The Performance of Nordic ESG Mutual Funds
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- Master of Science 
This paper seeks to answer if the Nordic investor pays the price of ethics when investing in Nordic ESG funds. Over the 2010-2020 period, we take the perspective of a Nordic investor and compare the risk and return of 38 Nordic environmental, social and governance (ESG) funds relative to a matched sample of 76 conventional funds. We analyse and compare funds environmental, social and governance (ESG) performance and seek to find a relationship between ESG risk and risk-adjusted performance. Although our study indicates that both ESG and the conventional fund have underperformed the benchmark portfolio over the sample period, the results suggest that Nordic investors do not pay the price for ethics when investing in ESG funds. Further, we find weak evidence of a positive relationship between performance in ESG and risk-adjusted return.
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2021