Evaluating the Rating of Stiftung Warentest: How Good are Mutual Fund Ratings and Can They Be Improved?
European Financial Management, 20 (2014), 207-235
43 Pages Posted: 19 Mar 2011 Last revised: 3 Mar 2015
Date Written: July 27, 2011
We test the abilities of the Stiftung Warentest fund rating system to predict future fund performance among German registered funds for six equity categories: Germany, Euro-Zone, Europe, North-America, Paciﬁc, and World. Stiftung Warentest is a consumer protection agency and a major provider of fund ratings in Germany. Our empirical analysis documents predictive abilities of the rating system. The reason is that measures of past performance are positively related to future performance in several of these markets, even after controlling for momentum. Measures of fund activity are also helpful to predict performance, and in particular to identify likely future losers.
Keywords: mutual funds, performance evaluation, performance persistence, mutual fund ratings, active management
JEL Classification: G11, G12, G1
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