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Style Analysis and Performance Evaluation of Dutch Mutual Funds

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Author Info

  • Horst, J.R. ter
  • Nijman, T.E.
  • Roon, F.A. de

    (Tilburg University, Center for Economic Research)

Abstract

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch mutual funds. Most strinkingly, Dutch mutual funds that mainly invest in Netherlands equity show relative outperformance of the passive portfolio of indices reflecting the mutual fund's investment style. Moreover, the same group of funds provide an extension of the mean-variance efficient investment set for Dutch investors, even after taking short sales restrictions into account, indicating that a domestic market effect might be present.

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File URL: http://arno.uvt.nl/show.cgi?fid=3711
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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1998-50.

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Date of creation: 1998
Date of revision:
Handle: RePEc:dgr:kubcen:199850

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Web page: http://center.uvt.nl

Related research

Keywords: performance evaluation; investment trusts; portfolio investment;

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References

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  1. Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, vol. 54(5), pages 1243-48, September.
  2. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
  3. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
  4. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
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Cited by:
  1. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
  2. Schröder, Michael, 2003. "Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices," ZEW Discussion Papers 03-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  4. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
  5. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  6. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August.

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