A master programme thesis from Aalborg University
Evaluating the Persistence of Outperformance in US Mutual Funds: Are Active Managers Consistently Beating the Market?: Explores whether actively managed mutual funds outperform passive benchmark indexes and how fund manager decisions influence returns.
[Evaluating the Persistence of Outperformance in US Mutual Funds: Are Active Managers Consistently Beating the Market?]
Author(s)
Term
4. semester
Publication year
2025
Submitted on
2025-06-01
Pages
105 pages
Abstract
Over the past decade, emergent markets have contributed more than two-thirds of the growth in global GDP. As a result, much debate surrounding equity markets has focused on the performance of active over passive investing in the face of near-market efficiency. This thesis seeks to explain the excess returns of active open-end mutual funds over the period 2015-2025 and empirically determine whether, given lower market efficiency and thus greater opportunities for arbitrage, actively managed funds investing in emerging markets systematically generate abnormal returns. Using data from the Factset database on 26 active US based mutual funds investing in emerging markets, I compare the Fama-French Three-Factors model. The regression analysis finds that the latter has the highest explanatory power. As a result, much debate surrounding equity markets has focused on the performance of active over passive investing in the face of near market efficiency. The objective of this thesis is to determine whether 26 active mutual funds based in the United States can achieve a superior risk-adjusted return when compared to the S&P 500 index from the beginning of 2015 to the beginning of 2025. The analysis is conducted using five performance measures: Jensen's alpha, Treynor's ratio, the Sharpe ratio, the Information ratio, and the Fama & French 3-factor model. These measures are based on Markowitz's Modern Portfolio Theory and the CAPM framework.
Keywords
Documents
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