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Winners and losers: German equity mutual funds

Cuthbertson, K. & Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951-968. doi: 10.1080/1351847X.2012.684098


We investigate the performance of winners and losers for German equity mutual funds (1990–2009), using empirical order statistics. When using gross returns and the Fama–French three-factor model, the number of statistically significant positive alpha funds is zero but increases markedly when market timing variables are added. However, when using a ‘total performance’ measure (which incorporates both alpha and the contribution of market timing), the number of statistically significant winner funds falls to zero. The latter is consistent with the bias in estimated alphas in the presence of market timing. We also find that many poorly performing funds are unskilled rather than unlucky.

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article published online by Taylor & Francis in European Journal of Finance on 11/06/2012, available online:
Publisher Keywords: mutual fund performance, order statistics
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
Text - Accepted Version
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