This study examines the relationship between systematic, total risk and risk-adjusted returns of actively managed equity funds in Sweden and Norway during the period 2020–2024. Based on Markowitz's Modern Portfolio Theory (MPT) and the Efficient Market Hypothesis (EMH), the study uses the Sharpe ratio, Treynor ratio and Jensen’s alpha to evaluate fund performance. Data was collected through Morningstar and Avanza, and a total of 39 funds were selected based on criteria such as registration country, management style and asset class. The results show that Swedish funds generally outperform Norwegian funds in terms of risk-adjusted returns, particularly according to Treynor and Jensen. However, the impact of risk factors on the Sharpe ratio was weak or non-significant in both countries. These findings challenge the EMH and highlight the importance of using multiple performance measures when evaluating fund performance. As the results are only partially explained by systematic and total risk, the study also discusses potential structural factors that may underlie these findings. Future research should therefore consider additional influencing variables that were not included in the present analysis.