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Abstract
The purpose of this article is analyzing the performance of the mutual funds that invest solely in German stock market by using the seven different approaches of performance measures. These seven measures are the standard CAPM Jensen's alpha, the Sharpe's ratio, the Treynor's ratio, the Sortino ratio, the Fama's ratio, the Information ratio and Fama-French's three-factor model. The study investigates the performance measurement results and ranking of mutual funds for the period between January 2001 to December 2006. Moreover, the paper shows whether fund rankings according to the different measures are significantly correlated and whether the performance measures identify the same funds as the best and the worst performing funds over the sample period.
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