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

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Listed:
  • Bernhard Schwetzler

    (Handelshochschule Leipzig (HHL))

  • Niklas Darijtschuk

    (Handelshochschule Leipzig (HHL))

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.

Suggested Citation

  • Bernhard Schwetzler & Niklas Darijtschuk, 1999. "Performance deutscher Rentenfonds — Anmerkungen zu Theissen/Greifzu ZfbF 5/1998," Schmalenbach Journal of Business Research, Springer, vol. 51(9), pages 867-875, September.
    • Handle: RePEc:spr:sjobre:v:51:y:1999:i:9:d:10.1007_bf03371600
    DOI: 10.1007/BF03371600
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    References listed on IDEAS

    as
    1. J. E. Stiglitz, 1970. "A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(3), pages 321-351.
    2. Erik Theissen & Mario Greifzu, 1998. "Performance deutscher Rentenfonds," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 436-461, May.
    3. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    4. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
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