Are Female Mutual Fund Managers More Skilled than Male Managers in Terms of Value Added? An Empirical Study in the European Mutual Fund Industry Between 12/2008-11/2018

Eveliina Aino Maria Aho

Student thesis: Master thesis


This paper examines whether female and male portfolio managers investing in four geographically different categories of European actively managed mutual funds generate equivalent value-added estimates over the period of 2008 to 2018. The study focuses on the skill of a portfolio managers and employs a measure called value added, which is defined as gross alpha generated by a portfolio manager at a period of t multiplied by the fund size. Thus, as the product is expressed in monetary terms, the value-added estimate reveals insight into how much a portfolio manager is able to add value to their mandated funds in monetary terms. However, as indicated by the formula, some portfolio managers who manage large funds but generate low gross alphas might have a higher value added than other portfolio managers with small funds but high gross alphas. As indicated in many existing studies, female portfolio managers, for one reason or another, tend to be allocated less capital than their male counterparties. This potential discrimination aspect is also examined and discussed in the study. The overall results suggest that there is a trend where female portfolio managers have higher gross alphas but smaller funds than their male counterparties, although there are differences between the sub-sample investment mandates. The findings of potential discrimination against female portfolio managers in capital allocation are discussed in great detail, although it is impossible to indicate the specific reasoning on why female managers might be allocated less capital than male managers. In addition, albeit none of the valueadded estimates turned out significant in the present study, noticeable differences between the four geographical categories were discovered. Lastly, the performance persistence where the top outperforms the bottom consistently was documented when using the value-added estimates, indicating that past performers are able to extend their performance – no matter whether good or bad – to subsequent following periods.

EducationsMSc in International Business, (Graduate Programme) Final Thesis
Publication date2019
Number of pages87
SupervisorsSøren Plesner