Performanceevaluering af aktivt forvaltede investeringsforeninger: En empirisk analyse af performance i aktivt forvaltede investeringsforeninger med investeringsmandat i europæiske og amerikanske large cap aktier i perioden 1995-2014

Casper Rump Wørtz

Student thesis: Master thesis


This paper provides insight into the performance of two different categories of European-based actively managed mutual funds in the period from 1995 to 2014, investing in European and US large cap equities. Based on a dataset consisting of 358 Europe large cap funds and 197 US large cap funds, I examined stock picking skills as well as market timing abilities by employing single-factor CAPM as well as a multifactor model in the analyses. Furthermore, I examined whether one can identify performance persistence among the two fund categories based on their one year lagged absolute and risk-adjusted return. Finally, by exploiting the advantages of stock return dispersion, this study employed an alternative method in order to uncover whether abnormal performance of the examined funds systematically varied over time. My results suggest that there is no evidence that neither the average Europe large cap fund nor the average US large cap fund possessed stock picking skills in the period examined indicated by their net returns. Even though the average estimates of alphas for the two fund categories differed, I found no conclusive evidence of a performance-related difference between the two geographically separated investment mandates. When applying models to uncover the funds' ability to time market, the results suggest insignificant negative market timing abilities, which implies that stock picking skills were underestimated in the simple models relying on the assumption of a constant beta. In relations to performance persistence when using net returns, I found evidence that especially prior losers extend their poor performance to subsequent periods with abnormal performance estimates being statistically negative. Finally, this paper concludes that the average abnormal performance is not related to the level of stock return dispersion. However, the difference between good and poor performing funds expands in periods with high levels of dispersion, suggesting that a "skilled" manager is worth more in such an environment.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2015
Number of pages101