Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence

Aarhus School of Business, Finance Research Group Working Paper No. F-2005-1

39 Pages Posted: 2 Mar 2005

Date Written: February 11, 2005

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.

Keywords: Mutual funds, performance evaluation, market timing, performance persistence

JEL Classification: G12, G14, G23

Suggested Citation

Christensen, Michael, Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence (February 11, 2005). Aarhus School of Business, Finance Research Group Working Paper No. F-2005-1, Available at SSRN: https://ssrn.com/abstract=670701 or http://dx.doi.org/10.2139/ssrn.670701

Michael Christensen (Contact Author)

Aarhus School of Business ( email )

Nordre Ringgade 1
Aarhus C, DK-8000
Denmark

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