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Evaluating Danish Mutual Fund Performance

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Author Info
Christensen, Michael () (Department of Finance, Aarhus School of Business)
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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Publisher 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

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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;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March. [Downloadable!] (restricted)
  2. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July. [Downloadable!] (restricted)
    Other versions:
  3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  4. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
  5. 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. [Downloadable!] (restricted)
  6. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January. [Downloadable!] (restricted)
  7. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January. [Downloadable!] (restricted)
  8. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July. [Downloadable!] (restricted)
  9. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)
  10. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  11. 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.
  12. Dahlquist, Magnus & Engstr?m, Stefan & S?derlind, 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. [Downloadable!]
  13. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-67, June. [Downloadable!] (restricted)
  14. 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. [Downloadable!]
  15. 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. [Downloadable!] (restricted)
  16. Detzler, Miranda Lam, 1999. "The performance of global bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1195-1217, August. [Downloadable!] (restricted)
  17. Horst, J.R. ter & Nijman, T.E. & Roon, F.A. de, 1998. "Style analysis and performance evaluation of Dutch mutual funds," Discussion Paper 50, Tilburg University, Center for Economic Research. [Downloadable!]
  18. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 553-80. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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