Socially Responsible Investing: Performance Evaluation of SRI Funds in Scandinavia

Rohit Agrawal & Yiqi Xing

Student thesis: Master thesis


This thesis is set out to investigate the risk-adjusted performance of socially responsible investment (SRI) funds compared to the conventional funds in the Scandinavian markets in the period January 2007 to December 2016.
6 Danish, 22 Swedish and 35 Norwegian SRI funds were identified using Bloomberg fund screener and matched with a conventional fund based on fund age, domicile and investment universe. Monthly return data including dividends is extracted from Bloomberg and Datastream. The analysis have been conducted using CAPM, Fama and French 3-factor, Carhart 4-factor, and Cortez 5 factor models.
The fund performance is analyzed on both an equally weighted portfolio level and individual fund level in order to evaluate the robustness of the results. In addition, the fund performance across economic states is investigated. Moreover, the effect of fund characteristics, age and investment universe, on the relative fund performance is examined.
The general findings from the analyses suggest that SRI funds perform as well as their conventional counterparts. The results regarding their investment style is mixed and inconclusive. Furthermore, the performance between SRI and conventional funds is not different during expansion and contraction period. Neither fund age nor fund investment universe could explain the performance difference between SRI and conventional funds.

EducationsMSc in Finance and Investments, (Graduate Programme) Final Thesis
Publication date2017
Number of pages132
SupervisorsBjörn Preuss