• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Norwegian Global Mutual Funds : An Empirical Study of Active Management and Fund Performance

Hjelmen, Morten Graham; Haugen, Mikkel Tagge
Master thesis
Thumbnail
View/Open
2031690.pdf (4.432Mb)
Finished Preliminary.pdf (240.2Kb)
URI
http://hdl.handle.net/11250/2579813
Date
2018
Metadata
Show full item record
Collections
  • Master of Science [1555]
Abstract
The following paper uses a dataset free of survivorship bias in the period of 2009 -

2017. The purpose of this research is to investigate the performance of open end

Norwegian global mutual funds. We start by first applying tracking error and R2 to

measure the activeness, and the results indicate that 22.73 % of the funds are closet

indexers. Secondly, we evaluate their performance in subject to their benchmark by

looking at the alpha generated from various factor models. We find that some

managers are able to beat their benchmark gross of fees, but we find no significant

evidence of outperformance net of fees. To be able to distinguish skill from luck we

utilize a bootstrap procedure where we evaluate the distribution of the cross section of

alpha if every fund had zero true alpha by construction. We find that on average fund

managers are not able to deliver alpha, but that there exists some evidence of a

nonzero true alpha in the extreme left and right tails when using gross returns.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit