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| Author: | Theissen, E. Greifzu, M. |
| Title: | Performance deutscher Rentenfonds |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1998 : VOL. 50:5, p. 436-461 |
| Index terms: | UNIT TRUSTS BONDS GERMANY |
| Language: | ger |
| Abstract: | 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. |
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