Style analysis and performance evaluation of Spanish mutual funds

J C Matallín Sáez () and A Fernández Izquierdo ()
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J C Matallín Sáez: Universitat Jaume I, Campus Riu Sec
A Fernández Izquierdo: member of the Spanish Financial Analysis Institute and a lecturer in Finance and chair of the Department of Finances and Accounting in the Faculty of Law and Economics at Universitat Jaume I

Journal of Asset Management, 2000, vol. 1, issue 2, No 5, 171 pages

Abstract: Abstract The aim of this paper is to evaluate the results of Spanish mutual funds. The methodology used is the analysis of the fund style. The fund style is defined as the investment percentages of different classes of assets which best explain the fund return. The portion of the return not explained by the style is a consequence of active portfolio management by timing and individual asset selection. We calculate the performance by comparing the return on the fund with that of a passively managed portfolio with the same style as that of the evaluated fund. The results show that the estimated style is consistent with the classification by portfolio composition, that the return explained by the style is greater in risky asset funds, and that most of the mutual funds do not have a performance significantly different from zero. This implies that the return obtained in active portfolio management does not differ greatly from that obtained by passive management.

Keywords: mutual funds; performance; styles; asset allocation (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1057/palgrave.jam.2240012

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