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dc.contributor.authorHui, Wan Hin
dc.contributor.authorFjetland, Tommy
dc.date.accessioned2017-05-22T08:00:27Z
dc.date.available2017-05-22T08:00:27Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/11250/2443062
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2016nb_NO
dc.description.abstractThis paper examines whether actively managed U.S. mutual equity funds exhibit any statistical persistence in mutual fund performance by applying three different methods. The backbone for the methods is the sorting procedure that creates ten equally weighted portfolios based on lagged one-year simple returns of the mutual funds and rank them accordingly from best to worst. The ranked portfolios are further implemented in three different holding strategies; they rebalance every three, six and twelve months. The first method obtains risk-adjusted returns and alphas from all ten portfolios by practicing CAPM, Carhart 4-factor and Fama and French 5-factor model. The alphas serve as the main risk-adjusted measure of performance. Sharpe ratio is also presented as an external measure of performance for comparative purposes. Second method investigates market timing ability of all portfolios by following Henriksson and Merton procedures of detecting such feat. The third method tests for rank dependency by constructing contingency tables. The findings mostly favor no persistence in mutual fund performance as the ranked portfolios were not able to generate significant positive risk-adjusted alphas, but two of them obtained the opposite, significant negative alphas in all three holding strategies. No market timing ability was revealed in any of the ranked portfolios. However, Contingency tables were able to capture persistent behavior in portfolio rankings as these rankings together with holding periods appear to influence the excess returns.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business Schoolnb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.subjectfinancial economicsnb_NO
dc.titleMutual Fund Performance in the U.S. Marketnb_NO
dc.typeMaster thesisnb_NO


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