Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs

Gonzalo Rubio

Review of Quantitative Finance and Accounting, 1995, vol. 5, issue 2, 127-53

Abstract: This paper analyzes the performance of mutual funds in Spain between January 1980 and June 1990. The robustness of results to alternative measurements and benchmarks are analyzed. The results indicate that, with monthly returns alone, it is not possible to distinguish between selectivity and timing. We are only able to measure the magnitude of total performance. To be more precise about the reasons behind performance, portfolio holdings are necessary. This work employs a new data set based on monthly portfolio holdings of a representative sample of funds. A comparison of results using monthly returns and monthly portfolio holdings is made. In particular, thanks to the availability of portfolio holdings, we are able to separate selectivity and timing. Finally, the impact of turnover costs is considered. Copyright 1995 by Kluwer Academic Publishers

Date: 1995
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