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A time-varying performance analysis of norwegian mutual funds

Elmholm, Katja; Birkelund, Malin Eriksen
Master thesis
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URI
http://hdl.handle.net/11250/2476991
Date
2017
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  • Master of Science [1518]
Abstract
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.
Publisher
BI Norwegian Business School

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