Mutual Fund Size and Fund Performance
Master thesis

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Date
2019Metadata
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- Master of Science [1530]
Abstract
This thesis studies the relationship between size and performance for 67 equity
mutual funds in Norway, using a 14 years dataset free of survivorship bias from
January 2005 to December 2018. We construct three portfolios based on the
funds’ size and evaluate their performance by looking at their risk-adjusted return
estimated from various factor models. We find no significant evidence that
Norwegian mutual funds are able to beat their benchmark, both gross of fees and
net of fees. Further, we study the relationship between fund size and performance
while controlling for different fund characteristics. We find a statistically
significant negative relationship between fund size and performance. Thus, our
results indicate that size matters for mutual fund performance in Norway. We
suggest that these findings come from price mechanisms, complex decisionmaking
processes, and the fact that the Norwegian mutual fund market has a
narrow asset base that could cause investors to dilute their best ideas.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019