Performance i en krisetid: Performancemåling af danske investeringsforeninger 1999 – 2009 samt finanskrisens effekt på foreningers performance

Abstract

This thesis examines the performance measurements for mutual funds. The four CAPM-measures: Information Ratio, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha are dis-cussed based on their strengths and weaknesses. The conclusion is that Jensen’s Alpha best meets the criteria for consistent performance measurement, even during times of cri-sis. The study analyzes the performance of 146 Danish stock-based mutual funds categorized by geographic investment area. In the first section of the analysis, performance is calculated and ranked on the basis of all four measurements for the period of mid-1999 to mid-2009. The category with the highest performance was Latin America which earned the highest ratio in all four measures. By using Jensen’s Alpha, we find a statistically significant positive performance for 26 mu-tual funds and significant negative performance for 9 mutual funds when compared to their respective benchmarks. In the second section of the analysis, the relevant time period is shortened to include only mid-2007 to mid-2009. This change allows for determining the influence of the recent fi-nancial crisis on the performance of the same 146 mutual funds. The analysis shows that all of the funds had negative absolute returns due to the financial crisis. However, 8 mu-tual funds had significant positive relative performance despite the negative returns, and 5 had significantly underperformed their benchmark. Lastly, the study analyses the influence of the financial crisis on mutual fund performance measured by Jensen’s Alpha. The category of Eastern Europe was the worst affected by the financial crisis, while the category of Europe gained some performance from the crisis. The overall conclusion is that although the financial crisis negatively affected the absolute return of all mutual funds, the impact on relative performance has been relatively minimal.