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Die Performance deutscher Aktienfonds: Lassen sich Selektions- und Timingfähigkeiten nachweisen und hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung?

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  • Rottmann, Horst
  • Franz, Thomas

Abstract

Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung von Kapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz der Risikomaße während des Betrachtungszeitraums oder berücksichtigen auch andere Risikomaße als die Volatilität bzw. Beta und setzen somit keine Normalverteilung der Renditen voraus. Die durchgeführte empirische Untersuchung anhand von 66 Aktienfonds mit dem Anlageschwerpunkt Deutschland zeigt, dass die Fondsmanager in allen analysierten Perioden über nahezu keinerlei Fähigkeiten bei der Titelauswahl verfügen. Der Vergleich verschiedener Performancemaße zeigt zudem, dass die Wahl des Performancemaßes nur einen marginalen Einfluss auf das Ranking und damit die Beurteilung besitzt. Ferner lässt sich bei den verschiedenen Performancemaßen kein zeitlicher Zusammenhang zwischen den Ergebnissen der verschiedenen Analyseperioden feststellen.

Suggested Citation

  • Rottmann, Horst & Franz, Thomas, 2008. "Die Performance deutscher Aktienfonds: Lassen sich Selektions- und Timingfähigkeiten nachweisen und hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung?," Weidener Diskussionspapiere 5, University of Applied Sciences Amberg-Weiden (OTH).
    • Handle: RePEc:zbw:hawdps:5
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    References listed on IDEAS

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    More about this item

    Keywords

    Performanceanalyse; Investmentfonds; Risikomaße; Persistenz; Lower Partial Moments; Modified Sharpe-Ratio;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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