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Conditional Mutual Fund Performance in Periods Affected by Market Fear : An Empirical Analysis on Degrees of Active Management and Performance

Lambertsen, Gabriel Boukaddour; Isachsen, Torjus
Master thesis
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URI
https://hdl.handle.net/11250/2985512
Date
2021
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  • Master Thesis [4657]
Abstract
The engagement around investing in mutual funds is increasing and attracts several

personal investors. With previous technological and financial development, there is a

wide specter of investment opportunities. Active management is central to the mutual

fund distribution, where the distributor charges a fee for professional management.

Hence, in combination with market uncertainty, we want to investigate if skilled

portfolio managers will exploit opportunities in periods where investors are insecure.

This thesis examines whether mutual funds become more actively managed in periods of

high VIX values and if they manage to achieve an abnormal return. Findings present

changes in the degree of active management where the portfolios are more adjusted to

imitate the benchmark index. We fail to deliver statistically significant estimates of

positive abnormal return in periods of high market fear. However, we can indicate

trends of change to a more passive management strategy where investors should consider

passive mutual funds with lower fees.

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