella instrument. Med argument att slippa traditionella heltidsarbeten samt drömmen om ekonomisk frihet väljer allt fler ungdomar att tillträda börsen och handla med finansiella instrument. Antalet svenska aktieinvesterare har de senaste fem åren ökat från 2,1 till 2,7 miljoner där största faktorn är att unga hittat till börsen. Hoppet om god avkastning är anledningen till att personer väljer att placera tillgångar i värdepapper i stället för att spara på sparkontot. Sammantaget i takt med att investeringsalternativen blivit allt fler bör det finnas en ökad ofrivillig riskbenägenhet hos unga investerare. Då risktagande är en av de mest centrala delarna vid investering av finansiella instrument kan en monetär förlust avskräcka en ung investerare från börsen om inte risk tas med i beaktningen. Syftet med studien är därmed att undersöka unga människors attityd till risktagande gällande investeringar på börsen. Vidare undersöks unga investerares syn på risk för att bilda en förståelse kring varför allt fler unga agerar som de gör på börsen. Denna studies syfte besvaras med hjälp av en kvantitativ forskningsmetod och med utgångspunkt i portföljteorin, prospektteorin, beslutsteorin och det kulturella riskperspektivet. Studien har gjorts i syfte att bidra med kunskap och förståelse kring unga människors investeringsstrategi för att kunna öka riskmedvetenheten bland unga investerare. Datamaterialet har inhämtats via en enkätundersökning som belyser hur de 611 respondenter ser på risk. Studiens resultat påvisar att det finns högmod bland unga investerare vilket betyder att de underskattar sitt risktagande eller rentav inte förstår vilken risk de utsätter sig för. Studien bekräftar att lockelsen av att tjäna snabba pengar genom handel med riskfyllda finansiella instrument kan komma att ta över den unga investerares rationella och välgrundade investeringsbeslut. / An investigation has revealed that many Swedish young people are lured into buying expensive training courses to learn how to trade risky financial instruments. With the argument of avoiding traditional full-time jobs and the dream of financial freedom, more young people choose to join the stock exchange and trade in financial instruments. In the last five years, the number of Swedish investors has increased from 2.1 to 2.7 million, where the biggest factor is that young people have found the stock market. The hope of a good return is the reason why people choose to invest assets in financial instruments instead of holding it at a savings account. Overall, as the investment alternatives have become more abundant, there should be an increased involuntary risk propensity among young investors. As risk taking is one of the most central parts of investing in financial instruments, a monetary loss can discourage a young investor from the stock market if risk is not taken into consideration. The purpose of the study is thus to examine young people's attitude to risk-taking regarding investments on the stock market. Furthermore, young investors' view of risk is examined to form an understanding of why more and more young people act as they do on the stock market. The purpose of this study is answered using a quantitative research method and based on portfolio theory, prospect theory, decision theory and the cultural risk perspective. The study has been done with the aim of contributing knowledge and understanding about young people's investment strategy in order to increase risk awareness among young investors. The data has been collected through a survey that highlights how the 611 respondents view risk. The results of the study show that there is arrogance among young investors, which means that they underestimate their risk-taking or even do not understand the risk they are exposing themselves to. The study confirms that the lure of making quick money by trading in risky financial instruments can overtake the young investor's rational and informed investment decisions.

The purpose of this thesis is to analyze differences between stock preferences of women and men in Sweden and analyze what portfolio characteristics and long-term effects that are revealed by investing in the stocks than men and women prefer. To fulfill the purpose of the thesis, two fictious portfolios have been created which are based on data from the reports “Aktieägandet i Sverige” by Euroclear. These reports present the favorite stocks of Swedish men and women by presenting stock top charts between the years 2017- 2021, and the data covers the total stock investing Swedish population. The fictious portfolios have been assigned to two fictious investors, Alice, and Adam, to enable analysis of the investment behavior and the portfolio’s performance on an aggregate level.   Alice’s and Adam’s portfolios are evaluated by using risk- and portfolio management measures, and the investment behavior is evaluated through measures previously presented in research within behavioral economics. The analysis is conducted by combining classic financial theory and previous research within behavioral economics to evaluate investment behavior from the perspective of portfolio theory.   The results show that the investment behavior differs between Swedish men and women, considering both stock preferences and investment strategy. Men tend to have a higher preference for risk than women and are more active when managing their portfolio. Women tend to invest more long-term and manages their portfolio in a more passive manner. Women also tend to invest in value stocks with dividends, while men invest in growth stocks. The investment strategy of men demonstrates a betting element which leads to a high total and non-systematic risk exposure. The consequences of the investment strategies long-term indicates that women obtain a more stable return due to lower volatility in their portfolio, while the higher non-systematic risk exposure and turn-over rate in men’s portfolio indicates that their return will be more volatile over time.   The results confirm, to a great extent, previous research on the differences between the investment behavior of women and men on an individual level. Based on new observations we conclude that a limited rational behavior does not always equal a higher risk exposure in the portfolio as it can also lower the level of risk. In addition, based on the analysis, we can conclude that men tend to invest more unethical than women. / Uppsatsens syfte är att identifiera och analysera skillnader i svenska kvinnor och mäns aktiepreferenser samt analysera vad för portföljegenskaper och långsiktiga effekter som följer av investering i de aktier som kvinnor och män föredrar. För att uppnå uppsatsens syfte har två fiktiva portföljer skapats som baseras på Euroclears rapporter ”Aktieägandet i Sverige”. Rapporterna presenterar svenska kvinnor och mäns favoritaktier i form av aktietopplistor mellan åren 2017–2021, varav datan omfattar hela den svenska aktieinvesterande populationen. De fiktiva portföljerna har tilldelats två fiktiva investerare, Alice och Adam, för att möjliggöra analys av investeringsbeteendet och portföljernas prestation på en aggregerad nivå.   Alices och Adams portföljer utvärderas med risk- och portföljutvärderingsmått, och investeringsbeteendet utvärderas genom mått som tidigare forskning inom beteendeekonomi lyft fram. Analysen genomförs genom att kombinera klassisk finansiell teori med tidigare forskning i beteendeekonomi för att utvärdera investeringsbeteendet ur ett portföljvalsperspektiv.   Resultaten påvisar att svenska kvinnor och mäns investeringsbeteende skiljer sig åt gällande både aktiepreferenser och förvaltningsstrategi. Män tenderar att ha en högre riskpreferens än kvinnor, samt är mer aktiva i förvaltningen av portföljen. Kvinnor tenderar att investera mer långsiktigt och passivt i familjära värdebolag med utdelning, medan män investerar i tillväxtbolag. Mäns investeringsstrategi har inslag av betting, vilket leder till en hög total- och icke-systematisk riskexponering. Konsekvenserna av investeringsstrategierna på lång sikt blir att kvinnor erhåller en stabilare avkastning till följd av lägre volatilitet, medan mäns exponering mot icke-systematisk risk samt höga omsättningshastighet leder till mer volatil avkastning över tid.  Resultaten bekräftar i stor utsträckning tidigare forskning om skillnader i kvinnor och mäns investeringsbeteende på individnivå. Genom nya observationer konstateras att ett begränsat rationellt beteende inte alltid leder till en högre riskexponering, utan även kan sänka risknivån i portföljen. Dessutom kan vi utifrån analysen konstatera att män tenderar att investera mer oetiskt än kvinnor.

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection are optimal only if the empirical characteristics of asset returns do not violate the portfolio selection model assumptions. This thesis explores the empirical characteristics of traditional assets and hedge fund returns and examines their effects on the assumptions of linearity-in-the-mean testing and portfolio selection. The encompassing theme of this thesis is the empirical interplay between traditional assets and hedge fund returns. Despite the paucity of hedge fund research, pension funds continue to increase their portfolio allocations to global hedge funds in an effort to pursue higher risk-adjusted returns. This thesis presents three empirical studies which provide positive insights into the relationships between traditional assets and hedge fund returns. The first two empirical studies examine an emerging body of literature which suggests that the relationship between traditional assets and hedge fund returns is non-linear. For mean-variance investors, non-linear asset returns are problematic as they do not satisfy the assumption of linearity required for the covariance matrix in portfolio selection. To examine the linearity assumption as it relates to a mean-variance investor, a hypothesis test approach is employed which investigates the linearity-in-the-mean of traditional assets and hedge funds. The findings from the first two empirical studies reveal that conventional linearity-in-the-mean tests incorrectly conclude that asset returns are nonlinear. We demonstrate that the empirical characteristics of heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation in the underlying tests and it is shown that traditional assets and hedge funds are indeed linear-in-the-mean. The third and final study of this thesis explores traditional assets and hedge funds in a portfolio selection framework. Following the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio selection context. The characteristics of serial correlation in bond and hedge fund returns are shown to cause a downward bias in the second sample moment. This thesis proposes two methods to control for this effect and it is shown that autocorrelation induces an overallocation to bonds and hedge funds. Whilst heteroscedasticity cannot be directly examined in portfolio selection, empirical evidence suggests that heteroscedastic events (such as those that occurred in August 1998) translate into the empirical feature known as tail-risk. The effects of tail-risk are examined by comparing the portfolio decisions of mean-variance analysis (MVA) versus mean-conditional value at risk (M-CVaR) investors. The findings reveal that the volatility of returns in a MVA portfolio decreases when hedge funds are included in the investment opportunity set. However, the reduction in the volatility of portfolio returns comes at a cost of undesirable third and fourth moments. Furthermore, it is shown that investors with M-CVaR preferences exhibit a decreasing demand for hedge funds as their aversion for tail-risk increases. The results of the thesis highlight the sensitivities of linearity tests and portfolio selection to the empirical features of heteroscedasticity, autocorrelation and tail-risk. This thesis contributes to the literature by providing refinements to these frameworks which allow improved inferences to be made when hedge funds are examined in linearity and portfolio selection settings.

Submitted by Alvaro Germano Albernaz (aga050@gmail.com) on 2016-01-25T12:32:08Z No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2016-02-05T16:49:09Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-02-22T12:23:32Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Made available in DSpace on 2016-02-22T12:23:46Z (GMT). No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) Previous issue date: 2015-11-16 / This work intends to subsidize the real estate investment funds investor in choosing a FII investment portfolio in order to obtain performance at or above the industry benchmark (IFIX). Such a grant is made initially by methodology which considers the concept of Efficient Portfolio (Risk / Return) proposed by Markowitz, can work together with the dimension of the concept of Behavioral Finance, led by Daniel Kahneman, constituting the investor’s orientation bases. We add the methodological approach to the indications suggested by Bazerman and Moore, in the decisionmaking process that reduces the effects of heuristics and viésis. To start the way the investor responds to questionnaire of 5 questions that aims to classify the degree of ’capacity and tolerance ―by the IFI prod-uct. From their responses the investor will be referred to a‖ cluster ―of funds, classified according to the perception of retail investor, according to the complexity of analyzing the background. Selected FIIs with potential for application, bring the investor as an ‖Ranking― of the funds in question answering three questionnaires that motivate the expansion of its research in the following dimensions :. (i) Capacity of the fund, (ii) on the (s) Active (s) of the fund, and (iii) of the Income Generation of FII Complementing the creation of ‖Ranking― is also considered its Anchor decision, ie, the main investor reason to choose each selected fund. Finally, we use the concept of Markowitz to identify the most efficient Portfolio considering the ‖Ranking' of the investor, with the EXCEL package with the tool SOLVER. The results of that portfolio were higher than the industry benchmark (IFIX), demonstrating technically than using appropriate tools and establishing a path to guide the investor research in finding structural information you can build an efficient portfolio that helps the his applications long term. / O presente trabalho tem por objetivo subsidiar o investidor de Fundos de Investimento Imobiliário na escolha de uma carteira de aplicação de FIIs, visando obter performance igual ou superior ao índice de referência do setor (IFIX). Tal subsídio é constituído, inicialmente, por uma metodologia que considera que o conceito de Carteira Eficiente (Risco/Retorno) preconizada por Markowitz pode trabalhar em conjunto com a dimensão do conceito das Finanças Comportamentais, liderada por Daniel Kahneman, constituindo as bases de orientação do investidor. Acrescentamos o caminho metodológico com as indicações, sugeridas por Bazerman e Moore, no processo de tomada de decisão, que reduza os efeitos de heurísticas e vieses.

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)