Mutual fund performance. Performance evaluation of German mutual funds and R2 as a predictor of fund performance

      Аннотация: The purpose of the work is to provide a performance analysis of German mutual funds and investigate if there are differences between funds that invest in German, European or Global stocks. We further analyse the predictive power of R2 and test whether it can significantly predict the fund performance. The study includes 125 German mutual funds that have been in operation between 2005 and 2015. In this study we consider two main fund performance measures: Jensen Index and Carhart Four Factor model. Furthermore, we analyse the timing ability of the German funds managers with the Treynor and Mazuy (1966) quadratic regression. Finally, we examine if lower R2 significantly predicts better fund performance, following the study of Amihud and Goyenko (2013). The results show that the funds are on average not able to outperform the benchmark: they tend to follow the index strategy, thus have a similar performance. Furthermore results show that the German mutual funds that invest domestically constitute the group of funds that has the worst performance compared to the benchmark. Finally we found that R2 significantly predicts future fund performance.

Ключевые слова: mutual fund performance, evaluation, german predictor