The Performance of European Small Cap Equity Funds

The thesis examines the risk-adjusted performance of European small cap equity funds between 2008 and 2013. The performance is measured using several measures including Sharpe ratio, Treynor ratio, Modigliani measure, Jensen alpha, 3-factor alpha and 4-factor alpha. The thesis also addresses the issue of persistence in mutual fund performance. Thirdly, the relationship between the activity of fund managers and fund performance is investigated. The managerial activity is measured using tracking error and R-squared obtained from a 4-factor asset pricing model. The issues are investigated using Spearman rank correlation test, cross-sectional regression analysis and ranked portfolio tests. Monthly return data was provided by Morningstar and consists of 88 mutual funds. Results show that small cap funds earn back a significant amount of their expenses, but on average loose to their benchmark index. The evidence of performance persistence over 12-month time period is weak. Managerial activity is shown to positively contribute to fund performance

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Invokaatio: Syn tō theō trismegistō.

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Epinicius Deborae Jud. cap. V. notis philologicis et exegeticis illustratum 2

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In vers. XII. cap. Jesaiae XIV. periculum philologicum 2

Dedikaatio: Herman de Fleming [ransk. pr.], Marguer. de Fleming s. Olivecreutz [ransk. pr.].

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Invokaatio: In nomine Jesu!

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Invokaatio: B''B.

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Invokaatio: I.N.J.C.