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Winners and losers: German equity mutual funds

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  • Keith Cuthbertson
  • Dirk Nitzsche

Abstract

We investigate the performance of winners and losers for German equity mutual funds (1990-2009), using empirical order statistics. When using gross returns and the Fama-French three-factor model, the number of statistically significant positive alpha funds is zero but increases markedly when market timing variables are added. However, when using a 'total performance' measure (which incorporates both alpha and the contribution of market timing), the number of statistically significant winner funds falls to zero. The latter is consistent with the bias in estimated alphas in the presence of market timing. We also find that many poorly performing funds are unskilled rather than unlucky.

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  • Keith Cuthbertson & Dirk Nitzsche, 2013. "Winners and losers: German equity mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 19(10), pages 951-963, November.
    • Handle: RePEc:taf:eurjfi:v:19:y:2013:i:10:p:951-963
    DOI: 10.1080/1351847X.2012.684098
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    Cited by:

    1. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.

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