Nonsimultaneous prices and the evaluation of managed portfolios in Spain

Begona Basarrate and Gonzalo Rubio

Applied Financial Economics, 1999, vol. 9, issue 3, 273-281

Abstract: This work analyses the empirical consequences for the evaluation of managed portfolios of employing nonsimultaneous prices for the calculation of net asset values and benchmarks. The underestimation of risk found under nonsimultaneity has serious consequences for performance evaluation of mutual funds. Moreover, the conditional framework of performance evaluation is shown to have some implications for the previously accepted predicting ability of past performance. In particular, it seems that predictability of past performance is not as strong as suggested in previous literature.

Date: 1999
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DOI: 10.1080/096031099332348

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