TIMING ABILITY OF GERMAN INVESTMENT FUNDS - AN EMPIRICAL-INVESTIGATION

The paper adresses the question, whether german fund managers have been seccesful to outguess the market, applying the Henrikson/Merton (1981) procedure. As with their colleagues abroad, their performance has been poore. Using the german data set is particularly appealing, since legal restrictions did not allow fund managers to hold options in their portfolios. Hence fund returns are not contaminated by artifical timing, via the use of options. However the typical negative correlation between selectivity and timing still holds, causing serious doubts about the validity of the employed model.