Performance differences across markets : A study of mutual funds

University essay from Högskolan i Jönköping/IHH, Nationalekonomi

Abstract:

In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region.

The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index.

The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.

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