8. Results
8.1 Descriptive Statistics
Table 9 presents the descriptive statistics of the funds’ monthly return over the 10-year period.
The estimates of the three index funds that have existed for less than 10 years are left out, as we find it imprecise to compare statistic figures estimated over different time periods. The funds that have existed for less than 10 years are marked by a star (*) in our tables.
Table 9. Descriptive statistics: monthly estimates (own contribution)
The table shows that all the funds in the sample on average have delivered positive returns over the sample period. On average, Alfred Berg Gambak generated the highest returns, with an average monthly rate of 1.33%. ODIN Norge C generated the lowest returns, with an average
Fund name Mean(ri) Min(ri) Max(ri) σi ri-rf ri-rM
Active funds:
Alfred Berg Aktiv 1.24% -13.63% 15.94% 4.58% 1.10% 0.15%
Alfred Berg Gambak 1.33% -13.56% 15.18% 4.41% 1.18% 0.23%
Alfred Berg Humanfond 1.00% -12.05% 14.94% 4.42% 0.86% -0.09%
Alfred Berg Norge Classic 1.22% -11.63% 15.78% 4.42% 1.07% 0.12%
C WorldWide Norge 1.07% -11.60% 14.78% 4.59% 0.92% -0.03%
Danske Invest Norge I 1.12% -12.39% 13.85% 4.51% 0.98% 0.03%
Delphi Norge A 1.10% -12.60% 15.17% 4.77% 0.95% 0.01%
DNB Norge (IV) 0.99% -10.58% 14.81% 4.44% 0.85% -0.10%
Eika Norge 0.89% -16.05% 16.89% 4.77% 0.74% -0.20%
Fondsfinans Norge 1.20% -12.47% 15.12% 4.91% 1.05% 0.10%
Handelsbanken Norge 1.22% -12.43% 16.34% 4.76% 1.07% 0.12%
Holberg Norge 0.82% -12.54% 13.79% 4.54% 0.67% -0.28%
KLP AksjeNorge 1.08% -11.57% 16.20% 4.78% 0.94% -0.01%
Nordea Avkastning 1.15% -11.46% 15.39% 4.63% 1.00% 0.06%
Nordea Kapital 1.18% -10.93% 15.44% 4.57% 1.03% 0.08%
Nordea Norge Verdi 1.23% -9.73% 14.13% 3.99% 1.08% 0.13%
ODIN Norge C 0.80% -13.80% 12.59% 4.28% 0.65% -0.30%
Pareto Aksje Norge B 0.90% -12.32% 13.10% 4.34% 0.75% -0.20%
Pareto Investment Fund A 1.24% -12.51% 17.18% 4.94% 1.09% 0.14%
Storebrand Norge 1.15% -12.09% 14.42% 4.48% 1.00% 0.06%
Index funds:
Alfred Berg Index Classic 1.05% -10.51% 14.35% 4.28% 0.90% -0.04%
DNB Norge Indeks*
KLP AksjeNorge Indeks II 1.05% -10.63% 14.71% 4.31% 0.90% -0.05%
Nordnet Superfondet Norge*
PLUSS Indeks (Fondsforvaltning) 1.03% -10.32% 15.69% 4.41% 0.88% -0.07%
Storebrand Indeks - Norge A*
Average 1.09% -12.06% 15.03% 4.53% 0.94% -0.01%
OSEFX 1.10% -11.76% 15.29% 4.58% 0.95%
3M-NIBOR 0.15% 0.06% 0.29% 0.06%
50 rate of 0.80%. Over the 10 year period, Eika Norge delivered both the lowest and highest monthly return, at the rate of respectively -16.05% and 16.89%. These funds are all active.
Further, it appears from the analysis that the standard deviation of the index funds ranges from 4.41% to 4.28%, which implies that the volatility of the index funds’ return is all below the benchmark. The standard deviation of the active funds ranges from 4.94% to 3.99%, where 9 out of 20 active funds are more volatile than the benchmark, and the remaining 11 are less volatile. It is interesting that the majority of the active funds are less volatile than the benchmark, as one could expect them to take on more risk to beat the benchmark, as implied by the risk-return tradeoff.
When comparing the funds’ return relative to the risk-free rate, they all on average, generate a positive monthly return in excess of the risk-free rate. Since the monthly returns are net of fees, the results imply that placing an investment in any of the funds at the beginning of the sample period has been more profitable than investing in a risk-free asset. Furthermore, it emerges from the analysis that 12 out of the 20 active funds on average exceed the returns of the benchmark index. All of the index funds have on average underperformed relative to the benchmark. The average return in excess of the benchmark is -0.0056% and the median excess return is 0.0052.
Six of the active funds in the data sample are able to deliver returns above the benchmark, as well as they are less volatile. Based on the descriptive statistics, the active fund Alfred Berg Gambak especially stands out, as it delivers the highest return average return over the sample period, beating the benchmark, as well as it is less volatile.
To get a more accurate picture of the funds’ relative performance, we have presented the statistic figures from the last 54 months (4.5 years) in table 10. The statistic figures in table 10 are estimated from the month the last fund in our sample was launched, to enable us to perform a more accurate comparison of the entire data, as the estimations cover the same period.
51 Table 10. Descriptive statistics: monthly from 07/2014 to 12/2018. (own contribution)
It emerges from table 10 that the average monthly returns over the last 54 months are reduced across the entire data sample compared to the 10-year estimates. The overall average return has decreased from 1.09% to 0.57%, and the average return of the market benchmark has decreased from 1.10% to 0.49%. Similarly, the funds’ average volatility has dropped, compared to the average of the 10-year period. Over the period from July 2014 until December 2018, 10 active and four passive funds have been less volatile than the benchmark index. Based on the estimates over the 4.5-year period, Alfred Berg Gambak on average delivers the highest return, and DNB Norge (IV) delivers the lowest return.
Further, we can observe that the entire sample of mutual funds have on average provided returns above the risk-free rate. Implying that investing in either of the funds in our data sample,
Fund name Mean(ri) σi ri-rf ri-rM
Active funds:
Alfred Berg Aktiv 0.86% 3.14% 0.77% 0.38%
Alfred Berg Gambak 0.95% 3.42% 0.85% 0.46%
Alfred Berg Humanfond 0.56% 3.09% 0.46% 0.07%
Alfred Berg Norge Classic 0.70% 3.03% 0.61% 0.22%
C WorldWide Norge 0.56% 3.38% 0.46% 0.07%
Danske Invest Norge I 0.56% 3.00% 0.46% 0.07%
Delphi Norge A 0.40% 3.70% 0.30% -0.09%
DNB Norge (IV) 0.33% 3.49% 0.23% -0.16%
Eika Norge 0.34% 3.21% 0.25% -0.15%
Fondsfinans Norge 0.66% 4.01% 0.57% 0.17%
Handelsbanken Norge 0.80% 3.40% 0.71% 0.31%
Holberg Norge 0.60% 3.21% 0.50% 0.11%
KLP AksjeNorge 0.51% 3.47% 0.42% 0.02%
Nordea Avkastning 0.65% 3.37% 0.56% 0.16%
Nordea Kapital 0.62% 3.26% 0.52% 0.13%
Nordea Norge Verdi 0.61% 3.15% 0.51% 0.12%
ODIN Norge C 0.67% 2.90% 0.57% 0.18%
Pareto Aksje Norge B 0.35% 3.61% 0.25% -0.14%
Pareto Investment Fund A 0.74% 3.81% 0.64% 0.25%
Storebrand Norge 0.61% 2.98% 0.52% 0.12%
Index funds:
Alfred Berg Index Classic 0.48% 3.21% 0.39% -0.01%
DNB Norge Indeks* 0.45% 3.22% 0.36% -0.04%
KLP AksjeNorge Indeks II 0.47% 3.21% 0.37% -0.02%
Nordnet Superfondet Norge* 0.49% 3.36% 0.39% 0.00%
PLUSS Indeks (Fondsforvaltning) 0.43% 3.36% 0.33% -0.06%
Storebrand Indeks - Norge A* 0.47% 3.23% 0.37% -0.02%
Average 0.57% 3.31% 0.48% 0.08%
OSEFX 0.49% 3.18%
3M-NIBOR 0.10% 0.02%
52 has been more profitable than a risk-free investment. When we observe the average return obtained relative to the benchmark index, it emerges from table 10 that 16 active funds have performed better than the benchmark, delivering a positive average return in excess of the benchmark. As for the index funds, they all underperformed relative to the benchmark index, delivering negative returns in excess of the benchmark index. Corresponding findings only apply to four of the active funds.
It emerges from the descriptive statistics that 12 active funds were able to beat the benchmark over the 10-year period and 14 active funds were able to do so over the four and a half year period. These findings demonstrate that active funds can deliver positive returns in excess of the benchmark. However, the statistics corresponding to the passive funds shows that neither of the index funds are able to beat the benchmark, as they deliver negative returns in excess of the benchmark, over the long (10-year) and short term (4.5-year) periods. These findings are in favor of the active funds, indicating that the active funds perform better than the index funds.
Further, we are to address whether each fund is performing better related to the benchmark and related to a risk-free asset through several performance measures.