Performance deutscher Rentenfonds — Anmerkungen zu Theissen/Greifzu ZfbF 5/1998

Bernhard Schwetzler and Niklas Darijtschuk
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Bernhard Schwetzler: Handelshochschule Leipzig (HHL)
Niklas Darijtschuk: Handelshochschule Leipzig (HHL)

Schmalenbach Journal of Business Research, 1999, vol. 51, issue 9, 867-875

Abstract: Summary Referring to an article of Theissen/Greijzu in ZfbF 5/1998 this paper addresses some problems in fixed income performance measurement. In a world with changes in interest rates, total return does not always show performance correctly. The actual change of consumption opportunities is also influenced by the inventors’ consumption preferences (investment horizon). Another problem is the inclusion of interest rate risk in fixed income performance measurement: volatility in portfolio market values does not necessarily mean volatility in consumption opportunities when interest rates change. Diversification is not entirely necessary to reduce interest rate risk. That’s why transferring CAPM-based performance measures from stocks into the world of bonds fails.

Date: 1999
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DOI: 10.1007/BF03371600

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