Fund Performance and Fund Characteristics: Evidence from Belgian Equity Mutual Funds

This master's thesis investigates the effect of four funds characteristics, namely the fund size, expense ratio, past performance and manager's education, on the performance of Belgian equity mutual funds during the period 2016-2018. The performance is measured using the fund's alpha, Sharpe ratio and Sortino ratio. Firstly, two hypothesis tests of the difference of means performance are used in order to detect whether small funds outperformed their larger peers and whether high expense ratio funds provide greater performance than low expense ratio funds. Secondly, the nonparametric Winner-Loser test is used to detect performance persistence among the sample. Finally, cross-sectional ordinary least squares regressions are performed to assess the impacts of the fund size and expense ratio on fund performance measures for each year.