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Etikjusterad avkastning
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2019 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Ethically adjusted return (English)
Abstract [en]

The Swedish population has the highest degree of savings in mutual funds. However, there is an

uncertainty among the investors whether or not their savings are put into mutual funds with ethical-,

sustainable- or environmental focus. The number of SRI-funds has increased drastically during the last

twenty years, together with the escalating climate debate. There is a problem with SRI-funds, since

there is no distinct definition for what a SRI-fund is. Especially since the private investors are somewhat

uninformed as of today.

The research that compares the performance of SRI-funds to more conventional funds is not extensive

for Sweden. Therefore, this study aims to contribute to the research through a quantitative method by

studying available data for conventional funds in comparison to SRI-funds.

Performance is defined as risk-adjusted return in this study. This is done since within the financial

world, it is always crucial to weigh the risk in relation to the potential return. Therefore, three measures

for risk-adjusted return has been studied; Sharpe ratio, Alpha and Treynor ratio. This has been done

from the year 2014 until 2018, a period of five years. By comparing the results on one-, three-, and

five-year basis, the results are unanimous.

The results are in line with the previous research within the field; that, given the used data during the

studied period, the conventional funds are outperforming the SRI-funds in terms of risk-adjusted

return. This holds for all three periods from 2014-2018, and for all three different measures for riskadjusted

return.

Abstract [sv]

Svenskar är världens mest fondsparande folk. Däremot råder en osäkerhet bland småspararna kring

huruvida deras pengar är placerade i fonder med etisk-, hållbar- eller miljömässiginriktning. Andelen

SRI-fonder har ökat under de senaste tjugo åren, i takt med en upptrappat klimatdebatt. Det finns en

viss problematik kring att ingen entydig definiton finns kring vad som klassas som en SRI-fond eller inte,

då sparare inte är helt medvetna i dagsläget.

Forskningen kring hur SRI-fonder presterar gentemot konventionella fonder är inte särskilt utbredd i

Sverige. Därför ämnar denna studie att bidra till forskningen genom att genom en kvantitativ metod

studera tillgänglig data för konventionella Sverigefonder kontra SRI-fonder.

Med prestanda avses i detta arbete riskjusterad avkastning, då det inom finansiella marknader alltid

handlar om att väga risk mot potentiell avkastning. Därav undersöks tre mått för riskjusterad

avkastning; Sharpekvoten, Alpha och Treynor. Detta görs från år 2014 till 2018, alltså en period på fem

år. För att få ytterligare underlag att kunna besvara frågeställningen undersöks dessa mått under

perioder på ett, tre och fem år från 2018.

Resultatet bllir i linje med den tidigare forskning; att, givet det använda datamaterialet under den

studerade tidsperioden, de konventionella fonderna presterar bättre än SRI-fonderna med avseende

på riskjusterad avkastning. Detta gäller för alla tre perioder under 2014 till 2018, och för alla mått på

riskjusterad avkastning.

Place, publisher, year, edition, pages
2019.
Series
TRITA-ABE-MBT-1915
Keywords [en]
SRI, Social Responsible Investments, CSR, Corporate Social Responsibility, Risk-adjusted return, SRI-funds, Conventional funds, The effective market hypothesis
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-254274OAI: oai:DiVA.org:kth-254274DiVA, id: diva2:1330111
Supervisors
Available from: 2019-06-25 Created: 2019-06-25 Last updated: 2019-06-25Bibliographically approved

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Citation style
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