Empirical Analysis of Mutual Funds investing in German Equity (1995-2015)

Inhaltsverzeichnis (Table of Contents)

• 1 Introduction.
• 2 Theoretical Framework.
  • 2.1 The Arithmetic of Active Management
  • 2.2 Information Efficiency of Financial Markets...
  • 2.3 Factor Models......
• 3 Previous Empirical Findings.
• 4 Method
  • 4.1 Factor Creation.
  • 4.2 Data
  • 4.3 Forming the Dataset and Limitations.
  • 4.4 Approach..
  • 4.5 Separating Skill from Luck.
  • 4.6 Summary Statistics..
• 5 Empirical Results
  • 5.1 Net Returns...
  • 5.2 Gross Returns
  • 5. 3 Beating Individual Benchmarks ..
• 6 Critical Review......

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This thesis examines the performance of mutual funds investing in German equity from July 1995 to June 2015. The main objective is to determine if fund managers possess sufficient skill to generate risk-adjusted returns that cover the costs imposed on investors. Another purpose is to provide investors with relevant findings regarding the performance of German equity funds.

• Performance of German Equity Funds
• Skill vs. Luck in Fund Management
• Risk-Adjusted Returns and Cost Coverage
• Factor Models and Benchmarking
• Passive vs. Active Management Strategies

Zusammenfassung der Kapitel (Chapter Summaries)

The thesis begins with a theoretical framework outlining the arithmetic of active management, information efficiency of financial markets, and factor models. Chapter 3 presents previous empirical findings on fund performance. Chapter 4 details the methodology used, including factor creation, data collection, forming the dataset, and separating skill from luck. Chapter 5 presents the empirical results based on net and gross returns, analyzing the performance of funds against individual benchmarks. Chapter 6 provides a critical review of the findings, and the conclusion summarizes the key takeaways and implications for investors.

Schlüsselwörter (Keywords)

The main keywords and focus topics of this thesis include fund performance, active and passive management, German equity funds, fund management, luck and skill, bootstrapping, Fama and French, Carhart, factor models, CAPM, and OLS regression.