Evaluating Danish Mutual Fund Performance

Michael Christensen ()
Additional contact information
Michael Christensen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark, http://www.asb.dk/EOK/FIN/STAFF/MIC_FORM.HTM

No 03-4, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

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.

Keywords: Mutual funds; performance evaluation; market timing; expense ratios (search for similar items in EconPapers)
Pages: 27 pages
Date: 2003-05-09
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.hha.dk/fin/finance/Research/D03_4.PDF (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhb:aarfin:2003_004

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Helle Vinbaek Stenholt ( this e-mail address is bad, please contact ).