Evaluating Danish Mutual Fund Performance
AbstractTo 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 InfoPaper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 03-4.
Length: 27 pages
Date of creation: 09 May 2003
Date of revision:
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Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
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Mutual funds; performance evaluation; market timing; expense ratios;
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