Bessler, Wolfgang; Drobetz, Wolfgang; Zimmermann, Heinz - 2007
We investigate the performance of a sample of German mutual equity funds over the period from 1994 to 2003. Our general … benchmarks. Compared to unconditional measures, fund performance substantially deteriorates when we measure conditional alphas … both in single-index and multi-factor models. We also measure fund performance in the Euler-equation framework and test …