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Hallquist, Lukas, 2018. The financial risk and performance of Swedish SRI funds. Second cycle, A2E. Uppsala: SLU, Dept. of Economics



This study addresses the existing issue of SRI fund categorization in previous research by establishing a framework of how to classify SRI funds. Through this framework, the SRI fund performance analysis becomes more accurate by evaluating the effects of different SRI strategies. In contrast to previous research, this study finds that SRI funds behave differently from conventional funds in terms of risk and return. The evidence suggests SRI funds that excludes sin industries from their investment portfolios have higher risk-adjusted returns than conventional funds.

Main title:The financial risk and performance of Swedish SRI funds
Authors:Hallquist, Lukas
Supervisor:Lagerkvist, Carl-Johan
Examiner:Hart, Robert
Series:Examensarbete / SLU, Institutionen för ekonomi
Volume/Sequential designation:1158
Year of Publication:2018
Level and depth descriptor:Second cycle, A2E
Student's programme affiliation:NM002 Agricultural Economics and Management - Master's Programme 120 HEC
Supervising department:(NL, NJ) > Dept. of Economics
Keywords:SRI, mutual funds, value-at-risk, VaR
Permanent URL:
Subject. Use of subject categories until 2023-04-30.:Economics and management
Deposited On:16 Jul 2018 13:26
Metadata Last Modified:25 Feb 2019 13:23

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