När hållbarheten möter lönsamheten : En kvantitativ analys av ESG och fondavkastning i Sverige

Over the past decade, sustainability has become a key factor in investment decisions, with the ESG framework (Environmental, Social, Governance) measuring corporate responsibility and risk management. Amid new regulations like SFDR and CSRD, Swedish equity funds have increasingly integrated ESG ratings. The purpose of this study is to empirically investigate how ESG ratings, both aggregated and disaggregated into Environmental (E), Social (S), and Governance (G) dimensions, impact the five-year returns of Swedish equity funds. By incorporating risk-adjusted measures (Sharpe ratio, beta, and Jensen’s alpha), the analysis isolates the effects of ESG from traditional risk factors. A quantitative approach was employed using Morningstar data on 60 Swedish equity funds over 2020–2025. Descriptive statistics and Pearson correlations were calculated between ESG scores (aggregate and E, S, G) and five-year returns. Separate OLS regression models were estimated for each ESG dimension, with Sharpe ratio, beta, and Jensen’s alpha included as control variables. Multicollinearity was assessed via VIF, and heteroskedasticity tested using the Breusch-Pagan procedure. Statistical significance was evaluated and model fit reported through R². Efficient Market Hypothesis (EMH), Behavioral Finance and Modern Portfolio Theory (MPT) are all central theories in this study. The conclusion is that the market quickly prices in social and environmental signals but that good governance can still provide measurable return benefits over time. The study provides a clear recommendation to analyze the ESG dimensions separately and combine them with classical risk measures for better investment decisions.