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


Date Written: May 17, 2013


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 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: or

Philip Böhme

Allianz Global Investors Europe ( email )

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

Walt Pohl

University of Zurich ( email )

Moussonstrasse 15
Zürich, 8044

NHH Norwegian School of Economics ( email )

Helleveien 30
N-5045 Bergen

Karl Schmedders (Contact Author)

IMD ( email )

Ch. de Bellerive 23
P.O. Box 915
CH-1001 Lausanne

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