Scandinavian Working Papers in Business Administration

Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies

No 03-4: 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

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

27 pages, May 9, 2003

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