A Performance Evaluation of Norwegian Mutual Funds: Luck versus Skill

Master's thesis in Business administration (BE501)In this master’s thesis, we examine the performance of Norwegian mutual fund man-agers. Through a dataset of 107 Norwegian mutual funds’ monthly returns from 1987-2019, we estimate fund managers’ abnormal performance using Carhart (1997) four-factor model. First, we find that the managers cannot generate significant abnormal returns on an aggregate level. Further, we test the null hypothesis of zero performance in bootstrap approaches similar to Kosowski, Timmermann, Wermers and White (2006) and Fama & French (2010) to test whether the performance is is a result of luck or skills. We find no evidence of skill among the outperforming funds. However, we find evidence towards a lack of skill among the underperforming funds. Ultimately, we implement a new approach by Harvey & Liu (2020) for statistical testing under a new null hypothesis: A specific fraction of managersoutperform or underperform the benchmark. The approach allows us to estimate the Type II error rate and the Test power. We find that the Test power is well below the recommended level. Hence, there might be some skillful managers in the Norwegian mutual fund market, though our test lacks the power to detect these. However, we find clear evidence towards the absence of skill under the assumption that a fraction of funds are underperforming

Linear scale bounds on dark matter--dark radiation interactions and connection with the small scale crisis of cold dark matter

One of the open questions in modern cosmology is the small scale crisis of the cold dark matter paradigm. Increasing attention has recently been devoted to self-interacting dark matter models as a possible answer. However, solving the so-called "missing satellites" problem requires in addition the presence of an extra relativistic particle (dubbed dark radiation) scattering with dark matter in the early universe. Here we investigate the impact of different theoretical models devising dark matter dark radiation interactions on large scale cosmological observables. We use cosmic microwave background data to put constraints on the dark radiation component and its coupling to dark matter. We find that the values of the coupling allowed by the data imply a cut-off scale of the halo mass function consistent with the one required to match the observations of satellites in the Milky Way.Comment: 7 pages, 4 figures. Comments welcom