Active Mutual Fund Performance: Pandemic vs Financial Crisis : A study of Norwegian active mutual funds’ ability to create excess return during uncertain times.
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- Master Thesis 
The covid-19 pandemic had significant effect on economies and markets all over the world. Therefore, there is high interest in findings around the matter. There is, however, limited research of fund performance during the Covid-19 pandemic. We study the performance of active mutual Norwegian funds with a domestic investment strategy during the pandemic and the financial crisis. By performing three regression models, the Single Index Model, Fama French 3 Factor model and Carhart 4 Factor model, we examine the funds’ ability to create excess return. We do not find any evidence of excess return created during the pandemic. We do however find evidence of significant positive excess return created during the financial crisis by several funds. These funds were on average able to create a significant monthly alpha of 1.26% during the crisis. The best performing funds created a monthly alpha in the interval (1.14%, 1.44%). From our findings it seems like fund managers were able to utilize the uncertainty in the markets during the financial crisis better than during the pandemic.