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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title The perils of performance measurement in the German mutual-fund industry
Organization Unit
Authors
  • Philipp Böhme
  • Walter Pohl
  • Karl Schmedders
Language
  • English
Institution University of Zurich
Series Name Swiss Finance Institute Research Paper
Number 13-30
Number of Pages 42
Date 2013
Abstract Text 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.
Official URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2270618
Digital Object Identifier 10.2139/ssrn.2270618
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