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Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA

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  • Seitz, Franz
  • Auer, Benjamin R.

Abstract

Neben einer theoretischen Analyse ausgewählter klassischer und moderner Performancemaße präsentieren wir in diesem Papier eine speziell zum Zweck der Performanceanalyse entwickelte Erweiterung des Funktionsumfanges von MS-Excel. Der vorgestellte VBA-Quellcode ermöglicht es, die beschriebenen Maße über neuartige MS-Excel-Funktionen aus vorliegenden Renditezeitreihen zu berechnen, um diese dann z.B. für das Ranking von Fonds zu verwenden.

Suggested Citation

  • Seitz, Franz & Auer, Benjamin R., 2008. "Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA," Weidener Diskussionspapiere 12, University of Applied Sciences Amberg-Weiden (OTH).
    • Handle: RePEc:zbw:hawdps:12
    as

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    References listed on IDEAS

    as
    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
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    6. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Performancemaße; Fonds; Ranking; Excel; VBA;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software

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