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Evaluating Danish Mutual Fund Performance

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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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  • Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  • Handle: RePEc:hhb:aarfin:2003_004
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    Cited by:

    1. 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.
    2. Bechmann, Ken L. & Rangvid , Jesper, 2006. "Rating mutual funds," Working Papers 2005-6, Copenhagen Business School, Department of Finance.

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    Keywords

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

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