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Evaluating Danish Mutual Fund Performance

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  • Christensen, Michael

    ()
    (Department of Finance, Aarhus School of Business)

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    Abstract

    To date analyses of Danish mutual fund performance have been few and mainly pursued by mutual funds themselves or by the Association of Danish Mutual Funds (www.ifr.dk). The purpose of this paper is to provide the first independent performance analysis of Danish mutual funds, which includes 44 mutual funds that have been in operation since October 1994. In this analysis we focus on the Jensen measure of performance considering a single index model and a multi-index model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor & Mazuy(1966) and the option approach suggested by Henriksson & Merton (1981). Finally, we consider the influence of management fees and other mutual fund expenses on performance.

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    Bibliographic Info

    Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 03-4.

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    Length: 27 pages
    Date of creation: 09 May 2003
    Date of revision:
    Handle: RePEc:hhb:aarfin:2003_004

    Contact details of provider:
    Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
    Fax: + 45 86 15 19 43
    Web page: http://www.asb.dk/about/departments/bs.aspx
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    Related research

    Keywords: Mutual funds; performance evaluation; market timing; expense ratios;

    This paper has been announced in the following NEP Reports:

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    1. Grinblatt, Mark & Titman, Sheridan, 1994. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 419-444, September.
    2. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
    3. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000. "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 409-423, September.
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    7. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
    8. Dermine, Jean & Roller, Lars-Hendrik, 1992. "Economies of scale and scope in French mutual funds," Journal of Financial Intermediation, Elsevier, vol. 2(1), pages 83-93, March.
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    12. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
    13. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-99, June.
    14. Horst, J.R. ter & Nijman, T.E. & Roon, F.A. de, 1998. "Style Analysis and Performance Evaluation of Dutch Mutual Funds," Discussion Paper 1998-50, Tilburg University, Center for Economic Research.
    15. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.
    16. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
    17. Detzler, Miranda Lam, 1999. "The performance of global bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1195-1217, August.
    18. Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
    19. Roger Otten & Dennis Bams, 2002. "European Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 8(1), pages 75-101.
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    Cited by:
    1. Bechmann, Ken L. & Rangvid , Jesper, 2006. "Rating mutual funds," Working Papers 2005-6, Copenhagen Business School, Department of Finance.
    2. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.

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