Ethical Fund Performance - A matched pair analysis of the Swedish fund market

Abstract: This thesis investigates the effect of ethics on the performance of Swedish funds over the years 2009-2018. Through the use of environmental, social, and governance (ESG) score, this study distinguishes ethical funds from the less ethical funds. These funds are then compared and analyzed further with the help of traditional risk-adjusted performance measurements. For the final step of the thesis, these measurements, together with additional explanatory variables, were used to examine the ESG score effect on fund performance through a panel data regression. The findings show that fund performance is dependent on ESG score at the 5% significant level. However, the results of the study also suggest that there is a tendency of the less ethical funds outperforming their ethical counterpart. With regards to this and the fact that other findings of this study had non-significant numbers, no conclusions can be drawn about one group outperforming the other.