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.

Bakgrund: Hållbarhet har blivit alltmer central i dagens samhälle och investeringar i hållbara alternativ har ökat. Diskussionen kring målen för dessa investeringar inkluderar bland annat etiska aspekter, där investerare strävar efter att påverka företag att agera mer hållbart. Den pågående omställningen påverkar inte bara investerare utan skapar även en ny efterfrågan företagen måste anpassa sig till. Syfte: Syftet med studien är att undersöka och analysera Generation X och Generation Z hållbara investeringsbeslut på den svenska fond- och aktiemarknaden samt undersöka vilka motiv och egenskaper som grundar hållbara investeringar. Metod: Studien har använt sig av en kvantitativ metod med en deduktiv ansats. Det empiriska materialet samlades in genom en digital enkätundersökning, vilket resulterade i 168 svar som utgjorde grunden för den fortsatta analysen genom regressionsanalyser. Resultat: Studiens resultat visade att det inte fanns ett signifikant samband mellan hållbart investerande och generationer. De variabler som visade på ett signifikant samband var i stället Personliga värderingar, Risk & Avkastning, Omgivning samt Kunskap. Slutsats: Ambitionen med studien var att öka förståelsen för hur generationstillhörighet kan påverka hållbart investerande. Således har studien bidragit till en förståelse för vem den hållbara generationen är samt vilka motiv och faktorer som kan påverka hållbart investerande. / Background: Sustainability plays a central role in today’s society, with increased investments in sustainable alternatives. The discussion around the goals of these investments includes both ethical and change-related aspects, where investors strive to influence companies to act more sustainably. The ongoing transition not only affects investors but also creates a new demand that companies must adapt to. Purpose: The purpose of the study is to investigate and analyze Generation X and Generation Z's sustainable investment decisions on the Swedish fund and stock market, as well as to examine the motives and characteristics underlying sustainable investments. Methodology: The study has used a quantitative method with a deductive approach. The empirical data was collected through a digital survey, resulting in 168 responses that formed the basis for further analysis through regression analyses. Results: The study's findings revealed that there was no significant relationship between sustainable investing and generations. Instead, the variables that showed a significant relationship were Personal values, Risk & Return, Environment, and Knowledge. Conclusion: The aim of the study was to enhance understanding of how generational belonging can influence sustainable investing. Thus, the study has contributed to an understanding of who the sustainable generation is, as well as the motives and factors that can affect sustainable investing.

Det ökade fokuset på hållbarhet har gjort miljö-, social- och styrningsfaktorer (ESG) till kritiska faktorer när man fattar investeringsbeslut. Denna studie beskriver och analyserar sambandet mellan ESG-screening och finansiella prestandan hos portföljer inom STOXX Europe 600-indexet mellan 2019 och 2023. Studien tillämpar en kvantitativ ram för att analysera tre portföljer, var och en med olika tröskelvärden för ESG-screening, och undersöker om högre ESG-rating korrelerar med högre avkastning. Genom att tillämpa CAPM tillsammans med Fama Frenchs trefaktormodell samt prestationsmått som Sharpekvoten, Beta och Jensens Alfa, syftar studien till att ge en fördjupad jämförelse av portföljer med olika ESG-kriterier mot det europeiska aktieindexet. Resultaten visar att ESG-screenade portföljer inom STOXX Europe 600 inte överträffade indexet i hänsyn till deras riskjusterade avkastning. Denna studie bidrar till diskussionen om de ekonomiska fördelarna med hållbara investeringar, genom att visa att även om ESG-screenade portföljerna har högre hållbarhetsgrad, leder de inte nödvändigtvis till förbättrade finansiella resultat på de europeiska marknaderna. / The increasing focus on sustainability has made Environmental, Social and Governance (ESG) factors critical elements when making investment decisions. This study evaluates the relationship of ESG screening and the financial performance of portfolios within the STOXX Europe 600 index between 2019 and 2023. Using a quantitative framework, this study analyzed three portfolios – each with different ESG-screening thresholds – to investigate whether higher ESG-rating correlates with higher financial returns. By applying CAPM and the Fama-French three-factor model along with performance metrics such as the Sharpe ratio, Beta and Jensen’s Alpha, the study aims to provide an in-depth comparison of portfolios with ESG-criteria against the European stock index. The results indicate that ESG-screened portfolios within STOXX Europe 600 did not outperform the unscreened index, in terms of risk-adjusted returns.  This study adds to the ongoing discussion about the financial benefits of sustainable investing by showing that whilst ESG-screened portfolios have higher sustainability measures, they do not necessarily lead to improved financial results in the European markets.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)

No description available.

No description available.

Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorporated in the stock price. The efficient market hypothesis has been studied and debated for several decades. Proponents of the EMH argue that all available information is incorporated in the stock price, thus it is not possible to systematically beat the market. However, EMH is controversial, since research has shown different results regarding the possibility to make abnormal return from various investing strategy. Research question: Is it possible to make abnormal returns by investing in a portfolio of worldwide firms with top scores on the SRI screen employee satisfaction? Purpose: The main purpose of this study is to examine investor’s possibility to make abnormal return with controls for multiple risk factors by investing in worldwide firms with top scores in employee satisfaction. One sub-purpose is to examine how the market values intangibles depending on the degree of market efficiency. Another sub-purpose of the study is to test two different portfolio weighting methodologies, equally- and value weighted, and observe the differences between them. Theory: This study deals with the efficient market hypothesis and the concepts of SRI, employee satisfaction, intangible assets and several risk-adjusted measurements. Method: We have chosen to perform a quantitative study with a deductive approach to answer our research question. We used a sample size of 696 firms based on “Great Place to Works”- lists of companies with high employee satisfaction to construct sex portfolios with different holding periods and strategies. These portfolios have been explored and tested significantly with both equally and value weighted methods. Result/Analysis: The study finds significant evidence of an average annual abnormal return of 3,66% and 2,43% for our main portfolio over the market for equally- and value weighted, respectively, using the three-factor model. When adjusting for momentum, thus employing the four-factor model, all the predictive variables still identify strong persistence in the abnormal return, with statistical significance. Conclusion: The results show that it is possible to make abnormal returns, during the observed time period, regardless of the weighing methodology, although the equally weighted received higher abnormal returns. Thus, the market efficiency appears to be in weak form and does not fully value intangibles.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)

Bakgrund: Under de senaste åren har svenska investerares intresse för hållbara investeringar ökat. Tidigare studier har genomförts för att identifiera vem den hållbara investeraren är, varför de väljer att investera hållbart och hur de går till väga. Däremot finns det fortfarande behov av vidare forskning på den svenska marknaden varav en kunskapslucka identifierats. Syfte: Syftet är att via en kvantitativ studie undersöka vilka demografiska faktorer som kännetecknar svenska, hållbara investerare. Studien ämnar även att undersöka vilka motiv och tillvägagångssätt som ligger till grund för hållbara investeringsbeslut på den svenska finansmarknaden. Metod: Studien har tillämpat en kvantitativ metod, deduktiv ansats, och en ickeexperimentell tvärsnittsdesign. Det empiriska materialet samlades in via en digital enkätundersökning via ett bekvämlighetsurval. Undersökningen resulterade i totalt 469 användbara svar som sedan analyserades via regressionsanalyser. Resultat: För de demografiska faktorerna är det endast kön som har ett 5 procent signifikant samband med den beroende variabeln. Resultatet visar även att samtliga undersökta motiv och tillvägagångssätt, med undantag för flockbeteende, har ett 5 procent signifikant samband med den beroende variabeln. Slutsats: Ambitionen med studien var att öka förståelsen för hållbara investeringar från den privata investerarens perspektiv. Således har studien bidragit med en förståelse för vem den svenska, hållbara investeraren är, hur den går till väga och varför den investerar hållbart. / Background: In recent years, Swedish investors have shown an increasing interest in sustainable investments. Previous studies have been conducted to identify who the sustainable investor is, why the investor chooses to invest sustainably and what strategy he or she uses. However, there is a need of further research in the Swedish market, whereof a knowledge gap has been identified.  Purpose: The purpose of this study is to investigate what demographic factors that characterize Swedish, sustainable investors. The study also intends to examine the motives and strategies used in the sustainable investment decision. Methodology: The study has applied a quantitative method, deductive approach, and a non-experimental cross-sectional design. The empirical material was conducted via a digital survey based on convenience sampling. The survey resulted in a total of 469 useful responses which were then analyzed via regression analyzes. Results:  The result shows that the demographic factor gender is the only independent variable with a 5 percent significant impact on the dependent variable. The result also shows that all examined motives and strategies, with the exception of herding, have a 5 percent significant impact on the dependent variable.  Conclusion: The aim of the study was to increase the understanding of sustainable investments from the perspective of the private investor. Thereby, the study contributes with an understanding of who the Swedish, sustainable investor is, what strategy the investor uses and why the investor invests sustainably.

Today fund matching is a natural part of Swedes finance and is a popular form of savings that includes a large number of investors in the Swedish fund market. This in turn generates an increased interest in how portfolio managers should locate and acquire knowledge in portfolio selection. This gives a greater interest in how different investment strategies can be affected and generate an investors wealth to an increased level within the stock market, which gives an increased focus to be able to generate as high risk-adjusted return as possible. The study partly presents traditional theory and background on modern portfolio theory and the efficient market hypothesis. Empirical studies also present within the financial market that demonstrate the differences of opinion between how actively versus passively managed funds have performed and which investment strategy is most beneficial for investment.  The purpose of the study is to compare realized return on active versus passive funds during long term, short term and specific time periods that had a lot of economic fluctuations, like bear markets. Within the study 10 actively managed funds and two index measures are selected to be studied and compared based on their respective performance, both within its rise and fall in the Swedish fund market. The performance measures will then be applied to be able to produce the results of the study and to be able to answer whether the active fund’s have any statistically significant over- and underperformance. After conducting single index models and t-test on the 10 active funds, the result of the study shows that despite using two benchmarks index, ten different active funds, long time period, short time period or specific time periods defined by market imbalance , we still resulted in many P-values that was not statistically significant. Active funds failed to overperform against passive funds, but passive funds also failed to outperform our selection of active funds.