An Analysis of Mutual Fund Performance in Norway

Abstract

I am analyzing the performance of 19 actively managed Norwegian mutual funds that primarily invest in the Norwegian equity market over a 10-year period from January 2006 to January 2016. This study investigates the stock picking abilities of the managers of these funds and compares their returns against four passive index funds as well as the active funds’ benchmark. To test the performance, I am looking for positive alpha values using different statistical models. I am also calculating four different performance measures and comparing them to each other and the funds’ benchmark. The results of this study are a bit mixed. Using statistical models, very few of the funds are able to produce significant outperformance when considering returns after expenses. When looking at gross returns there are a few more funds that are able to produce significant results, but they are still nowhere near the majority. The different ratios however, implies that the managers are actually doing better than their benchmark.