Abstract
This article provides the first independent performance analysis of Danish mutual funds. We analyse selectivity and market timing abilities for 71 mutual funds that have been in operation from 2001 to 2010. The results show great fund performance diversity. Half the funds have performed neutrally, whereas 42% of the funds have shown significantly negative performance and only 7% of the funds have over-performed their benchmark. Furthermore, 14% of the funds analysed possess market timing abilities, but for 8 out of 10 funds, their market timing ability has been unsuccessful.
Notes
1An alternative option-based approach has been suggested by Henriksson and Merton (Citation1981), but we found that the results were almost identical and therefore only the Treynor and Mazuy method will be applied here.