Hållbarhet har kommit att bli en av denna generations största utmaningar och som ett resultat av ett globalt växande klimatfokus har regeringar och mellanstatliga organisationer utformat allt mer omfattande regleringar och initiativ för att möta samhällets krav på en hållbar utveckling. Att företag ska engagera sig i hållbarhetsarbete och ta socialt ansvar anses allt mer som en självklarhet och följaktligen har hållbarhetsfrågor inte enbart fått större inslag inom företag och dess ledningsgrupper, utan även hos investerare. Denna studie har som syfte att analysera huruvida ESG påverkar den justerade avkastningen på fonder i Sverige och Norden. För att analysera detta förhållande fokuserar studien på fonders hållbarhetsbetyg grundade på hållbarhetsparametrarna miljö, socialt ansvar och bolagsstyrning (ESG). I denna studie utforskar vi den övergripande frågan om konceptet ESG och för en diskussion kring dess inverkan på fondpriser. Metoden som används innefattar de finansiella kvoterna Sharpe, Sortino och Treynor samt Jensens Alfa, vars värden i sin tur jämfördes mot urvalet av fonder i studien som rangordnats efter Morningstars hållbarhetsbetyg. Studiens resultat leder till slutsatsen att det inte finns något tydligt positivt eller negativt samband mellan fonders riskjusterade avkastning och dess hållbarhetsbetyg. / Sustainability has become one of the biggest challenges for the current living generation and as a result of the increased focus on the climate issue, governments and intergovernmental organizations have designed increasingly comprehensive regulations and initiatives in order to meet society's demands for sustainable development. That companies should become more involved in sustainability work and take social responsibility is increasingly regarded as a matter of course, and consequently sustainability issues have not only gained greater importance within companies and its management groups, but also with investors. The purpose of this study is to analyse whether ESG affects the adjusted returns for funds in Sweden and the Nordics. In order to analyse this relationship the study focuses on the sustainability rating of mutual funds that are based on the sustainability parameters environmental, social and corporate governance, together referred to as ESG. In this study, we explore the overall concept of ESG and discuss its impact on fund prices. The method being used includes the financial quotas Sharpe, Sortino, Treynor and Jensen's Alpha, whose values in turn was compared against the selection of funds in the study ranked according to their respective Morningstar sustainability rating. The results of the study lead to the conclusion that there is no clear correlation, neither positive nor negative, between the funds risk-adjusted returns and its sustainability rating.

Over the past decades, investing and saving in mutual funds has become a popular alternativefor generating returns. Interest continues to grow and is widespread among different types ofinvestors, ranging from small-scale savers to professional investors, as well as differentgeographic markets. As interest and investment has grown, so has the range of fundsavailable, and with it the range of focused funds. Among these are real estate funds, fundsconsisting of holdings in the real estate market including different types of real estatecompanies and property-related assets. The ownership of funds is associated with a fee to cover various costs associated withoperating the fund. These fees can vary greatly in size across fund types and managers andaffect the fund’s performance and returns. Fees in relation to return have been researchedwith varying results and with the rise of focused funds, the authors felt that it should befurther investigated. The purpose of this study was thus formulated to investigate whetherthere is a relationship between fund fees and returns for real estate funds. This in turn toanswer whether it is justified for fund managers to charge a higher fee and to examine if theTheory of an Efficient Market holds or not. For this, a total sample of 69 real estate fundsfrom the Swedish, Norwegian and Finnish markets during a 3 year period from 1th of January2020 to the 31th of December 2022 was examined. In summary, based on the conducted regression analyses, it can be inferred that the results,similar to previous research, vary. However, it can be observed that there is a negativerelationship between fund fees and the risk-adjusted returns of real estate funds whenanalysing funds that have been active throughout the examined period. The analyses alsoreveal that the age and size of the funds have an impact on the risk-adjusted returns, whereyounger funds with large assets generate higher returns. This means that young real estatefunds with large assets and lower fees generate higher returns compared to older funds withsmall assets and higher fees. Consequently, it is not justified for managers to charge higherfees, nor for investors to pay them. Investors seeking to maximise their returns are thereforeadvised to choose real estate funds with low fees. Finally, based on this, it can be assumedthat the Theory of Efficient Markets holds for real estate funds in the Swedish, Norwegian,and Finnish markets.

This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. The method adopted in order to answer the question is the construction of a negatively screened portfolio. The negative screening is done on an industry basis to see if excluding firms that engage in activities related to ESG risks would increase or decrease portfolio performance. Costs or benefits are primarily estimated as the intercept, also referred to as alpha, from Carhart’s (1997) four-factor model but is complemented by both the CAPM and the Fama-French three-factor model. The results of this study indicate no significant findings, as measured in alpha, achieved from the negative screening. However, the findings suggest a lower Sharpe ratio in the screened portfolio, and that negative screening may be associated with a lower systematic risk similar to what previous research has found.

Value investing as a strategy has a well-established history and has undergone extensive testing and studies within financial economics. Through the use of the strategy, studies and investors have demonstrated a positive return, where in many cases it has managed to generate excess returns compared to the market. The problem arises from the fact that the strategy should not be able to consistently generate excess returns compared to the market as it is not supported by the efficient market hypothesis (EMH). The purpose of the study is to investigate whether value investing as a strategy succeeds in generating excess returns on the Stockholm Stock Exchange. The method is based on a screening process, followed by a ranking system inspired by Joel Greenblatt’s value investment strategy "The Magic Formula". The method aims to systematically identify undervalued stocks based on the combination of two key ratios. Based on the applied method, two fictional portfolios were created with 15 stocks in each, based on value investing as a strategy. Historical data between 2013-2023 was collected to create the portfolios, with restructuring taking place each year based on set criteria. During this period, one of the portfolios showed a total return of 284.49%, which was an excess return compared to all benchmark indices in the study. The observed excess return suggests market inefficiency, where there may be opportunities for investors to identify and take advantage of undervalued stocks in the market. However, this excess return was not statistically significant when adjusted for risk, which in turn supports the EMH. Despite the strategy's success in generating excess returns compared to the market, it is therefore difficult to determine the level of efficiency at which the Swedish market has operated during the investigated period.

Background: In 1999 the Swedish pension system was reformed with an aim to create a stable and high return on pension assets. First, Second, Third and Fourth general pension funds, hereby referred to as AP1-AP4, had an important part in the reform. AP1-AP4, also called the buffer funds, was assigned to secure long-term, big parts of the pension capital. The funds objective is by law, to manage the fund's assets in a manner that provides maximum benefit for the state pension. The funds will also invest pension assets with an overall low level of risk while achieving a sustainable high return. Aim: The purpose of this study is to investigate whether the First-Fourth AP-Funds is meeting its objectives regarding risk and return according to Swedish law. The aim is also to see how AP1-AP4 risk-adjusted returns compare to the four Sweden funds risk-adjusted returns according to modern portfolio theory. Theory: Morningstar Rating, Treynor ratio, Sharpe ratio, Jensen's Alpha, Standard Deviation, Beta. Conclusion: The risk-adjusted performance measures used in this study shows that there are clear differences between the two fund groups, where the AP-funds performed worse than the Sweden funds in every measurement. The study shows that the pension funds do not reach their goals over the five-year period, in four of the five time intervals listed in the study. In summary, the study shows that pension funds have a lower risk-adjusted return than the four bank Sweden funds and that the pension funds have not achieved their goals.

In recent times, the popularity of hedge funds has undoubtedly increased. There are shared opinions on whether hedge funds generate absolute rates of returns and whether they provide a strong alternative investment to mutual funds. This thesis aims to examine whether hedge funds with different investment strategies create absolute returns and if certain investment strategies outperform others. This thesis compares hedge funds risk-adjusted rate of return towards mutual funds, such as mutual funds, to see if certain investment strategies are more lucrative than the corresponding investments in terms of excess returns to corresponding indices. An econometric approach was applied to search for significant differences in risk-adjusted returns of hedge funds in contrast to mutual funds. Our results show that Swedish hedge funds do not generate as high risk-adjusted returns as Swedish mutual funds. In regard to the best performing hedge fund strategy, the results are inconclusive. Also, we do not find any evidence that hedge funds violate the effective market hypothesis. / Hedgefonder har den senaste tiden ökat i popularitet. Samtidigt finns det delade meningar huruvida hedgefonder genererar absolutavkastning och om de fungerar som bra alternativ till traditionella fonder. Denna uppsats syftar till att undersöka huruvida hedgefonder skapar absolutavkastning samt om det finns investeringsstrategier som presterar bättre än andra. Denna uppsats jämför hedgefonders riskjusterade avkastning med traditionella fonder, för att på sätt se om en viss investeringsstrategi ar mer lukrativ i termer av överavkastning i förhållande till motsvarande index. Vi har använt ekonometriska metoder för att söka efter statistiskt signifikanta skillnader mellan avkastningen för hedgefonder och traditionella fonder. Våra resultat visar att svenska hedgefonder inte genererar högre risk-justerade avkastningar än svenska aktiefonder. Våra resultat visar inga signifikanta skillnader vad gäller avkastning mellan olika strategier. Slutligen finner vi heller inga bevis för att hedgefonder går emot den effektiva marknadshypotesen

Bakgrund: Aktiemarknaden har aldrig haft en lägre ingångströskel där internetbaserade plattformar för investeringar har ökat tillgängligheten för både privata och institutionella investerare. Den höga aktiviteten på marknaden, i samspel med diverse finanskriser de senaste decennierna, har inneburit högre volatilitet på marknaden. Denna volatilitet nådde nya höjder under 2020 som innefattades av ett börsras i samband med Covid-19-pandemin, följt av en stark återhämtning med hjälp av global kapitaltillförsel. Året 2020 är på många sätt ett unikt år, inte minst på aktiemarknaden, och samtidigt har frågor och arbete kring hållbarhet fått en hög prioritet under senare år. Det finns därför ett intresse att vidare undersöka ESG och dess påverkan på de svenska bolagens avkastning. Syfte: Syftet med denna studie är att analysera hur ESG-betyg påverkar noterade svenska bolags aktievärde samt huruvida detta har förändrats till följd av ett turbulent år 2020 i relation till år 2019. Författarna avser även att undersöka huruvida ett relativt högre ESG- betyg är förenligt med högre riskjusterad avkastning och om aktierelaterad prestation avseende branschfördelning är framträdande. Metod: För att uppfylla studiens syfte har en kvantitativ metod med en deduktiv ansats tillämpats. Genomförandet av studien består av en analys av aktiekursutvecklingen för svenska bolag med ett tilldelat ESG-betyg under åren 2019 och 2020. För dessa bolag har det vidare konstruerats portföljer med höga respektive låga ESG-betyg samt avseende branschtillhörighet. En jämförelse utfördes sedan av avkastning, risk samt riskjusterad avkastning. Resultat: Resultatet finner inget signifikant samband mellan ESG-betyg och avkastning för 2019 men ett signifikant svagt negativt samband för 2020. Komparativt mellan portföljerna visade sig bolagen med högt ESG-betyg generera en marginellt högre avkastning och riskjusterad avkastning år 2019. År 2020 hade bolag med lågt ESG-betyg en betydligt högre avkastning och riskjusterad avkastning än bolagen med högt betyg. Diskrepansen på avkastning var stor till fördel för de bolag med låga ESG-betyg, undantaget för branschen Råvaror (Energi) som visade på ett motsatt samband. / Background: The stock market has never had a lower entry threshold where internet-based investment platforms have increased accessibility for both private and institutional investors. The high activity in the stock market, in conjunction with various financial crises in recent decades, have resulted in higher volatility in the market. This volatility reached new heights in 2020, which was accompanied by a stock market crash as a result of the Covid-19 pandemic, followed by a strong recovery with the help of global capital injections. 2020 is in many ways a unique year, with no exception for the stock market, while at the same time, sustainability issues have been given a high priority in recent years. Investigating ESG and its impact on Swedish companies' stock returns is therefore of further interest. Purpose: The purpose of this study is to analyze how ESG ratings affect listed Swedish companies' share value and whether this has changed as a result of a turbulent year 2020 in relation to 2019. The authors also intend to investigate whether a relatively higher ESG rating is compatible with higher risk-adjusted return and whether share-related performance in terms of industry distribution is prominent. Methodology: To fulfill the purpose of the study, a quantitative method with a deductive approach has been applied. The implementation of the study consists of an analysis of the share price development for Swedish companies with an assigned ESG rating during the years of 2019 and 2020. For these companies, portfolios with high and low ESG ratings have been constructed, while also regarding industry affiliation. A comparison of return, risk and risk-adjusted return was then performed. Results: The result finds no significant correlation between ESG rating and stock return for 2019 but a significantly weak negative correlation for 2020. Comparatively between the portfolios, the companies with high ESG ratings were found to generate a marginally higher stock return and risk-adjusted return in 2019. In 2020, companies with low ESG rating generated a significantly higher return and risk-adjusted return than companies with high ratings. The discrepancy in stock returns was large in favor of the low ESG ratings, apart from the Raw material (Energy) industry, which had an opposite relationship.

Bakgrund: En stor andel av de svenska invånarna sparar idag i fonder. De senaste åren har utbudet av fonder ökat allt mer, dels genom antalet fondbolag samt spridningen över olika marknader. Fonder allokerade mot tillväxtmarknader, Emerging Markets samt Frontier Markets, är en av de fondtyper som fått större uppmärksamhet på sistone. På grund av lägre grad av transparens från dessa marknader har investerare inte tillgång till lika mycket finansiell information från tillväxtmarknader, de ses även som mindre effektiva jämfört med de mer utvecklade marknaderna. Tillväxtmarknadsfonder tenderar även att ta ut höga avgifter för förvaltningen. Det för oss vidare till att analysera hur förvaltare av tillväxtmarknadsfonder lyckas med sina investeringar sett till den årliga avgift de tar ut för sin förvaltning. Syfte: Syftet med denna uppsats är att studera hur sambandet ser ut mellan fonders årliga avgifter och den riskjusterade avkastningen hos fonder med full allokering mot tillväxtmarknader kategoriserade inom Emerging Markets samt Frontier Markets. Metod: Genom studien har en deduktiv ansats och en kvantitativ metod tillämpats för att undersöka samband mellan flertalet variabler mot den beroende variabeln, Total Expense Ratio. Vi har hämtat in månadsdata från ett urval av 50 fonder via Thomson Reuters som vi sedan analyserat genom nyckeltal samt regressioner. Slutsats: Studiens resultat tyder på att det finns ett negativt samband mellan fondernas riskjusterade avkastning och dess årliga avgift. Vi ser att fonderna med högre avgift tenderar att resultera i en lägre riskjusterad avkastning. / Background: Today most of the swedes saves in mutual funds. The past few years we have seen an increase in the supply of mutual funds. Funds allocated to Emerging Markets and Frontier Markets has gotten more attention as well. These markets have a lower grade of transparency and has a lack of financial information compared to more developed markets. Studies has shown that they are also less efficient than the developed. Mutual funds in Emerging Markets tends to charge higher fees for their management. These factors make it interesting to analyze how the trustees of the mutual funds succeed in their investments related to the Total Expense Ratio that they charge. Purpose: The purpose of this study is to analyze the relationship between mutual funds’ Total Expense Ratio and their risk adjusted return for funds allocated to Emerging Markets and Frontier Markets. Methodology: The authors have used a deductive approach and a quantitative methodology to fulfill the aim of this study. We have gathered data by observing 50 mutual funds and retrieved the data from Thomson Reuters. We have then analyzed the data by calculating key ratios and by regression analysis. Conclusion: The results of this study show that there is a negative relationship between mutual funds’ total expense ratio and their risk adjusted return. We note that mutual funds with higher expense ratios tends to result in lower risk adjusted return.

Utifrån den tidigare forskningen har det varit skiljaktigheter angående hur hållbara investeringar presterar i förhållande till avkastning och risk jämfört med konventionella investeringar. Samtidigt har intresset för hållbara investeringarna ökat vilket medför att det finns ett intresse att analysera hur hållbara investeringar förhåller sig inom avkastning och risk.Denna studie avser att beskriva och analysera hur hållbara aktiefonder förhåller sig i avkastning och risk jämfört med konventionella aktiefonder. Vidare studeras om det råder ett samband mellan hållbarhet och avkastning. I denna kvantitativa studie analyseras den svenska och irländska aktiefondmarknaden under 2016–2022 med totalt 310 slumpmässigt valda aktiefonder, både hållbara och konventionella, med måttet Jensens Alpha. Studiens resultat visade att ett statistiskt signifikant samband mellan hållbarhet och avkastning inte kan fastställas. Följaktligen visade det ingen statistisk signifikant skillnad i avkastning för det svenska aktiefonderna medan irländska hållbara aktiefonder hade en statistisk signifikant lägre avkastning jämfört med de konventionella motsvarigheterna. Vidare visade irländska hållbaraaktiefonder en lägre risk medan svenska hållbara aktiefonder innehade en högre risk jämfört med marknadernas konventionella aktiefonder. / There have been conflicting results from previous research regarding sustainable investing and its financial return compared to regular investment alternatives. Simultaneously, the trend towards sustainable investing has grown significantly in recent times, prompting a keen interest in understanding the effect of sustainable investing on investors, specifically in terms of returns and risks. This study aims to provide insights into sustainable investments in equity funds, specifically in terms of returns and risks, when compared to conventional equity funds. Using Jensen's Alpha methodology, a quantitative study was conducted on 310 randomly selectedequity funds, from both sustainable and conventional categories in Sweden and Ireland during the period of 2016-2022. The main findings showed that there is no strong statistical correlation between sustainability and financial returns. Furthermore, the study revealed that there was no statistically significant difference in returns for Swedish equity funds, whereas Irish sustainable equity funds exhibited statistically significantly lower returns in comparison to their conventional counterparts. Regarding risk, the study demonstrates that Irish sustainable equity funds carried lower risk, while Swedish sustainable equity funds performed with a higher risk when compared to their conventional counterparts.

Bakgrund: Historiskt har många faktorer spelat roll för investerare vid val av investering, framförallt betydande har varit faktorerna finansiell prestation och finansiella prognoser. Under de senaste åren har en rad nya faktorer tagit mer plats och ESG-faktorer har blivit några av de viktigaste aspekterna, både för investerare och andra intressenter. ESG står för Environmental, Social och Governance och är ett mått på investeringens hållbarhet. Även om det ofta diskuteras om ESG som ett helhetsbetyg, så är det mer sällan man diskuterar varje kriterium var för sig. I denna studie har E, S och G separerats för att undersöka om det är hållbarhet inom ett visst område som är mer gynnsamt än ett annat för att uppnå högst riskjusterad avkastning. Syfte: Syftet med denna studie är att undersöka vilket kriterium av E, S och G som genererar högst riskjusterad avkastning på OMXSPI. Metod: Studien har en deduktiv forskningsansats och grundas på en kvantitativ undersökningsmetod. All data har inhämtats från Refinitiv Eikon och man har sedan använt statistiska metoder och skapat regressionsanalyser för att undersöka variablernas samband. Variabeln som används för att mäta riskjusterad avkastning är sharpekvoten. Slutsats: Resultatet av denna studie visar att det finns ett statistiskt säkerställt positivt samband mellan betyget för S året 2018 och riskjusterad avkastning. Resterande år och kriterium finns det både positiva och negativa samband, men inget av dessa är signifikanta. / Background: Historically, many factors have played a role for investors when making decisions about an investment, especially significant have been the factors regarding financial performance and financial forecasts. In recent years, a number of new factors have become important, such as ESG factors. Those have become some of the most important aspects, both for investors and other stakeholders. ESG stands for Environmental, Social and Governance and is a measure of the sustainability of an investment. Although ESG often is discussed as an overall rating, it is less common to discuss each criterion separately. In this study, E, S and G have been separated to investigate whether sustainability focus in one specific area is more favorable than another to achieve the highest risk-adjusted return. Purpose: The purpose of this study is to investigate which criterion of E, S and G that generates the highest risk-adjusted return on OMXSPI. Methodology: The study has a deductive research approach and is based on a quantitative research method. All data were obtained from Refinitiv Eikon and statistical methods with regression analysis were created to investigate the relationship of the variables. The variable used to measure risk-adjusted return is the sharpe ratio. Conclusion: The results of this study show that there is a statistically significant positive relationship between the grade for S year 2018 and risk-adjusted return. The remaining years and criteria have both positive and negative relationships, but none of these are significant.