NDLI: Selection, market timing and style timing of equity mutual funds

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Matschke, Manfred Jürgen/Brösel, Gerrit: Unternehmensbewertung, Funktionen — Methoden — Grundsätze : Betriebswirtschaftlicher Verlag Dr. Th. Gabler GmbH, Wiesbaden 2005, 713 S., 44,90 €

Maurer, Rainer Willi: Zwischen Erkenntnisinteresse und Handlungsbedarf: Eine Einführung in die methodologischen Probleme der Wirtschaftswissenschaft“ : Metropolis-Verlag, Marburg 2004, 175 S., 22,80 €

Geburtstage

Zeitschrift für Betriebswirtschaft : Volume 76

Selection, market timing and style timing of equity mutual funds — evidence from Germany

Content Provider	Springer Nature Link
Author	Stotz, Olaf
Copyright Year	2007
Abstract	In this paper we evaluate the performance of German equity funds with respect to security selection, market timing and style timing. Performance is evaluated by the use of Jensen’s 1-factor and Carhart’s 4-factor model. We find that active fund managers are generally not able to add value through active management. On average, the risk-adjusted underperformance is somewhere between 1.3% and 1.9% per annum (between 1989 and 2005). The magnitude of the underperformance depends on the investment style of the fund. Only those managers who primarily invest in small-cap growth stocks with a high momentum deliver, on average, a positive risk-adjusted performance. Based on the methodology of Treynor/Mazuy and Henriksson/Merton, market timing does not enhance the fund’s performance. However, over the sample period, fund managers seemed to be able to time the value factor, while the timing of the size and momentum factor slightly reduced the performance.Dieser Aufsatz untersucht den Performancebeitrag von deutschen Aktienfonds, der sich aufgrund der Titelselekion, Markt-Timing und Style-Timing ergibt. Die Fondsperformance wird mit Hilfe des 1-Faktorenmodells von Jensen und des 4-Faktorenmodells von Carhart bewertet. Im Durchschnitt erzielen aktiv gemanagte Aktienfonds eine negative Risiko adjustierte Rendite zwischen 1.3% und 1.9% pro Jahr (zwischen 1989 und 2005). Die Höhe der Unterperformance hängt vom Investmentstil des Fonds ab. Fonds mit einem Anlageschwerpunkt auf kleinen Wachstumsaktien mit hoher Performance im vergangenen Jahr sind sogar in der Lage, positive Risiko adjustierte Renditen zu erzielen. Basierend auf den Ergebnissen der Performancemodelle von Treynor/Mazuy und Henriksson/Merton erhöhen Markt-Timing Aktivitäten im Durchschnitt nicht die Fondsperformance. Im Timing der Investmentstile sind Fondsmanger nur beim Value-Faktor erfolgreich. Das Timing des Size- und Momentum-Faktors ist dagegen nicht erfolgreich.
Starting Page	51
Ending Page	73
Page Count	23
File Format	PDF
ISSN	00442372
Journal	Zeitschrift für Betriebswirtschaft
Volume Number	77
Issue Number	1
e-ISSN	18618928
Language	German
Publisher	Gabler Verlag
Publisher Date	2007-01-01
Publisher Place	Wiesbaden
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Information and Market Efficiency; Event Studies; Insider Trading Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors Mutual fund performance investment style selection timing Business and Management Operations Management Organization Human Resource Management Accounting/Auditing Business Taxation/Tax Law
Content Type	Text
Resource Type	Article
Subject	Business and International Management Economics and Econometrics

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