Equity Funds at the Oslo Stock Exchange: An Empirical Study of Active Management & Performance

Martin Staib & Celina Frank

Student thesis: Master thesis


This thesis is an investigation based on assessing Norwegian equity mutual funds, with a focus on active management and performance. The data sample includes 26 mutual funds, whereas 20 are actively managed and six are passively managed, analyzed over a 10-year period from 2009 to 2018. Throughout this research paper, we apply recognized methodologies with modifications, exploring the relationship between active management and performance. Separating our investigations into three parts will enable us to keep contextual cleanliness.First, we evaluated the alpha by applying different regression models through calculations using both a single- and multifactor models. A high alpha indicates that a fund manager is creating additional value beyond what the explanatory variables explain. Our results reflect that, after cost, the funds hardly provide significantly positive alphas. We find an exception of three out of 20 actively managed funds when applying the Single Index model. These vanish in the multifactor model, as the added number of variables rise the degree of explanation for the regression. In addition to investigating the alpha as a measure of additional value created by a fund manager, we split it up by testing for stock picking and market timing ability without finding any significant evidence of market timing ability. The stock picking ability reflects the previous findings of alpha. Second, we consider different performance measures, providing an indication of their performance set up against the benchmark and each other. These measurements provide an interesting result, as we observe that a narrower approach to investment style ends up performing best.Third, we examine the effect of the oil price at the Oslo Stock Exchange. The results show a positive correlation to both the benchmark and the funds, even under the oil price drop in 2014. The investigation also shows a higher correlation between oil price and benchmark in times of an upward cycle. Autocorrelation, heteroscedasticity, normality, and multicollinearity are all checked for before we present the results, leaving us exposed to minor but solvable problems.

EducationsMSc in Finance and Investments, (Graduate Programme) Final Thesis
Publication date2019
Number of pages102