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ESG and Risk-Adjusted Performance: A study on equity funds under Swedish management during the COVID-19 pandemic
Södertörn University, School of Social Sciences, Economics.
Södertörn University, School of Social Sciences, Economics.
2022 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
ESG och riskjusterade avkastning : En studie om Svenskforvaltade aktipfonder under Covid-nandemin (Swedish)
Abstract [en]

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

Place, publisher, year, edition, pages
2022. , p. 39
Keywords [en]
Socially responsible investment, ESG, Risk-adjusted performance, portfolio risk and standard deviation
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-49541OAI: oai:DiVA.org:sh-49541DiVA, id: diva2:1682372
Subject / course
Economics
Supervisors
Examiners
Available from: 2022-07-13 Created: 2022-07-09 Last updated: 2022-07-13Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
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
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf