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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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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.28.1.1
Language
Multiple languages
Pages
45

Author Details

Carsten Wittrock, Münster

Manfred Steiner, Münster

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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.

Table of Contents

Section Title Page Action Price
Carsten Wittrock/Manfred Steiner: Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle. Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds 1
I. Einleitung 1
II. Private Informationen und ihre Identifikationmit relativ μ/σ-effizienten Portfolios 4
III. Selectivity- und Timingfähigkeit und ihre Messung durch das Positive Period Weighting Measure 9
1. Theoretischer Bezugsrahmen 9
2. Die Bestimmung der Gewichte 12
IV. Die Berücksichtigung der gesamten Wahrscheinlichkeitsverteilung der Renditen im Rahmender stochastischen Dominanz 16
V. Die Performance deutscher Aktieninvestmentfonds 22
1. Datenbasis 22
2. Ergebnisse 27
a) Der Einsatz des Positive Period Weighting Measure 27
b) Die Verwendung der stochastischen Dominanzkriterien 31
VI. Fazit 36
Literaturverzeichnis 39
Zusammenfassung: Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle - Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds 43
Summary: Performance-Measurement without Links to Particular Equilibrium Models - An Analysis of the Performance of German Mutual Funds 44
Résumé: Mesure de la performance sans recours aux modèles de la théorie financière moderne - Un analyse de la performance de fonds de placement allemand en action 44

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