"Jag vill spara etiskt, men vad har jag för alternativ?" : En kvantitativ studie av etiska restriktioners påverkan på svenska fonders prestation

Sammanfattning: During the last few decades, the Swedish population has shown an increased interest in investment fund savings, and more than 60% of Swedish citizens are saving through funds today. In addition to this, awareness on climate change and related risks has increased, which has contributed to a greater focus on corporate sustainability among Swedish companies. As a result of these trends, there has been an increase in fund companies that are basing their investments on certain ethical restrictions, in order for private investors to save ethically. The purpose of this study was to examine how ethical restrictions affect the financial performance of Swedish funds with regards to risk-adjusted return. Previous studies have focused on comparing ethical and traditional funds, but this study chose not to make any difference between the two types of funds. The study's relevance is based on how it can make private investors aware of which ethical restrictions that have a negative impact on the risk-adjusted return, and how much each restriction decreases the return. A total of 101 Swedish funds were analyzed. Information about each fund's performance measures were retrieved from Morningstar, and is based on three years development. Information about each fund's ethical restrictions were retrieved from Hållbarhetsprofilen and their information pamphlets. With data about the performance measures Sharpe ratio, Alpha, and Treynor ratio, three statistical models were defined and analyzed with multiple linear regression analysis. Each model's reliability was assessed with residual analysis; the models were adjusted and improved if necessary. Hypotheses were evaluated with significance testing to answer the research questions. The results indicate that exclusion of tobacco and gambling companies affect the risk-adjusted return of Swedish funds negatively, while exclusion of alcohol companies affect the risk-adjusted return positively. This implies that private investors should save their money in Swedish funds that exclude alcohol companies in order to avoid lower risk-adjusted return.