IDEAS home Printed from https://ideas.repec.org/a/spr/sjobre/v51y1999i9d10.1007_bf03371600.html
   My bibliography  Save this article

Performance deutscher Rentenfonds — Anmerkungen zu Theissen/Greifzu ZfbF 5/1998

Author

Listed:
  • Bernhard Schwetzler

    (Handelshochschule Leipzig (HHL))

  • Niklas Darijtschuk

    (Handelshochschule Leipzig (HHL))

Abstract

Summary Referring to an article of Theissen/Greijzu in ZfbF 5/1998 this paper addresses some problems in fixed income performance measurement. In a world with changes in interest rates, total return does not always show performance correctly. The actual change of consumption opportunities is also influenced by the inventors’ consumption preferences (investment horizon). Another problem is the inclusion of interest rate risk in fixed income performance measurement: volatility in portfolio market values does not necessarily mean volatility in consumption opportunities when interest rates change. Diversification is not entirely necessary to reduce interest rate risk. That’s why transferring CAPM-based performance measures from stocks into the world of bonds fails.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:sjobre:v:51:y:1999:i:9:d:10.1007_bf03371600
    DOI: 10.1007/BF03371600
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/BF03371600
    File Function: Abstract
    Download Restriction: no
    File URL: https://libkey.io/10.1007/BF03371600?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Erik Theissen & Mario Greifzu, 1998. "Performance deutscher Rentenfonds," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 436-461, May.
    2. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    3. J. E. Stiglitz, 1970. "A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(3), pages 321-351.
    4. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    2. Alain Bensoussan & Jussi Keppo & Suresh P. Sethi, 2009. "Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 215-236, April.
    3. Benjamin M. Friedman, 1980. "The Effect of Shifting Wealth Ownership on the Term Structure of Interest Rates," NBER Working Papers 0239, National Bureau of Economic Research, Inc.
    4. John Y. Campbell, 1986. "Bond and Stock Returns in a Simple Exchange Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 785-803.
    5. Valentina Galvani & Stuart Landon, 2013. "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
    6. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    7. Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 566-598, October.
    8. Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan, 2022. "Sharing idiosyncratic risk even though prices are “wrong”," Journal of Economic Theory, Elsevier, vol. 200(C).
    9. Drobyshevsky Sergey & Lugovoy Oleg & Astafieva Ekaterina & Burkova N. Yu., 2009. "Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008," Research Paper Series, Gaidar Institute for Economic Policy, issue 130P.
    10. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
    11. Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," Recherches économiques de Louvain, De Boeck Université, vol. 76(2), pages 195-217.
    12. Clain-Chamosset-Yvrard, Lise, 2021. "Expectation-Driven Asset Price Fluctuations Under The Spirit Of Capitalism Hypothesis: The Role Of Heterogeneity," Macroeconomic Dynamics, Cambridge University Press, vol. 25(2), pages 509-535, March.
    13. Shafron, Emily, 2019. "Investor tastes: Implications for asset pricing in the public debt market," Journal of Corporate Finance, Elsevier, vol. 55(C), pages 6-27.
    14. Georges Prat & Remzi Uctum, 2006. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," Working Papers hal-04138546, HAL.
    15. Jacobs, Rodney L & Jones, Robert A, 1980. "The Treasury-Bill Futures Market," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 699-721, August.
    16. Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two horizons framework," Working Papers hal-04141774, HAL.
    17. Prat, Georges & Uctum, Remzi, 2021. "Term structure of interest rates: Modelling the risk premium using a two horizons framework," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
    18. José Miguel Torres, 2013. "Formalismo canónico en economía aplicado a teoría de portafolios," Serie documentos de trabajo del Centro de Estudios Económicos 2013-02, El Colegio de México, Centro de Estudios Económicos.
    19. Xavier Freixas, 1992. "Estructura temporal de tipos de interés: hipótesis teóricas y resultados empíricos," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 187-203, May.
    20. Benjamin M. Friedman, 1978. "Interest Rate Expectations Versus Forward Rates: Evidence From An Expectations Survey," NBER Working Papers 0295, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sjobre:v:51:y:1999:i:9:d:10.1007_bf03371600. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.