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Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence

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Abstract

Funds under management by Danish mutual funds have increased by 25% annually during the last 10 years and measured per capita Denmark has the third largest mutual fund industry in Europe. This paper provides the first independent performance analysis of Danish mutual funds. We analyse selectivity applying a single index model and a multi-factor model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor and Mazuy (1966) and the option approach suggested by Henriksson and Merton (1981). Finally, we analyse performance persistence using parametric as well as non-parametric methodologies. We conclude that in general Danish mutual funds perform neutrally, returns are non-persistent and Danish mutual funds have no timing ability.

Suggested Citation

  • 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.
  • Handle: RePEc:hhb:aarbfi:2005-01
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    Cited by:

    1. Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.
    2. Mercedes Alda & Luis Ferruz & Liam A. Gallagher, 2013. "Performance of Spanish pension funds: robust evidence from alternative models," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 297-314, February.
    3. Muñoz, Fernando & Vargas, María & Vicente, Ruth, 2014. "Fund flow bias in market timing skill. Evidence of the clientele effect," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 257-269.
    4. Pandow, Bilal, 2017. "Persistent Performance of Fund Managers: An analysis of selection and timing skills," MPRA Paper 82975, University Library of Munich, Germany.

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