Active Portfolio Management: A performance evaluation of Swedish equity mutual funds

Abstract

This thesis evaluates the performance of selected actively managed Swedish equity mutual funds. By estimating performance measurements such as Jensen’s alpha and M-square we identify excess returns of the mutual funds to appropriate benchmark indices as well as managers stock selecting abilities. Additionally, since there are issues with the Jensen’s measure and to enhance the robustness of the selectivity findings, we apply a model called the Henriksson-Merton model to identify stock selecting and market-timing abilities of mutual fund managers. This thesis examines the period from 2000-2009 with three sub-periods in order to identify whether the findings are sensitive to the choice of time periods examined. The performances exhibited were sensitive, not only to the choice of time periods, but also to the benchmarks used. The general findings of this thesis supports the earlier literature where no superior performance in actively managed mutual funds could be identified. The mutual funds examined have not shown any significant over performance, i.e. managers have not possessed any superior stock selecting skills or market timing abilities.