The performance of the owner segments at Oslo Stock Exchange

Abstract

Actively managed mutual funds and other large asset managers frequently claim to deliver returns that are above the market average. The sum of these claims may at first glance appear to be incredible, as they require the existence of inferior investors for the average to add up. Motivated by this simple arithmetic fact, we evaluate the claims of above-average performance by seeking to identify the below-average performers. By building a model that utilizes industry sector holding values and the returns of industry equity indices, we study the performance of the owner segments that together constitute the Oslo Stock Exchange, over the 15-year period from 2003 to 2017. Unexpectedly, we conclude that there exists a group of investors who pay the arithmetically required performance penalty for the coexistence of winners. Our results show that private investors together with central and local government did underperform the market average, and thus allowed for a market outperformance by other participants. The model suggests that such outperformance is exhibited by private companies, mutual funds and foreign investors.