Menu Expand

Der Einfluß von Anlegerpräferenzen auf die Performancemessung

Cite JOURNAL ARTICLE

Style

Rhein, A., Roth, H. Der Einfluß von Anlegerpräferenzen auf die Performancemessung. Credit and Capital Markets – Kredit und Kapital, 30(4), 573-604. https://doi.org/10.3790/ccm.30.4.573
Rhein, Andreas Schmidt-von and Roth, Hanno "Der Einfluß von Anlegerpräferenzen auf die Performancemessung" Credit and Capital Markets – Kredit und Kapital 30.4, 1997, 573-604. https://doi.org/10.3790/ccm.30.4.573
Rhein, Andreas Schmidt-von/Roth, Hanno (1997): Der Einfluß von Anlegerpräferenzen auf die Performancemessung, in: Credit and Capital Markets – Kredit und Kapital, vol. 30, iss. 4, 573-604, [online] https://doi.org/10.3790/ccm.30.4.573

Format

Der Einfluß von Anlegerpräferenzen auf die Performancemessung

Rhein, Andreas Schmidt-von | Roth, Hanno

Credit and Capital Markets – Kredit und Kapital, Vol. 30 (1997), Iss. 4 : pp. 573–604

Additional Information

Article Details

Author Details

Andreas Schmidt-von Rhein, Köln und Frankfurt/Main

Hanno Roth, Köln und Frankfurt/Main

References

  1. Brinson, G. P., Hood, L. R., Beebower, G. L. (Brinson et al. 1986): Determinants of Portfolio Performance, in: Financial Analysts Journal, July/August 1986, S. 39 -44.  Google Scholar
  2. Brinson, G. P., Singer, B. D., Beebower, G. L. (Brinson et al. 1991): Determinants of Portfolio Performance II: An Update, in: Financial Analysts Journal, May/June 1991, S. 40-48.  Google Scholar
  3. Deutsche Börse AG (Deutsche Börse AG, 1993): Deutscher Aktienindex DAX, Deutsche Börse AG, Frankfurt 1993.  Google Scholar

Abstract

The Influence of Investor-specific Preferences on Performance Measurement

It has been current practice in measuring the performance of security portfolios to measure the active performance of managed portfolios against investor-specific benchmarks and to split up the active performance into its components timing and selectivity of the portfolio manager. However, this one-step procedure of performance measurement does not take account of the influences and effects of investor- specific preferences, which are co-determinants of anyone portfolio’s overall success. Investor-specific requirements and preferences may be significant in extent and may crucially influence performance levels especially in individual portfolio management. This contribution therefore presents a return/risk-based concept for a two-step procedure of performance measurement and attribution. It allows the total success of managed portfolios to be analysed and ascertained by taking account separately of market, investor and manager-specific influences. The focus of this procedure is on measuring and attributing investor-specific influences. The concept for twostep performance measurement, the methods employed and the fields of application are presented in detail, and its application in practice is demonstrated on the basis of a comprehensive example.