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This master thesis examines the loss distribution of fourteen mutual fund investment styles, based on the Morningstar style boxes and the Environmental Social Governance score. A large dataset of 276056 to 1122872 monthly return observations were utilized for every investment style, from the observation period October 1999 to September 2019. We first use the concept of the standardized momentums to compare the investment style returns. After that we apply risk measurement techniques such as value at risk, expected shortfall and the parameters of the generalized pareto distribution to compare the probability of high negative returns across the investment styles. Finally we investigate the effect of macroeconomic changes on extreme negative mutual fund returns, by using the parameters of the generalized pareto distribution to calculate and compare the value at risk with a confidence level of 99.9%. To this end, we use U.S. and German data series for variables of money growth, economic growth, inflation, interest rates, VIX, equity and commodity markets as a fair representation of the macroeconomic fundamentals that can possibly influence mutual fund returns. Most results from our empirical study agree with the existing literature about the different risks and returns in regard to the mutual fund style dimensions and the impact of covariates on extreme negative returns of these investment styles. However, some of our findings are not in line with our expectations and the existing literature. Our key findings are, growth investment styles have on average a higher return than value investment styles. Furthermore, when the inflation is low growth investment styles have a lower probability of extreme negative returns than value investment styles. Moreover mutual funds that focus on companies with high market capitalization have on average higher returns by a similar risk, than mutual funds that focus on companies with low market capitalization. Lastly, the style dimensions, credit quality and interest sensitivity are not relevant for mutual funds, since they have similar returns and risk across the investment styles.

Value at Risk --- Expected Shortfall --- Risk measurement --- Generalized Pareto Distribution --- Extreme Value Theory --- Mutual funds --- Investment styles --- Sciences économiques & de gestion > Finance