Analyzing the Changing Risk and Return Structure of German Open-Ended Funds Using Semivariance Based Performance Measures

Abstract

Purpose: The purpose of this paper is to examine the changing risk structure of German open-end funds using semi variance based performance measures.

Design/methodology: The analysis focuses on an appropriate benchmark and compares classical performance measures with LPM based measures.

Findings: Using semi variance based performance measures markedly improves the ranking positions of funds with high returns in single months.

Originality: The study provides insights to choose appropriate performance measures in the context of the exceptionally low German asset volatility.

Keywords: open-end funds, performance, semi variance, lower partial moments, investment risk

JEL Classification: L85, R33, C43