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Hur har hållbara fonder presterat under pandemin Covid-19 samt Rysslands invasion av Ukraina?

Dedering, Lisa LU and Dedering, Anna (2022) NEKH02 20221
Department of Economics
Abstract
The purpose of this thesis is to examine if Swedish sustainable funds, which invest in Swedish companies and are registered in Sweden, have a higher risk-adjusted return than Swedish traditional funds. The main purpose is to evaluate the risk-adjusted return during the pandemic Covid-19 and the ongoing Russia-Ukraine war. We construct two different portfolios; one sustainable and one traditional portfolio, which are compared. The portfolios are based on the Morningstar Sustainability Rating, where the sustainable portfolio includes funds with the rating of four globes and the traditional portfolio includes funds with one and two globes. The study uses each fund’s Net Asset Value in order to calculate the monthly returns for each portfolio... (More)
The purpose of this thesis is to examine if Swedish sustainable funds, which invest in Swedish companies and are registered in Sweden, have a higher risk-adjusted return than Swedish traditional funds. The main purpose is to evaluate the risk-adjusted return during the pandemic Covid-19 and the ongoing Russia-Ukraine war. We construct two different portfolios; one sustainable and one traditional portfolio, which are compared. The portfolios are based on the Morningstar Sustainability Rating, where the sustainable portfolio includes funds with the rating of four globes and the traditional portfolio includes funds with one and two globes. The study uses each fund’s Net Asset Value in order to calculate the monthly returns for each portfolio during the period 2017-01-31 to 2022-04-30. CAPM and Fama & French three-factor model are applied to perform the regressions, from which the values for the performance measure Jensen's alpha are obtained, and also the beta values. The Sharpe ratio and the Treynor ratio are also used to evaluate each portfolio's risk-adjusted returns. In order to test if there is a statistically significant difference between the portfolio's risk adjusted return, t-tests are computed for each performance measure. The results show no statistically significant difference between the portfolio's risk-adjusted returns during any of the four periods analyzed. (Less)
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author
Dedering, Lisa LU and Dedering, Anna
supervisor
organization
course
NEKH02 20221
year
type
M2 - Bachelor Degree
subject
keywords
ESG, Risk-adjusted Return, Sustainable funds, CAPM, Fama & French
language
Swedish
id
9085833
date added to LUP
2022-10-10 09:05:39
date last changed
2022-10-10 09:05:39
@misc{9085833,
  abstract     = {{The purpose of this thesis is to examine if Swedish sustainable funds, which invest in Swedish companies and are registered in Sweden, have a higher risk-adjusted return than Swedish traditional funds. The main purpose is to evaluate the risk-adjusted return during the pandemic Covid-19 and the ongoing Russia-Ukraine war. We construct two different portfolios; one sustainable and one traditional portfolio, which are compared. The portfolios are based on the Morningstar Sustainability Rating, where the sustainable portfolio includes funds with the rating of four globes and the traditional portfolio includes funds with one and two globes. The study uses each fund’s Net Asset Value in order to calculate the monthly returns for each portfolio during the period 2017-01-31 to 2022-04-30. CAPM and Fama & French three-factor model are applied to perform the regressions, from which the values for the performance measure Jensen's alpha are obtained, and also the beta values. The Sharpe ratio and the Treynor ratio are also used to evaluate each portfolio's risk-adjusted returns. In order to test if there is a statistically significant difference between the portfolio's risk adjusted return, t-tests are computed for each performance measure. The results show no statistically significant difference between the portfolio's risk-adjusted returns during any of the four periods analyzed.}},
  author       = {{Dedering, Lisa and Dedering, Anna}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Hur har hållbara fonder presterat under pandemin Covid-19 samt Rysslands invasion av Ukraina?}},
  year         = {{2022}},
}