Svenska fonders investeringsstrategier och prestation : En kvantitativ studie om hur fondens tillämpning av SRI och ESG-integrering påverkar den riskjusterade avkastningen

Sammanfattning: The interest for sustainable funds have increased recently. ESG has become a part of companies everyday life and SRI a part of the investment strategies used by equity funds. In lack of research in the field of mutual equity funds, we choose to investigate how investment strategies in “social responsible investment” (SRI) affect the risk-adjusted return. The study investigated 51 equity funds between 2014 and 2019 that had been reporting their sustainability strategies in the so called “hållbarhetsprofilen”. From this information portfolios were constructed based on the funds strategic work in comparison to conventional funds counterparts. Carhart fourfactor model were used to calculate the risk-adjusted return, the sharpe ratio to determine return in relation to the another measure of risk and the strandarddevation to calculate the total risk in each portfolio. The study concluded that all swedish equity funds worked with combinations of several SRI strategies to implement sustainable investment. In line with previous research our results show that funds managed with a strategy of low rate exclusion show a higher risk-adjusted return compared to strategys with higher exclusion rates. The conclusion though, after statistical testing was that the results could not be proven significant between the two groups of SRI-funds, meaning that we could not prove any difference in risk-adjusted returns between the groups. Further the results showed that the total risk-exposure between SRI and conventional equity funds, due to reduced diversification was not higher in SRI funds in comparison with their conventional peers. Nor did we find any evidence for ESG-integration to dampen total risk during the time for investigation.