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 thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. The sample used includes ESG and stock return data from Refinitiv for the years 2010 to 2021 on the European market (Austria, Belgium, Denmark, Finland, Germany, Greece, Iceland, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom). An ESG portfolio approach is used as the econometric framework, where performance evaluation models such as the CAPM model developed by Sharpe (1964), Lintner (1965), and Mossin (1966), Fama- and French (1992) 3-factor and Carhart (1997) 4-factor models are applied. The results obtained from this study could not show any significant alphas to prove a relationship between ESG ratings and stock performance. Thus, no abnormal returns should be expected by investors that use an active investment strategy based on ESG screening.

Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward compared with the measurement of risk: the latter is stochastic and thus requires more complex computation. Risk and return should, however, not be considered in isolation by investors as these elements are interlinked according to modern portfolio theory (MPT). The assembly of risk and return into a risk-adjusted number is an essential responsibility of performance measurement as it is meaningless to compare funds with dissimilar expected returns and risks by focusing solely on total return values. Since the advent of MPT performance evaluation has been conducted within the risk-return or mean-variance framework. Traditional, liner performance measures, such as the Sharpe ratio, do, however, have their drawbacks despite their widespread use and copious interpretations. The first problem explores the characterisation of hedge fund returns which lead to standard methods of assessing the risks and rewards of these funds being misleading and inappropriate. Volatility measures such as the Sharpe ratio, which are based on mean-variance theory, are generally unsuitable for dealing with asymmetric return distributions. The distribution of hedge fund returns deviates significantly from normality consequentially rendering volatility measures ill-suited for hedge fund returns due to not incorporating higher order moments of the returns distribution. Investors, nevertheless, rely on traditional performance measures to evaluate the risk-adjusted performance of (these) investments. Also, these traditional risk-adjusted performance measures were developed specifically for traditional investments (i.e. non-dynamic and or linear investments). Hedge funds also embrace a variety of strategies, styles and securities, all of which emphasises the necessity for risk management measures and techniques designed specifically for these dynamic funds. The second problem recognises that traditional risk-adjusted performance measures are not complete as they do not implicitly include or measure all components of risk. These traditional performance measures can therefore be considered one dimensional as each measure includes only a particular component or type of risk and leaves other risk components or dimensions untouched. Dynamic, sophisticated investments – such as those pursued by hedge funds – are often characterised by multi-risk dimensionality. The different risk types to which hedge funds are exposed substantiates the fact that volatility does not capture all inherent hedge fund risk factors. Also, no single existing measure captures the entire spectrum of risks. Therefore, traditional risk measurement methods must be modified, or performance measures that consider the components (factors) of risk left untouched (unconsidered) by the traditional performance measures should be considered alongside traditional performance appraisal measures. Moreover, the 2007-9 global financial crisis also set off an essential debate of whether risks are being measured appropriately and, in-turn, the re-evaluation of risk analysis methods and techniques. The need to continuously augment existing and devise new techniques to measure financial risk are paramount given the continuous development and ever-increasing sophistication of financial markets and the hedge fund industry. This thesis explores the named problems facing modern financial risk management in a hedge fund portfolio context through three objectives. The aim of this thesis is to critically evaluate whether the novel performance measures included provide investors with additional information, to traditional performance measures, when making hedge fund investment decisions. The Sharpe ratio is taken as the primary representative of traditional performance measures given its widespread use and also for being the hedge fund industry’s performance metric of choice. The objectives have been accomplished through the modification, altered use or alternative application of existing risk assessment techniques and through the development of new techniques, when traditional or older techniques proved to be inadequate. / PhD (Risk Management), North-West University, Potchefstroom Campus, 2014

Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward compared with the measurement of risk: the latter is stochastic and thus requires more complex computation. Risk and return should, however, not be considered in isolation by investors as these elements are interlinked according to modern portfolio theory (MPT). The assembly of risk and return into a risk-adjusted number is an essential responsibility of performance measurement as it is meaningless to compare funds with dissimilar expected returns and risks by focusing solely on total return values. Since the advent of MPT performance evaluation has been conducted within the risk-return or mean-variance framework. Traditional, liner performance measures, such as the Sharpe ratio, do, however, have their drawbacks despite their widespread use and copious interpretations. The first problem explores the characterisation of hedge fund returns which lead to standard methods of assessing the risks and rewards of these funds being misleading and inappropriate. Volatility measures such as the Sharpe ratio, which are based on mean-variance theory, are generally unsuitable for dealing with asymmetric return distributions. The distribution of hedge fund returns deviates significantly from normality consequentially rendering volatility measures ill-suited for hedge fund returns due to not incorporating higher order moments of the returns distribution. Investors, nevertheless, rely on traditional performance measures to evaluate the risk-adjusted performance of (these) investments. Also, these traditional risk-adjusted performance measures were developed specifically for traditional investments (i.e. non-dynamic and or linear investments). Hedge funds also embrace a variety of strategies, styles and securities, all of which emphasises the necessity for risk management measures and techniques designed specifically for these dynamic funds. The second problem recognises that traditional risk-adjusted performance measures are not complete as they do not implicitly include or measure all components of risk. These traditional performance measures can therefore be considered one dimensional as each measure includes only a particular component or type of risk and leaves other risk components or dimensions untouched. Dynamic, sophisticated investments – such as those pursued by hedge funds – are often characterised by multi-risk dimensionality. The different risk types to which hedge funds are exposed substantiates the fact that volatility does not capture all inherent hedge fund risk factors. Also, no single existing measure captures the entire spectrum of risks. Therefore, traditional risk measurement methods must be modified, or performance measures that consider the components (factors) of risk left untouched (unconsidered) by the traditional performance measures should be considered alongside traditional performance appraisal measures. Moreover, the 2007-9 global financial crisis also set off an essential debate of whether risks are being measured appropriately and, in-turn, the re-evaluation of risk analysis methods and techniques. The need to continuously augment existing and devise new techniques to measure financial risk are paramount given the continuous development and ever-increasing sophistication of financial markets and the hedge fund industry. This thesis explores the named problems facing modern financial risk management in a hedge fund portfolio context through three objectives. The aim of this thesis is to critically evaluate whether the novel performance measures included provide investors with additional information, to traditional performance measures, when making hedge fund investment decisions. The Sharpe ratio is taken as the primary representative of traditional performance measures given its widespread use and also for being the hedge fund industry’s performance metric of choice. The objectives have been accomplished through the modification, altered use or alternative application of existing risk assessment techniques and through the development of new techniques, when traditional or older techniques proved to be inadequate. / PhD (Risk Management), North-West University, Potchefstroom Campus, 2014

We describe Employees Provident Funds (EPF) Malaysia. We explain about Defined Contribution and Defined Benefit Pension Funds and examine their similarities and differences. We also briefly discuss and compare EPF schemes in four Commonwealth countries. A family of Stochastic Programming Models is developed for the Employees Provident Fund Malaysia. This is a family of ex-ante decision models whose main aim is to manage, that is, balance assets and liabilities. The decision models comprise Expected Value Linear Programming, Two Stage Stochastic Programming with recourse, Chance Constrained Programming and Integrated Chance Constraints Programming. For the last three decision models we use scenario generators which capture the uncertainties of asset returns, salary contributions and lump sum liabilities payments. These scenario generation models for Assets and liabilities were developed and calibrated using historical data. The resulting decisions are evaluated with in-sample analysis using typical risk adjusted performance measures. Out- of- sample testing is also carried out with a larger set of generated scenarios. The benefits of two stage stochastic programming over deterministic approaches on asset allocation as well as the amount of borrowing needed for each pre-specified growth dividend are demonstrated. The contributions of this thesis are i) an insightful overview of EPF ii) construction of scenarios for assets returns and liabilities with different values of growth dividend, that combine the Markov population model with the salary growth model and retirement payments iii) construction and analysis of generic ex-ante decision models taking into consideration uncertain asset returns and uncertain liabilities iv) testing and performance evaluation of these decisions in an ex-post setting.

Morningstar is an independent provider of investment research and provide information on approximately 380 000 investment offerings about mutual funds. Morningstar are most known for their “star” rating system, which rates funds from the lowest 1-star to the highest 5-stars. Since investors frequently use fund data provided by Morningstar, we will evaluate whether investing in funds with higher fees and higher ratings would end up with higher returns. Examinations will be made if there is a relationship between mutual fund performance and the management fees within top-rated (5-star) funds and bottom-rated (1-&2-star). The mutual funds which are included in this thesis are United Kingdom (UK) managed and invested in three different markets; Asia-Pacific except-Japan, Europe except UK-Large Cap, and the United States (US) Market. This allows us to compare different markets at different stages of maturity. The results clearly show that the top-rated funds within all three markets outperformed the bottom-rated funds. Furthermore, the results demonstrate that the investor in general will earn a higher return by paying a higher management fee (TER) for the top-rated funds in all regions. The results also show that the TER for the bottom-rated funds in Europe and US market is higher compared to the top-rated funds. This means that the investor will pay higher fees for funds that do not perform well.

The aim of this study is to evaluate the difference in performance and management fees between ethical and conventional mutual funds registered in Sweden. Our dataset consists of 49 ethical and 254 conventional funds, estimated on a 10-year period of time between January 2005 to January 2015. Jensen’s alpha is used as a measure for risk-adjusted performance and estimated through CAPM single-index model as well as by Carhart’s four-factor model. By adding back the management fees to the net returns and then estimate Jensen’s alpha by Carhart’s four-factor model once again, evidence of any differences in the impact on return between ethical and conventional funds is found. The results obtained from the study show that there is no difference in neither the risk-adjusted returns nor management fees between ethical and conventional funds. It is concluded that Swedish mutual fund investors are not paying a specific price in terms of reduced returns or higher management fees for putting social and ethical values into their financial investment decision.

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.

Thesis (MBA)--Stellenbosch University, 2006. / ENGLISH ABSTRACT: The Omega function is a relatively newly developed performance measure, falling within the class of downside risk measures. This measure does not make any assumptions regarding the return distributions evaluated, but incorporates the actual return distribution in its calculation. The sensitivity of this measure to simulated changes within the class of stable distributions was tested, within the range of parameters that was evident in the South African investment environment. The Omega and Sharpe ratios that were calculated for these distributions were ranked and compared. Even though the rankings were similar, discrepancies did occur. On investigation it was found that these discrepancies were caused by the inability of the Sharpe measure to differentiate between increased volatility caused by higher probability weighted gains (or positive skewness) and losses, as the Sharpe ratio penalises funds for volatility. The simulated tests were extended to various distributions, which have different risk profiles and distribution shapes, and ranked. A higher incidence of ranking differences occurred due to the inability of the Sharpe ratio to differentiate between gains and losses, correctly account for the risk of positively skewed distributions and lastly due to negative Sharpe ratios, caused by the average realised returns being exceeded by the threshold (target) rate, resulting in incorrect rankings. Comparison of rankings based on the Sharpe and Omega measures was performed on the class of general equity unit trusts over a five-year period, which resulted in statistically similar rankings. In extending the evaluation over shorter periods, the ran kings were still statistically similar, even though some differences were noteworthy. As the returns became more variable, the Omega measure captured this variation and risk whilst the Sharpe ratio was unable to, as its formulation is limited to two statistics, thus losing all this additional information. Normally performance evaluation is not initiated with a detailed analysis of the return distributions in order to determine which performance measure is more appropriate. The Omega measure incorporates the distribution into the calculation, which is not the case with the Sharpe measure. Therefore, even if the distributions are normal, the Omega measure gives exacty the same result as the Sharpe measure. However, where return distributions diverge from normality, we can be certain that the Omega measure will correctly incorporate the divergence, whilst it has been shown that in certain instances the Sharpe measure does not. The Omega measure adds another dimension to risk-adjusted performance evaluation and should be incorporated in the evaluation process. / AFRIKAANSE OPSOMMING: Die Omega-funksie, wat as 'n afwaartse risikomaatstaf geklassifiseer word, is 'n relatiewe nuut-ontwikkelde prestasiemaatstaf. Hierdie maatstaf maak nie enige aannames ten opsigte van die opbrengsverdelings wat ge-evalueer word nie, maar inkorporeer die werklike opbrengsverdeling in die berekening. Die sensitiwiteit van hierdie maatstaf tot gesimuleerde veranderinge in die klas van stabiele verdelings is getoets, binne die parameters van toepassing in die Suid Afrikaanse beleggingsomgewing. Die Omega- en Sharpe-maatstawe is bereken, georden en vergelyk. Alhoewel die rangordes meestal dieselfde was, het verskille in sommige gevalle voorgekom. Hierdie verskille is veroorsaak deur die onvermoe van die Sharpe-maatstaf om te onderskei tussen verhoogde volatiliteit veroorsaak deur 'n hoer waarskynlikheidsgeweegde wins, of positiewe skeefheid en verliese. Die Sharpe-maatstaf penaliseer alle volatiliteit. Die gesimuleerde toetse is uitgebrei na alternatiewe verdelings wat verskillende risikoprofiele het en is weereens georden. Weereens was die rangordes meestal dieselfde. Die verskille wat plaasgevind het, is veroorsaak deur die onvermoe van die Sharpe-maatstaf om tussen winste en verliese te onderskei, positiewe skeefheid korrek te verdiskonteer en laastens om negatiewe Sharpe-verhoudings in die korrekte rangorde te plaas. 'n Vergelyking van die rangordes van die Sharpe- en Omega-maatstawe is gedoen op die algemene effektetrusts oor 'n tydperk van vyf jaar. Die rangordes in geheel was statisties dieselfde. Hierdie toetse is vervolgens uitgebrei om korter tydperke in te sluit, wat weereens in geheel statisties dieselfde korrelasie getoon het, maar 'n paar individuele portefeuljes se rangordes het heelwat verskil. Soos die opbrengste gevarieer het, kon die Omega-maatstaf hierdie variasies en risiko verdiskonteer terwyl die Sharpe-maatstaf nie in staat was om hierdie risiko te verdiskonteer nie, aangesien sy formulering beperk is tot twee statistieke wat 'n verlies van inligting tot gevolg het. Normaalweg word prestasie-beoordeling nie begin met 'n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer toepaslik is nie. Die Omega-maatstaf inkorporeer die verdeling in die berekening, wat nie die geval is met die Sharpe-maatstaf nie. AI is die opbrengsverdelings normaal, gee die Omega-maatstaf dieselfde resultate as die Sharpe-maatstaf. Waar die verdelings egter afwyk van normaal, weet ons dat die Omega-maatstaf die afwykings korrek verdiskonteer, terwyl dit bewys is dat die Sharpe-maatstaf in sekere omstandighede nie die afwykings korrek verdiskonteer nie. Die Omega-maatstaf voeg 'n verdere dimensie by risiko-aangepaste prestasiemeting en behoort dus ingesluit te word in die evauleringsproses.

Fund investments are very popular in Sweden. However, we have the impression that despite this popularity, the average fund investor in Sweden does not pay much attention to the importance and possible link of fund’s asset composition features (e.g. Asset class, Holdings, and Geo-exposure) to fund’s performance. Instead, S/he relies on factors such as fees, risk levels, historical performance, etc. in her/his investment decisions. Similarly, academic studies mainly focus on attributes such as funds fees, size, and manager’s skill to explain fund’s performance. Thus there are limited premier academic studies on the relationship between fund’s performance and its asset composition features. The main purpose of this study is to investigate possible causal relationship between the performances of funds with their assets composition features. We study the whole population of 346 Swedish listed mutual funds older than five years for the period 2009-2013. The results of the study provides the investors and analysts with additional decision-making and investment-analysis tools to assist them in making more informed judgment on funds and their expected returns. The results are also useful for fund managers to improve their strategies by refining the combinations of their funds’ asset composition attributes in order to improve the absolute risk-adjusted performance of their funds. Our research philosophy has been based on positivism and objectivism along with functionalist paradigm and we have applied deductive approach to test the theories. We have used quantitative method and collected the funds’ data from public business databases and chosen Jensen’s alpha and Treynor ratio as funds’ risk-adjusted performance measures. We performed Correlation tests and Regression with robust techniques on our data to answer the research question from three aspects, namely asset class (equity, bond, and mixed assets); geo-exposures (Sweden, Global, Europe, and Nordic) and Top-ten holdings’ measures (asset concentration and Treynor of each fund’s passive top-ten sub-portfolio). We conclude that correlations between funds’ risk-adjusted performance and assets composition features are likely to exist. Stronger correlations are observed between the explanatory measures and fund’s relative risk-adjusted performance (fund’s Treynor) as compared to fund’s absolute risk adjusted performance (fund’s Jensen’s alpha). Asset concentration in top-ten holdings and bond asset class are more likely to be in casual relationship with fund’s risk-adjusted performance, whereas Treynor ratio of top-ten holdings’ passive sub-portfolio as well as fund’s geo-exposure do not seem to have strong explanatory power for funds’ absolute performance.