U.S. Mutual Fund Performance in Recessions and Expansions, 1977 to 2019.
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- Master of Science 
Using a sample of 2680 U.S. actively managed open-end mutual funds in the period from January 1977 through December 2018, we investigate whether actively managed mutual funds are able to outperform a passive benchmark over a 504-month sample. We highlight whether mutual funds are able to generate abnormal returns during NBER expansions and recessions. We find that an equalweighted portfolio of net returns has a statistically significant abnormal return in expansion, but not in recession. Further, we find evidence of strong superior performance and underperformance by a small group of actively managed mutual funds.
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019