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Performance deutscher Rentenfonds

Author

Listed:
  • Erik Theissen

    (Johann Wolfgang Goethe-Universität Frankfurt)

  • Mario Greifzu

    (KPMG Unternehmensberatung GmbH)

Abstract

Summary This paper analyzes the performance of a sample of German bond mutual funds. We consider a variety of performance measures and discuss their applicability. Specifically, we demonstrate that the use of a one-factor model may be empirically justified for portfolios of constant structure but yields inconsistent results when applied to our sample of funds. We find that most funds do not outperform the index. This result does not depend on the specific performance measure used. We further demonstrate that some funds have a significant equity exposure. Finally, we do not find a significant relation between fund performance and expense ratios.

Suggested Citation

  • Erik Theissen & Mario Greifzu, 1998. "Performance deutscher Rentenfonds," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 436-461, May.
    • Handle: RePEc:spr:sjobre:v:50:y:1998:i:5:d:10.1007_bf03371515
    DOI: 10.1007/BF03371515
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
    3. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    4. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    5. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    6. Grinblatt, Mark & Titman, Sheridan, 1987. "The Relation between Mean-Variance Efficiency and Arbitrage Pricing," The Journal of Business, University of Chicago Press, vol. 60(1), pages 97-112, January.
    7. Malkiel, Burton G, 1995. "Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-572, June.
    8. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
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    Cited by:

    1. Bernhard Schwetzler & Niklas Darijtschuk, 1999. "Performance deutscher Rentenfonds — Anmerkungen zu Theissen/Greifzu ZfbF 5/1998," Schmalenbach Journal of Business Research, Springer, vol. 51(9), pages 867-875, September.
    2. Erik Theissen & Mario Greifzu, 1999. "Zur Messung der Performance von Rentenfonds: Replik zur Stellungnahme von Schwetzler/Darijtschuk," Schmalenbach Journal of Business Research, Springer, vol. 51(9), pages 876-882, September.

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