| dc.description.abstract | The following thesis examines the performance of Norwegian investment grade bond mutual
funds in the period from January 2011 to January 2016. In this study we addresstwo important
issues. Firstly, by applying a CAPM model framework, we examine whether funds are able to
outperform passive portfolios. Due to the lack of appropriate benchmarks for evaluation in
the Norwegian market, we construct and include a bond index in our analysis. Across several
different model specifications, we cannot detect a single fund exhibiting significantly positive
performance relative to passive portfolios. Secondly, we extend the CAPM framework and
analyze whether Norwegian bond funds generate abnormal returns1 when controlling for the
term and credit risk premium introduced by Fama and French (1993). We account for the risk
factors by applying return-based style analysis. When controlling for the risk factors, we do
not detect any significantly positive performance among the bond funds in our sample. Our
results are important for investors, as attempts to select attractive securities or timing the
market typically contributes to higher management fees compared to bets on risk factors.
Thus, investors seem better off without funds seeking to harvest returns from market timing
and security selection. | nb_NO |
