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Oetiska placeringar

Hagman, Patrik LU and Von Sivers, Björn (2011) NEKK01 20102
Department of Economics
Abstract (Swedish)
Mutual Funds with focus on Socially responsible investments (SRI) have been around and steadily growing since the 1960s in the Swedish and international market. There has been plenty of research done on these funds abilities to beat the market. Most findings are consistent with the notion that it costs to be good and therefore the funds do not generate any risk adjusted excess return.

What about the opposite to these SRI funds? To our knowledge there is only one Mutual fund (Vice Fund) with the explicit focus on so called vice/sin stocks. Sin stocks are stocks from what the general public regards as “sinful” industries. In this paper these include the alcohol-, gambling, tobacco and weapons industries.

In this paper, we aim to... (More)
Mutual Funds with focus on Socially responsible investments (SRI) have been around and steadily growing since the 1960s in the Swedish and international market. There has been plenty of research done on these funds abilities to beat the market. Most findings are consistent with the notion that it costs to be good and therefore the funds do not generate any risk adjusted excess return.

What about the opposite to these SRI funds? To our knowledge there is only one Mutual fund (Vice Fund) with the explicit focus on so called vice/sin stocks. Sin stocks are stocks from what the general public regards as “sinful” industries. In this paper these include the alcohol-, gambling, tobacco and weapons industries.

In this paper, we aim to answer the question: Does sin Stock investing beat the market? Does it generate any risk adjusted excess return?

The paper is based on an empirical study of four differently designed portfolios of twenty randomly selected sin stocks over during the period 1992-2010. The four different portfolios are; one mean-variance optimized portfolio, one minimum-variance portfolio, one value-weighted portfolio and one equal-weight portfolio. The benchmark index for this study is MSCI World index.

The sin portfolios’ yields have been extraordinary and beat the MSCI World with great margin. However, using the Sharpe ratio and Jensen’s Alpha as the main measurements for the risk adjusted return, the four sin portfolios only give some support to the idea that sin stock investing is profitable on risk adjusted basis. The results have been statistically tested and there are only the mean-variance optimized portfolio’s Sharpe ratio and the minimum variance portfolio’s and value-weighted portfolio’s Jensen’s that are statistically significant. Therefore no strong conclusion can be drawn on the profitability of sin stock investing other than the fact that they have had an exceptionally high yield during the investigated time period. (Less)
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author
Hagman, Patrik LU and Von Sivers, Björn
supervisor
organization
alternative title
Oetiska aktier
course
NEKK01 20102
year
type
M2 - Bachelor Degree
subject
keywords
portföljvalsteori, jensens alfa, sharpe
language
Swedish
id
1788580
date added to LUP
2011-02-25 15:07:02
date last changed
2011-02-25 15:07:02
@misc{1788580,
  abstract     = {Mutual Funds with focus on Socially responsible investments (SRI) have been around and steadily growing since the 1960s in the Swedish and international market. There has been plenty of research done on these funds abilities to beat the market. Most findings are consistent with the notion that it costs to be good and therefore the funds do not generate any risk adjusted excess return. 

What about the opposite to these SRI funds? To our knowledge there is only one Mutual fund (Vice Fund) with the explicit focus on so called vice/sin stocks. Sin stocks are stocks from what the general public regards as “sinful” industries. In this paper these include the alcohol-, gambling, tobacco and weapons industries.

In this paper, we aim to answer the question: Does sin Stock investing beat the market? Does it generate any risk adjusted excess return?

The paper is based on an empirical study of four differently designed portfolios of twenty randomly selected sin stocks over during the period 1992-2010. The four different portfolios are; one mean-variance optimized portfolio, one minimum-variance portfolio, one value-weighted portfolio and one equal-weight portfolio. The benchmark index for this study is MSCI World index.

The sin portfolios’ yields have been extraordinary and beat the MSCI World with great margin. However, using the Sharpe ratio and Jensen’s Alpha as the main measurements for the risk adjusted return, the four sin portfolios only give some support to the idea that sin stock investing is profitable on risk adjusted basis. The results have been statistically tested and there are only the mean-variance optimized portfolio’s Sharpe ratio and the minimum variance portfolio’s and value-weighted portfolio’s Jensen’s that are statistically significant. Therefore no strong conclusion can be drawn on the profitability of sin stock investing other than the fact that they have had an exceptionally high yield during the investigated time period.},
  author       = {Hagman, Patrik and Von Sivers, Björn},
  keyword      = {portföljvalsteori,jensens alfa,sharpe},
  language     = {swe},
  note         = {Student Paper},
  title        = {Oetiska placeringar},
  year         = {2011},
}