TY - JOUR
T1 - Evaluating the rating of stiftung warentest
T2 - How good are mutual fund ratings and can they be improved?
AU - Müller, Sebastian
AU - Weber, Martin
PY - 2014/3
Y1 - 2014/3
N2 - 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.
AB - 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.
KW - Active management
KW - Mutual fund ratings
KW - Mutual funds
KW - Performance evaluation
KW - Performance persistence
UR - http://www.scopus.com/inward/record.url?scp=84897599448&partnerID=8YFLogxK
U2 - 10.1111/j.1468-036X.2011.00632.x
DO - 10.1111/j.1468-036X.2011.00632.x
M3 - Article
AN - SCOPUS:84897599448
SN - 1354-7798
VL - 20
SP - 207
EP - 235
JO - European Financial Management
JF - European Financial Management
IS - 2
ER -