Sweden is one of the countries in the world where investing in mutual funds is most prevalent among the population. The supply of funds in the market has increased significantly in recent decades as well as the public debate on ethical issues. This has contributed to the development of the market for ethical funds. There is no clear definition of what an ethical fund is but generally it is a fund that takes into account factors related to social responsibility in different ways. This study analyzes the ethical funds historical performance levels in comparison with the corresponding traditional mutual funds. Three questions have been answered with the help of quantitative and qualitative analysis. A computational model has been constructed in Excel to analyze historical data from a range of ethical funds and traditional mutual funds. The results of the calculations are the basis for the quantitative portion of the analysis. These have been supplemented by external expertise. The effects, which the commodity prices have had on the yield differences between traditional and ethical funds, have also been studied. In this study, the price of oil has been chosen to illustrate these effects. It is not possible to reliably reach any general conclusions about how ethical funds as a fund category have performed in comparison with the corresponding traditional mutual funds. However, a pattern is observed, that the risk levels for the selected ethical funds, during the periods studied when the market went sharply up or down, respectively, were higher in all cases. The reason for this seems to be the diversification problems that have arisen due to the ethical constraints, something that both the underlying theory on the subject and the discussion with one of Swedbank Roburs portfolio manager’s support. The increased level of risk has contributed to the fact that ethical funds have found it harder to reach an equivalent risk-adjusted rate of return when the bull and the bear markets were examined. / Sverige är ett av de länder i världen där sparandet i fonder är som mest utbrett bland befolkningen. Utbudet av fonder på marknaden har ökat markant de senaste decennierna och i takt med att samhällsdebatten kring etiska frågor ökat, har en ny marknad vuxit fram, marknaden för etiska fonder. Det finns ingen tydlig definition på vad en etisk fond är men generellt är det fonder som tar hänsyn till faktorer kopplade till socialt ansvarstagande på olika sätt. Denna undersökning analyserar etiska fonders historiska prestationsnivåer i jämförelse med motsvarande traditionella aktiefonder. Tre frågeställningar har besvarats med hjälp av kvantitativ och kvalitativ analys. En beräkningsmodell har byggts i Excel i syfte att analysera historisk data från ett urval av etiska fonder och traditionella aktiefonder. Resultaten från beräkningarna ligger till grund för den kvantitativa delen av analysen som därefter har diskuterats med extern expertis. Råvaruprisernas effekter på skillnader i avkastning mellan traditionella och etiska fonder har också analyserats. I denna undersökning har oljepriset valts för att studera dessa effekter. Det går inte att med säkerhet komma fram till några generella slutsatser kring hur etiska fonder som fondkategori presterat i jämförelse med motsvarande traditionella aktiefonder. Dock kan ett mönster observeras under de perioder som undersökts då marknaden gått kraftigt uppåt respektive neråt, nämligen att risknivåerna för de utvalda etiska fonderna varit högre i samtliga fall. Anledningen till detta tycks vara de diversifieringsproblem som uppstått till följd av de etiska restriktionerna, något som bakomliggande teori inom ämnet och intervju med en av Swedbank Roburs förvaltare stödjer. Den ökade risknivån bidrar till att de etiska fonderna haft svårare att uppnå en likvärdig riskjusterad avkastning när den uppåtgående och den nedåtgående perioden granskats.

京都大学 / 0048 / 新制・課程博士 / 博士(医学) / 甲第20241号 / 医博第4200号 / 新制||医||1020(附属図書館) / 京都大学大学院医学研究科医学専攻 / (主査)教授 今中 雄一, 教授 川上 浩司, 教授 川村 孝 / 学位規則第4条第1項該当 / Doctor of Medical Science / Kyoto University / DGAM

京都大学 / 0048 / 新制・課程博士 / 博士(社会健康医学) / 甲第20288号 / 社医博第77号 / 社新制||医||9(附属図書館) / 京都大学大学院医学研究科社会健康医学系専攻 / (主査)教授 川上 浩司, 教授 一山 智, 教授 伊達 洋至 / 学位規則第4条第1項該当 / Doctor of Public Health / Kyoto University / DGAM

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 study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. The findings show that there are no statistical differences in risk-adjusted returns between portfolios with high and low ESG scores. These findings are evident when sole capital gain is considered, and when dividends are reinvested. Differences can however be discerned between portfolio weights. All portfolios show excess returns when adjusted for risk factors in the market. The results from this study contribute to the literature surrounding ESG assets by providing evidence of how high- and low-rated ESG stocks have performed in the European market. This study has practical implications for actors in the capital markets, as it is evident from the results that ESG ratings have no apparent effect on the risk-adjusted returns of a portfolio. If sustainability is of high importance, high ESG companies offer the advantage of aligning financial performance with stakeholder goals, as well as providing adequate returns.

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.

We consider two applications of control charts in health care. The first involves the comparison of four methods designed to detect an increase in the incidence rate of a rare health event, such as a congenital malformation. A number of methods have been proposed: among these are the Sets method, two modifications of the Sets method, and the CUSUM method based on the Poisson distribution. Many of the previously published comparisons of these methods used unrealistic assumptions or ignored implicit assumptions which led to misleading conclusions. We consider the situation where data are observed as a sequence of Bernoulli trials and propose the Bernoulli CUSUM chart as a desirable method for the surveillance of rare health events. We compare the steady-state average run length performance of the Sets methods and its modifications to the Bernoulli CUSUM chart under a wide variety of circumstances. Except in a very few instances we find that the Bernoulli CUSUM chart performs better than the Sets method and its modifications for the extensive number of cases considered. The second application area involves monitoring clinical outcomes, which requires accounting for the fact that each patient has a different risk of death prior to undergoing a health care procedure. We propose a risk-adjusted survival time CUSUM chart (RAST CUSUM) for monitoring clinical outcomes where the primary endpoint is a continuous, time-to-event variable that is right censored. Risk adjustment is accomplished using accelerated failure time regression models. We compare the average run length performance of the RAST CUSUM chart to the risk-adjusted Bernoulli CUSUM chart, using data from cardiac surgeries to motivate the details of the comparison. The comparisons show that the RAST CUSUM chart is more efficient at detecting deterioration in the quality of a clinical procedure than the risk-adjusted Bernoulli CUSUM chart, especially when the fraction of censored observations is not too high. We address details regarding the implementation of a prospective monitoring scheme using the RAST CUSUM chart. / Ph. D.

We are currently in the golden age of sustainable investing much thanks to the increasedimportance of companies acting responsibly and sustainably. ESG reporting practices aredrastically improving globally. However, emerging market equities remain remarkablyunderrepresented compared to developed market equities in institutional investors’sustainability portfolios. One of the most popular sustainable investing practices is ESG investing. Over the years, institutional investors have developed several ESG investingstrategies. A relatively new and upcoming strategy which is expected to growtremendously over the coming years is thematic ESG investing which differentiates itselfcompared to more traditional strategies. To the author’s knowledge, very few studies havebeen conducted comparing the performance of ESG investment strategies against eachother, especially comparing thematic ESG versus more traditional ESG investingstrategies in emerging markets. This study found that emerging market based thematic ESG portfolios built around thetheme of clean energy perform better financially compared to more traditional emergingmarket-based non-thematic ESG portfolios. Hence, answering our stated researchquestion “How do Clean Energy focused thematic ESG investment portfolios performcompared to non-thematic ESG portfolios in emerging markets?”. Thematic clean energyportfolios rebalanced annually and quarterly performed better in almost every aspect(return, risk and risk/return) compared to broader non-thematic ESG portfolios during ourselected 5-year period, indicating that thematic investing may be the better strategy toadopt if investing sustainably in emerging markets. This study also found evidenceindicating that emerging market-based thematic clean energy portfolios may performbetter than their developed market counterpart. These findings should persuade investorsto finally break the norm and allocate more capital towards emerging market equities,unlocking the potential for previously hidden diversification opportunities. By analyzingthe performance differences through the lens of existing financial theories, this studymanages to also break new ground within the field of sustainable investing literatureadding new valuable insights while also challenging already existing financial theoriessuch as the efficient market hypothesis. This is a quantitative comparative study utilizing a deductive approach, where the authorshave created and compared the performance of sustainable equity portfolios in emergingmarkets. The Carhart four-factor model was applied through OLS regression to explainthe excess returns of the portfolios, Monte Carlo simulations were conducted to predictfuture movements of the portfolios while multiple performance metrics such as Sharpe,Sortino, and Treynor were calculated and compared.

Many studies have been published on active versus passive management, yet there was a significant gap in how Scandinavian-managed equity funds perform during intense crises, specifically the 2019-2023 period. The study investigated whether Scandinavian actively managed funds could achieve higher risk-adjusted returns than Scandinavian passively managed funds during two intense crises, Covid-19 and the Russian-Ukraine war. The efficient market hypothesis (EMH) was introduced to analyze markets' efficiency and help determine active managers' ability to outperform passive funds with market information. The data consisting of 95 funds was analyzed with a direct quantitative comparative analysis guided by objective ontology and positivist epistemology. To analyze the data over time, a cross-sectional time series was implemented to analyze patterns during the five-year period. The comparison between active and passive funds was performed with the risk-adjusted return, measured by the Sharpe ratio. Our findings showed consistent results that active fund management lacks a significant advantage over passive index funds in four out of five portfolios, aligning with our hypothesis. The results also support the EMH, suggesting that there is market efficiency. The findings provide implications for investors' decision-making process as the study contributes to the discussion on whether active or passive funds are the superior choice. During the period of 2019-2023, the optimal investment decision to achieve the highest risk-adjusted return was to invest in passively managed funds. While the research acknowledges behavioral aspects of fund managers during crises, future research should delve deeper into qualitative factors influencing the management strategy.

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