Are Women the Real Alpha Males? Gender differences through the lense of performance and risk in the Swedish mutual fund industry

Abstract

This master thesis examines gender differences between Swedish mutual fund managers concerning fund performance and risk behavior. The examined period extends from January 2015 to December 2019 and the data consist of 421 mutual equity funds of which 17% are mutual funds’ managed by females. Fund performance is evaluated by comparing alphas derived from Jensen’s single-factor model, Fama and French’s three-factor model, and Carhart’s four-factor model. Risk behavior is evaluated by examining standard deviation to capture both idiosyncratic and systematic risk, beta to differentiate systematic risk and Morningstar risk to evaluate relative risk. We hypothesized mutual funds’ managed by women to generate greater alphas than mutual funds’ managed by men, and that mutual funds’ managed by women hold less risk in their portfolios compared to male managed funds. Our results do not provide any coherent evidence of gender differences concerning performance or risk behavior. As suggested by Atkinson, Baird and Frye (2003), one potential explanation could be that the educational qualifications are the same regardless of gender, thus reducing any differences attributed to gender characteristics. We conclude that neither performance nor risk behavior explains women’s misrepresentation in the Swedish mutual fund industry and therefore there is a need for further studies within the area.