The Perils of Performance Measurement in the German Mutual-Fund Industry

Philip Böhme, Walt Pohl () and Karl Schmedders
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Philip Böhme: Allianz Global Investors Europe

No 13-30, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: G12 G24 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2013-05
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1330

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