Hållbarhet och fondprestation

Abstract

The purpose of this paper is to conduct research regarding fund performance based on Morningstar’s Sustainability Rating, with the aim of drawing conclusions about whether funds with high sustainability rating perform differently than funds with low sustainability rating. A quantitative method was used to investigate fund performance over the last three years, regarding 20 Swedish funds investing on the Swedish market. Firstly, two portfolios were constructed: one containing funds with high sustainability rating and one with low sustainability rating. Secondly, key figures such as return, beta, standard deviation, Sharpe ratio, Treynor ratio, skewness, kurtosis and Jensen’s alpha were calculated and examined. Thirdly, hypotheses were constructed and tested regarding the two portfolios’ variance, return, Sharpe ratio and Treynor ratio. As a result, none of the hypotheses were statistically significant and therefore the paper can’t empirically prove that the fund performance differs between funds with high Morningstar Sustainability Rating in comparison with funds with low Morningstar Sustainability Rating.