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Hållbara trender - presterande fonder?: En kvantitativ studie om hur ESG påverkar Sverigefonders prestation
Södertörn University, School of Social Sciences, Business Studies.
Södertörn University, School of Social Sciences, Business Studies.
2021 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Sustainability has become a major societal trend and interest in sustainable investments has increased among investors. The purpose of this study is to investigate how sustainability affects Swedish funds' returns and risk. Since research on the impact of sustainability on funds focuses mostly on investments outside Sweden, this study has limited itself to Swedish funds to fill the gap in research. The study analyzes 67 Swedish funds during 2015-2019 using various models such as CAPM, Fama-French three-factor model and Sharpe ratio. Furthermore, the funds' sustainability is measured using Morningstar's sustainability rating. Results show no signs of linear regression between sustainability and results from different models and the results of the study are not statistically significant. Thus, the study concludes that it is not sustainability that affects risk and return among the Swedish funds, but there may be other factors that have not been taken into account in this study. However, previous research shows that sustainable funds perform better and are more stable during times of crisis. This study has not examined the Swedish funds during times of crisis, but this may be an interesting topic for future research.

Abstract [sv]

Hållbarhet har blivit en stor samhällstrend och intresset för hållbara investeringar har ökat bland investerare. Syftet med denna studie är att undersöka hur hållbarhet påverkar Sverigefonders avkastning och risk. Eftersom forskning kring hållbarhetens påverkan på fonder fokuserar mestadels på investeringar utanför Sverige har denna studie avgränsat sig till Sverigefonder för att fylla luckan i forskningen. Studien analyserar 67 Sverigefonder under 2015-2019 med hjälp av olika modeller såsom CAPM, Fama-French trefaktormodell och Sharpekvot. Vidare mäts fondernas hållbarhet med hjälp av Morningstar hållbarhetsbetyg. Resultat visar inga tecken på linjär regression mellan hållbarhet och resultat från olika modeller samt studiens resultat är inte statistiskt signifikanta. Därmed är studiens slutsats att det inte är hållbarhet som påverkar på risk och avkastning bland Sverigefonderna utan det kan vara andra faktorer som inte tagits hänsyn till i denna studie. Däremot visar tidigare forskning att hållbara fonder presterar bättre och är mer stabila under kristider. Denna studie har inte undersökt Sverigefonderna under kristider men detta kan vara ett intressant ämne för framtida forskning.

Place, publisher, year, edition, pages
2021. , p. 37
Keywords [en]
Sustainability, ESG, Swedish funds, Risk, Returns, CAPM, Fama-French three-factor model, Sharpe ratio, Morningstar sustainability rating
Keywords [sv]
Hållbarhet, ESG, Sverigefonder, Risk, Avkastning, CAPM, Fama-French trefaktormodell, Sharpekvot, Morningstar hållbarhetsbetyg
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-45770OAI: oai:DiVA.org:sh-45770DiVA, id: diva2:1567799
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2021-06-17 Created: 2021-06-16 Last updated: 2021-06-17Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • harvard-anglia-ruskin-university
  • apa-old-doi-prefix.csl
  • sodertorns-hogskola-harvard.csl
  • sodertorns-hogskola-oxford.csl
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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