European Mutual Fund Performance

42 Pages Posted: 14 Apr 2000

See all articles by Rogér Otten

Rogér Otten

Maastricht University - Limburg Institute of Financial Economics (LIFE)

Dennis Bams

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Multiple version iconThere are 2 versions of this paper

Date Written: September 21, 2000

Abstract

This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the 5 most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition we investigate whether European fund managers exhibit "hot hands", persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, 4 out of 5 countries exhibit significant out-performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the United Kingdom. Our results deviate from most US studies that argue mutual funds under-perform the market by the amount of expenses they charge.

Keywords: Mutual funds, performance evaluation, portfolio management, style analysis

JEL Classification: G12, G20, G23

Suggested Citation

Otten, Rogér and Bams, Dennis, European Mutual Fund Performance (September 21, 2000). European Financial Management Journal, Forthcoming; EFMA 2000 Athens Meetings. Available at SSRN: https://ssrn.com/abstract=213808 or http://dx.doi.org/10.2139/ssrn.213808

Rogér Otten (Contact Author)

Maastricht University - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3838 (Phone)
+31 43 388 4875 (Fax)

HOME PAGE: http://www.fdewb.unimaas.nl/finance/faculty/Otten

Dennis Bams

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3838 (Phone)
+31 43 325 8530 (Fax)

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