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The performance of Dutch investment institutions over the period 1992 through 1996: a detailed research on international equity investment institutions

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  • Eijgenhuijsen, Hans

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Boerendonk, Kjeld
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    Abstract

    This paper deals with Dutch so called fiscal investment institutions subjected to the Act on the Supervision of Investment Institutions (ASII), which solely invest in equities. It analyses the individual and aggregated performances of these funds over the period 1992- 1996. Quarterly data for individual funds find no significant risk adjusted net return, gross of any load fees. Furthermore it is found that the risk adjusted net return exceeded the load charge for a holding period of three years or longer. The question if portfolio managers achieve positive risk adjusted gross return remains unanswered, since investment institutions have a relative freedom in allocating expenses. Subsequent the turnover of the investment institution's total assets is estimated. The results found are mixed. On average investment institutions turn over three fourths of their for cash in- or outflow adjusted assets. A rankcorrelation test did not show any relationship between turnover and risk adjusted net return.

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    Bibliographic Info

    Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0049.

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    Date of creation: 1997
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    Handle: RePEc:dgr:vuarem:1997-49

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    Web page: http://www.feweb.vu.nl

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