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Evaluating the Rating of Stiftung Warentest: How good are Mutual Fund Ratings and can they be Improved?
Müller, Sebastian
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Weber, Martin
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DOI:
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https://doi.org/10.1111/j.1468-036X.2011.00632.x
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URL:
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http://onlinelibrary.wiley.com/doi/10.1111/j.1468-...
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Document Type:
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Article
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Year of publication:
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2014
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The title of a journal, publication series:
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European Financial Management
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Volume:
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20
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Issue number:
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2
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Page range:
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207-235
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Place of publication:
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Oxford
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Publishing house:
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Wiley-Blackwell
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ISSN:
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1354-7798 , 1468-036X
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Publication language:
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English
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Institution:
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Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
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Subject:
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330 Economics
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Classification:
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JEL:
G1 , G11 , G12,
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Keywords (English):
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mutual funds , performance evaluation , performance persistence , mutual fund ratings , active management
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Abstract:
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We test the abilities of the Stiftung Warentest fund rating system to predict future fund performance among German registered funds for six equity categories: Germany, Euro-Zone, Europe, North America, Pacific and World. Stiftung Warentest is a consumer protection agency and a major provider of fund ratings in Germany. Our empirical analysis documents predictive abilities of the rating system. The reason is that measures of past performance are positively related to future performance in several of these markets, even after controlling for momentum. Measures of fund activity (e.g., Active Share) are also helpful to predict performance, in particular to identify likely future losers. Hence, they should be taken into consideration by consumers when selecting a fund and rating agencies when revising current rating methodologies.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
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