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Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle

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Wittrock, C., Steiner, M. Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle. . Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds. Credit and Capital Markets – Kredit und Kapital, 28(1), 1-45. https://doi.org/10.3790/ccm.28.1.1
Wittrock, Carsten and Steiner, Manfred "Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle. Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds. " Credit and Capital Markets – Kredit und Kapital 28.1, 1995, 1-45. https://doi.org/10.3790/ccm.28.1.1
Wittrock, Carsten/Steiner, Manfred (1995): Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle, in: Credit and Capital Markets – Kredit und Kapital, vol. 28, iss. 1, 1-45, [online] https://doi.org/10.3790/ccm.28.1.1

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Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle

Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds

Wittrock, Carsten | Steiner, Manfred

Credit and Capital Markets – Kredit und Kapital, Vol. 28 (1995), Iss. 1 : pp. 1–45

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Carsten Wittrock, Münster

Manfred Steiner, Münster

References

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Abstract

Performance-Measurement without Links to Particular Equilibrium Models - An Analysis of the Performance of German Mutual Funds

Using only returns as a source of information we examine the performance of 21 German mutual funds between 1974 - 1991. The measures employed include the positive period weighting measure proposed by Grinblatt/Titman. Based on their insights it is shown that links between performance measures and particular equilibrium models are not necessary and that an unconditional mean-variance efficient portfolio of assets that are considered tradable by the evaluated investor provides correct inferences about an investor’s performance. The results from applying that measure which overcomes timing-related estimation problems were almost identical to the results obtained by employing the Jensen-measure. Our findings were supported by applying stochastic dominance criteria which utilize the entire probability density function of returns rather than a finite number of moments such as mean and variance. We found no evidence that the funds on average provide investors with superior performance that surpasses of a broad performance equity index over the sample periods.