This thesis evaluates the performance of selected actively managed Swedish equity mutualfunds. By estimating performance measurements such as Jensen’s alpha and M-square we identifyexcess returns of the mutual funds to appropriate benchmark indices as well as managers stockselecting abilities. Additionally, since there are issues with the Jensen’s measure and to enhancethe robustness of the selectivity findings, we apply a model called the Henriksson-Merton modelto identify stock selecting and market-timing abilities of mutual fund managers.This thesis examines the period from 2000-2009 with three sub-periods in order toidentify whether the findings are sensitive to the choice of time periods examined. Theperformances exhibited were sensitive, not only to the choice of time periods, but also to thebenchmarks used.The general findings of this thesis supports the earlier literature where no superiorperformance in actively managed mutual funds could be identified. The mutual funds examinedhave not shown any significant over performance, i.e. managers have not possessed any superiorstock selecting skills or market timing abilities.
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