The Perils of Performance Measurement in the German Mutual-Fund Industry

42 Pages Posted: 27 May 2013

See all articles by Philip Böhme

Philip Böhme

Allianz Global Investors Europe

Walt Pohl

NHH Norwegian School of Economics; University of Zurich

Karl Schmedders

University of Zurich

Date Written: May 17, 2013

Abstract

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs. We show that using market returns computed at the end of the day instead of the best-fit time, usually leads to misleading inferences about mutual fund performance.

Keywords: CAPM regression, Dimson correction, mutual funds, net asset values, performance measurement

JEL Classification: G12, G24

Suggested Citation

Böhme, Philip and Pohl, Walt and Schmedders, Karl, The Perils of Performance Measurement in the German Mutual-Fund Industry (May 17, 2013). Swiss Finance Institute Research Paper No. 13-30. Available at SSRN: https://ssrn.com/abstract=2270618 or http://dx.doi.org/10.2139/ssrn.2270618

Philip Böhme

Allianz Global Investors Europe ( email )

Seidlstr. 24 - 24a
Munich, 80335
Germany
+49 (89) 1220-70 (Phone)

Walt Pohl

NHH Norwegian School of Economics ( email )

Helleveien 30
N-5045 Bergen
Norway

University of Zurich ( email )

Moussonstrasse 15
Zürich, 8044
Switzerland

Karl Schmedders (Contact Author)

University of Zurich ( email )

Moussonstrasse 15
Zürich, CH-8044
Switzerland
+41 (0)44 634 3770 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
105
Abstract Views
909
rank
253,313
PlumX Metrics