Style Analysis and Performance Evaluation of Dutch Mutual Funds

J.R. Ter Horst, T.E. Nijman, F.A. de Roon

Research output: Working paperDiscussion paperOther research output

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages24
Volume1998-50
Publication statusPublished - 1998

Publication series

NameCentER Discussion Paper
Volume1998-50

Fingerprint

Style analysis
Performance evaluation
Mutual funds
Investment style
Equity
Investors
Relative performance evaluation
Short sales
Mean-variance
Domestic market
The Netherlands

Keywords

  • performance evaluation
  • investment trusts
  • portfolio investment

Cite this

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). Tilburg: Econometrics.
Ter Horst, J.R. ; Nijman, T.E. ; de Roon, F.A. / Style Analysis and Performance Evaluation of Dutch Mutual Funds. Tilburg : Econometrics, 1998. (CentER Discussion Paper).
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Ter Horst, JR, Nijman, TE & de Roon, FA 1998 'Style Analysis and Performance Evaluation of Dutch Mutual Funds' CentER Discussion Paper, vol. 1998-50, Econometrics, Tilburg.

Style Analysis and Performance Evaluation of Dutch Mutual Funds. / Ter Horst, J.R.; Nijman, T.E.; de Roon, F.A.

Tilburg : Econometrics, 1998. (CentER Discussion Paper; Vol. 1998-50).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Style Analysis and Performance Evaluation of Dutch Mutual Funds

AU - Ter Horst, J.R.

AU - Nijman, T.E.

AU - de Roon, F.A.

N1 - Pagination: 24

PY - 1998

Y1 - 1998

N2 - 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.

AB - 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.

KW - performance evaluation

KW - investment trusts

KW - portfolio investment

M3 - Discussion paper

VL - 1998-50

T3 - CentER Discussion Paper

BT - Style Analysis and Performance Evaluation of Dutch Mutual Funds

PB - Econometrics

CY - Tilburg

ER -

Ter Horst JR, Nijman TE, de Roon FA. Style Analysis and Performance Evaluation of Dutch Mutual Funds. Tilburg: Econometrics. 1998. (CentER Discussion Paper).