Style Analysis and Performance Evaluation of Dutch Mutual Funds
AbstractIn 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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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1998-50.
Date of creation: 1998
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performance evaluation; investment trusts; portfolio investment;
Find related papers by JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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