A time-varying performance analysis of norwegian mutual funds
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- Master of Science 
We wish to enrichen the debate on whether actively managed mutual funds can earn excess returns to justify the fees carried by their investors. An important question to answer is whether mutual funds are able to earn excess returns net of fees, especially during the down markets, when we reckon it matters the most for their investors. We investigate Norwegian mutual fund’s performance by employing Carhart’s (1997) four-factor model and running bootstrap simulations similar to that of Kosowski et al. (2006) and Fama and French (2010). To investigate how performance relates to changing market conditions, we evaluate performance on both the entire sample period, as well as sub-samples representing bear- and bull markets. Persistence in performance is evaluated by employing Carhart’s (1997) portfolio formation approach. Our findings indicate that some Norwegian mutual funds are skilled enough to generate abnormal returns net of fees for their investors. However, we find no evidence of performance persistence, suggesting that Norwegian markets are somewhat efficient.