A comprehensive study of actively managed equity funds in Norway

Vegard Norstein & Håkon Varran

Student thesis: Master thesis


We investigate the performance of 27 domestic- and 8 global actively managed Norwegian equity funds during the period of January 2005 to December 2014. The study is comprehensive and addresses stock picking ability, timing ability, performance persistence, and disentangles managers’ skill from luck. Additionally, we calculate the level of active share for all the funds, and discuss through several analyses why active share may not suitable as regulatory measure to ensure mutual fund activeness. For the vast majority of funds, we find no evidence of outperformance when total expenses are considered. Three domestic - and one global fund generate a significant positive alpha net return across several models of equilibrium return. However, we find no evidence to suggest that the outperformance is due to managers’ skills. With regards to active share, we find no correlation between the active share and performance, persistence, nor skill. In addition we find that active share in the Norwegian market are as probable to measure the strategy of the fund, as they are to measure the activeness.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
Publication date2015
Number of pages108