Índices de performance, gestión activa y eficiencia. Un análisis de sensitividad y del fenómeno de la persistencia

Fernando Gómez-Bezares Pascual, José Antonio Madariaga Ibarra, Javier Santibáñez Grúber and Amaia Apraiz Larragán
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Fernando Gómez-Bezares Pascual: Universidad Comercial de Deusto
José Antonio Madariaga Ibarra: Universidad Comercial de Deusto
Javier Santibáñez Grúber: Universidad Comercial de Deusto
Amaia Apraiz Larragán: Universidad Comercial de Deusto

EKONOMIAZ. Revista vasca de Economía, 2007, vol. 66, issue 03, 220-245

Abstract: The paper deepens in the analysis of the so called «Persistence phenomenon» related to the performance of funds. In previous studies, we found that some performance measures (both classical -Sharpe, Treynor, - - and new ones -Penalized Internal Rate of Return, Information Ratio-) calculated on a wide sample of European Funds in a bearish market (99-02) were useful in order to beat market performance in a subsequent bullish period (03-05). In this paper we deepen in the main conclusions of the previous study, by the means of analysing their robustness (when using a different risk-free rate, working on weekly basis -instead of monthly basis- or taking a different benchmark) and using several statistical tests in order to study the Persistence Hypothsis. Results show that in the period and sample studied the Persistence Hypothesis should be accepted, so performance measures could be helpful in order to beat market performance on an active management basis; which could be interpreted as evidence against the Weak Market Efficiency Hypothesis.

Keywords: performance measures; funds; efficiency; persistence; empiric (search for similar items in EconPapers)
JEL-codes: G11 G14 G23 (search for similar items in EconPapers)
Date: 2007
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