Equity Mutual Fund Performance: Evidence from Norway, 2003 - 2013

Snorre Skålebråten

Student thesis: Master thesis


Using a survivorship bias free dataset of 57 Norwegian equity mutual funds investing primarily in Norwegian equities, I investigate the performance and persistence in the performance of funds from January 2003 to June 2013. I examine stock picking skills, as well as market timing abilities utilizing traditional single index models as my framework. Furthermore I relax the assumption of a constant beta by adding additional information variables to see how the funds perform in both an unconditional, as well as a conditional setting. My results suggest there is little evidence of Norwegian fund managers possessing stock picking skills when considering net returns. However when running regressions on gross returns, the fund managers appear to have some stock picking acumen. Moreover this implies fees are too high for active management in Norway. Applying tests to uncover if the mean alpha of the low expense quintile of funds is different from the mean alpha of the high expense quintile, I find no conclusive evidence of either group of funds outperforming the other. When inspecting for market timing abilities, the funds demonstrate positive performance. Nevertheless, the accompanying alpha values are severely penalised eradicating most gains headed for the individual investor. I find no significant evidence of persistence in the performance of either prior “winners”, or prior “losers”.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
Publication date2013
Number of pages89