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Distinguishing between skill and luck in the returns of Norwegian mutual funds

Krafft, Mathias Tidemann; Bringedal, Petter
Master thesis
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MSc0132016.pdf (1.698Mb)
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http://hdl.handle.net/11250/2442490
Utgivelsesdato
2016
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Samlinger
  • Master of Science [1116]
Sammendrag
Throughout this thesis we examine the risk adjusted performance of all actively managed Norwegian equity mutual funds, using a comprehensive dataset free of survivorship bias, spanning the period 1983 to 2015. We utilize a bootstrapping methodology which enables us to distinguish between skill and luck in the cross sectional distribution of mutual fund α estimates. A methodology of injecting alpha in the bootstrapping regressions is pursued to estimate the features of true α (defined as the skill to cover fees). After adjusting for luck, we find evidence that the top 5% of funds exhibit skills to earn 3.3% or more in annual alpha above the fees they charge,whereas the bottom 5% destroy at least 3.7% per year.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2016
Utgiver
BI Norwegian Business School

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