Open Access

Carsten Wittrock, Manfred Steiner

• Performance-Measurement without Links to Particular Equilibrium Models - An Analysis of the Performance of German Mutual Funds Using only returns as a source of information we examine the performance of 21 German mutual funds between 1974 - 1991. The measures employed include the positive period weighting measure proposed by Grinblatt/Titman. Based on their insights it is shown that links between performance measures and particular equilibrium models are not necessary and that an unconditional mean-variance efficient portfolio of assets that are considered tradable by the evaluated investor provides correct inferences about an investor’s performance. The results from applying that measure which overcomes timing-related estimation problems were almost identical to the results obtained by employing the Jensen-measure. Our findings were supported by applying stochastic dominance criteria which utilize the entire probability density function of returns rather than a finite number ofPerformance-Measurement without Links to Particular Equilibrium Models - An Analysis of the Performance of German Mutual Funds Using only returns as a source of information we examine the performance of 21 German mutual funds between 1974 - 1991. The measures employed include the positive period weighting measure proposed by Grinblatt/Titman. Based on their insights it is shown that links between performance measures and particular equilibrium models are not necessary and that an unconditional mean-variance efficient portfolio of assets that are considered tradable by the evaluated investor provides correct inferences about an investor’s performance. The results from applying that measure which overcomes timing-related estimation problems were almost identical to the results obtained by employing the Jensen-measure. Our findings were supported by applying stochastic dominance criteria which utilize the entire probability density function of returns rather than a finite number of moments such as mean and variance. We found no evidence that the funds on average provide investors with superior performance that surpasses of a broad performance equity index over the sample periods.…