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Style Analysis and Performance Evaluation of Dutch Mutual Funds
Ter Horst,J.R. Nijman,T.E. de Roon,F.A.
Ter Horst,J.R.
Nijman,T.E.
de Roon,F.A.
Abstract
In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch mutual funds. Most strinkingly, Dutch mutual funds that mainly invest in Netherlands equity show relative outperformance of the passive portfolio of indices reflecting the mutual fund's investment style. Moreover, the same group of funds provide an extension of the mean-variance efficient investment set for Dutch investors, even after taking short sales restrictions into account, indicating that a domestic market effect might be present.
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Pagination: 24
Date
1998
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Publisher
Econometrics
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50.pdf
Adobe PDF, 292.18 KB
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Keywords
performance evaluation, investment trusts, portfolio investment, G20 - General, G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors, G11 - Portfolio Choice ; Investment Decisions
Citation
Ter Horst, J R, Nijman, T E & de Roon, F A 1998 'Style Analysis and Performance Evaluation of Dutch Mutual Funds' CentER Discussion Paper, vol. 1998-50, Econometrics, Tilburg.