Actively Managed Emerging Markets Mutual Funds: An Empirical Study of the Performance of Actively Managed Emerging Markets Equity Mutual Funds

Althea Nodari

Student thesis: Master thesis


The purpose of this paper is to investigate the worth of active management in the context of emerging markets. Most of the literature conducted within this area reports active managers providing abnormal returns for their investors. If in those markets considered efficient, fund managers are able to provide superior returns, it seems fair to assume that within inefficient markets they should be able to obtain even more successful results. This paper seeks to examine and explain the excess return of actively managed emerging market mutual funds over the period 2014-2021 and empirically determine whether active managers can generate abnormal returns. By using multi-regression models like CAPM, Fama French three-factor model and Carhart four-factor model, a portfolio of 186 emerging market funds is compared against a matching passive fund. Results show that the EM funds have not been able to produce any abnormal return, while performance would vary between sub-periods. Nevertheless, the same funds have been outperforming the passive fund relatively over the entire period, by 0.0042%.

EducationsMSc in Finance and Investments, (Graduate Programme) Final Thesis
Publication date2022
Number of pages90