haku: @author Schwetzler, B. / yhteensä: 7
viite: 3 / 7
| Tekijä: | Schwetzler, B. Darijtschuk, N. |
| Otsikko: | Peformance deutscher Rentenfonds - Anmerkungen zu Theissen/ Greifzu ZfbF 5/1998 |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1999 : VOL. 51:9, p. 867-875 |
| Asiasana: | PERFORMANCE MEASUREMENT INCOMES INTEREST RATES |
| Kieli: | ger |
| Tiivistelmä: | Referring to an article of Theissen/Greifzuin ZfbF 5/1998 this article adresses some problems in fixed income perfor- mance 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 influen- ced 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. Di- versification 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. |
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