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The Financial Performance of Ethical Premium Pension Funds: Can you invest your pension ethically without sacrificing a significant portion of the risk-adjusted returns?
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis studies the comparative financial performance of 66 investment equity funds within the Swedish Premium Pension System over the time period, 2010-12-31 to 2016-10-31. The paper adopts a matched paired approach and study how ethical funds perform in comparison to traditional funds. Further, the thesis analyzes if the investment universe of the funds, Swedish or global, affects the performance where performance represents the risk-adjusted return measures of Jensen, Treynor and Sharpe. The difference in risk-adjusted return is calculated within the following groups: (i) Swedish ethical equity funds and their matched non-ethical counterparts  (ii) Global ethical equity funds and their matched non-ethical counterparts (iii) Swedish ethical equity funds and their matched global ethical counterparts The results reveals there to be a significant negative difference in the Jensen’s alpha measure between the Swedish ethical and non-ethical group. Hence the non-ethical Swedish funds performs better that their ethical counterparts. Despite the theory of diversification, no significant difference in performance between the global equity ethical and non-ethical equity fund group nor the Swedish ethical equity funds and their matched global ethical counterparts were detected.  Thus the results indicate there to be no significant penalty for investing in global ethical funds.

Place, publisher, year, edition, pages
2016.
Keyword [en]
Modern Portfolio Theory, Capital Asset Prizing Model, Risk adjusted performance, Matched pairs analysis
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-328548OAI: oai:DiVA.org:uu-328548DiVA: diva2:1136209
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Available from: 2017-08-25 Created: 2017-08-25 Last updated: 2017-08-25Bibliographically approved

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