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Active Share and Performance of Norwegian Equity Funds

Annagurban, Mähri; Seland, Helene Sogge
Master thesis
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URI
http://hdl.handle.net/11250/2622395
Date
2019
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  • Master of Science [1525]
Abstract
We measure the degree of active management in Norwegian equity mutual funds

and investigate how it relates to fund performance in the period 2007-2018. Our

measures of active management are active share and tracking error. We find that

while the mutual funds do outperform their benchmark index, only 42% of the

Carhart four-factor alphas are statistically significant, yet still not economically

significant. Sorting funds into equal-weighted portfolios based on active share and

tracking error, we find a positive correlation between active share and fund

performance, whereas tracking error has a zero to negative relationship. Sorting

funds into portfolios based on fund size and active share, we find that the level of

active share has the largest positive effect on the smallest firms.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance/Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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