Analyzing the Changing Risk and Return Structure of German Open-Ended Funds Using Semivariance Based Performance Measures

Purpose: The purpose of this paper is to examine the changing risk structure of German open-end funds using semi variance based performance measures. Design/methodology: The analysis focuses on an appropriate benchmark and compares classical performance measures with LPM based measures. Findings: Using semi variance based performance measures markedly improves the ranking positions of funds with high returns in single months. Originality: The study provides insights to choose appropriate performance measures in the context of the exceptionally low German asset volatility