Style portfolio performance: Empirical evidence from the Spanish equity funds

Luis Ferruz () and Luis Vicente
Additional contact information
Luis Ferruz: Faculty of Economics and Business Studies, University of Zaragoza, C/Gran Via, 2

Journal of Asset Management, 2005, vol. 5, issue 6, No 4, 397-409

Abstract: Abstract This work evaluates the performance of the results obtained from a sample of Spanish equity funds in relation to what could have been obtained if the style portfolios allocated by each one had been passively tracked. This analysis is undertaken based on three methods never before applied in Spain, all reaching the conclusion that, in general terms, the active management of Spanish equity funds subtracts added value from the performance of their style portfolios. Lastly, the application of a novel performance measure in addition to the Performance Style (PS) proposed by Sharpe (1992, ‘Asset Allocation: Management Style and Performance Measurement’, Journal of Portfolio Management, Winter, 18, 7–19) shows that Spanish equity funds allocate style portfolios efficiently within the mean-variance framework.

Keywords: style analysis; equity funds; performance; style portfolios (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240156 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:5:y:2005:i:6:d:10.1057_palgrave.jam.2240156

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240156

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().