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Performancemessung mittels Sharpe-, Jensen- und Treynor-Maß: Eine Anmerkung

Author

Listed:
  • Breuers Wolfgang

    (Dr. rer. pol., Universitätsprofessor an der Universität Bonn)

  • Gürtler Marc

    (Dr. rer. pol., Wissenschaftlicher Assistent an der Universität Bonn Die DAFOX-Daten konnten durch Übermittlung von Herrn Professor Dr. Hermann Göppl und die Fondsdaten durch Überlassung des Bundesverbandes Deutscher Investmentgesellschaften e. V. (B VI) ausgewertet werden)

Abstract

Es wird eine verallgemeinerte Performancemaßzahl zur Reihung von Wertpapierfonds auf Basis des Tobin-Separationstheorems vorgestellt, für deren Ermittlung die gleiche (geringe) fondsspezifische Datenmenge ausreicht wie im Rahmen des Einsatzes der drei klassischen Performancemaße von Sharpe, Jensen und Treynor. Dieses Maß resultiert aus der Berücksichtigung einer optimalen Mittelüberlassung an die jeweils ausgewählten Investmentfonds. Auf dieser Grundlage zeigt sich weiterhin, daß das Sharpe-Maß nur für sehr gute Fonds und das Jensen-Maß nur für sehr schlechte Fonds eine angemessene Kennziffer darstellt. Dem Treynor-Maß kann in diesem Modellrahmen keine Fundierung gegeben werden

Suggested Citation

  • Breuers Wolfgang & Gürtler Marc, 1999. "Performancemessung mittels Sharpe-, Jensen- und Treynor-Maß: Eine Anmerkung," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 11(5), pages 273-286, October.
    • Handle: RePEc:bpj:zfbrbw:v:11:y:1999:i:5:p:273-286:n:1
    DOI: 10.15375/zbb-1999-0501
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    Cited by:

    1. Ber, Silke & Kempf, Alexander & Ruenzi, Stefan, 2005. "Determinanten der Mittelzuflüsse bei deutschen Aktienfonds," CFR Working Papers 05-11, University of Cologne, Centre for Financial Research (CFR).

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