Riskjusterad avkastning på företagsobligationer: Kan investerare ta bättre beslut genom att titta på ESG?

Abstract

The increased competition among fund managers to generate attractive returns challenge them to find new tools to improve their financial performance. One of the most efficient methods is to utilize better information in their analysis. Historically, that has been mostly financial information. However, environmental, social, and governance aspects have lately been increasingly important. Hence, this thesis aims to analyze the relationship between ESG-rankings and the financial performance of corporate bonds with a focus on risk-adjusted returns. Corporate bonds have been analyzed in three different groups of ESG-ranks: Low, Middle, and Top. The financial performance of the portfolios was examined over an investment period from 2016-01-04 to 2021-01-04. This thesis can conclude that a high ESG-rank has a positive effect on the risk-adjusted and total returns on corporate bonds. However, an ESG-rank in the middle has shown to have a negative effect on the total return. Furthermore, no conclusion regarding the effect of a low ESG-rank could be made due to non-significant results.