Mutual Fund Performance at the Oslo Stock Exchange

Abstract

Using a newly constructed survivorship-bias free dataset, I examine the performance and persistence of all Norwegian equity mutual funds that have been listed on the Oslo Stock Exchange between 1982 and 2008. Controlling for the factors in the Fama-French model, there is no statistically significant evidence of risk-adjusted abnormal performance for an equal-weighted portfolio of mutual funds. Bootstrapping methods disentangling skill from luck find only weak signs of skill in the right tail of the cross-sectional distribution of alphas, but several inferior fund products in the left tail. There is no persistence in the performance of either winners or losers.