Socially Responsible Investments in the Swedish Premium Pension System
Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
The increased awareness of corporations’ effect on society and the environment has led to more people being concerned with investing socially responsible. One area where the increase in socially responsible investments (SRI) is particularly evident, is within the Swedish premium pension system, where the number of SRI funds is steadily increasing. Despite this, the question still being asked is whether SRI funds, whose focus is not only to maximize financial returns but also to take ethics into consideration, will perform as well as their conventional counterparts. Considering that previous literature on SRI funds is conflicting, and since the empirical research on Swedish mutual funds is scarce, this thesis investigates whether there is a difference in the risk-adjusted performance of SRI and conventional premium pension funds. In order to do so, portfolios made out of 31 SRI and 60 conventional funds are compared by applying a Carhart four-factor model to be able to draw conclusions about their performance, different types of investment styles and the impact of management fees. Additionally, there is an investigation on the performance of the socially responsible AP7 Såfa Equity Fund, which is the only fund selected if Swedish pension savers do not make an active investment choice for their premium pension. The results indicate that both portfolios have overperformed the market but that there is no significant difference in the performance of SRI and conventional funds. Furthermore, the AP7 Såfa Equity Fund has not overperformed its benchmark and its performance differ from the ones of the SRI portfolio. Finally, the management fees of the premium pension funds have no significant impact on their performance.
Place, publisher, year, edition, pages
Business Administration Economics
IdentifiersURN: urn:nbn:se:hj:diva-30149ISRN: JU-IHH-NAA-2-20160050, JU-IHH-FÖA-2-20160214OAI: oai:DiVA.org:hj-30149DiVA: diva2:932571