Evaluating the Rating of Stiftung Warentest: How good are Mutual Fund Ratings and can they be Improved?

Müller, Sebastian ; Weber, Martin

DOI: https://doi.org/10.1111/j.1468-036X.2011.00632.x
URL: http://onlinelibrary.wiley.com/doi/10.1111/j.1468-...
Document Type: Article
Year of publication: 2014
The title of a journal, publication series: European Financial Management
Volume: 20
Issue number: 2
Page range: 207-235
Place of publication: Oxford
Publishing house: Wiley-Blackwell
ISSN: 1354-7798 , 1468-036X
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Classification: JEL: G1 , G11 , G12,
Keywords (English): mutual funds , performance evaluation , performance persistence , mutual fund ratings , active management
Abstract: 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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