Performance of Actively Managed Equity Mutual Funds: Empirical Evidence of the Swedish Market
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of management fees. The study uses time-series data and constructs equally-weighted portfolios of the 42 Swe- dish based actively managed equity mutual funds investing in Sweden for the period 2003- 2013. The portfolios’ excess returns are calculated by estimating the Fama-French three factor model by means of ordinary least squares (OLS) regression analysis. The empirical results show that actively managed equity mutual funds over performed the Fama-French three factor benchmarks by an average annualized net- and gross excess return of 3.60 and 4.67 percent respectively. Sorting out the funds by the performance into deciles, the find- ings indicate that management fees influence the performance of the equity mutual funds in the sample of our study. The conclusion is made such that there is an indication that Swedish equity funds’ managers are able to add value above passive investing.
Place, publisher, year, edition, pages
2015. , 46 p.
Equity mutual funds’ performance, efficient market hypothesis, Fama-French three factor model, net and gross excess returns
IdentifiersURN: urn:nbn:se:hj:diva-26782ISRN: JU-IHH-FÖA-2-20150051OAI: oai:DiVA.org:hj-26782DiVA: diva2:814599
Subject / course
IHH, Business Administration
Weiss, Jan, Doctoral Candidate
Markowska, Magdalena, Docent