Italian open-end funds: performance of asset management companies

Michele Leonardo Bianchi () and Maria Grazia Miele ()
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Michele Leonardo Bianchi: Bank of Italy
Maria Grazia Miele: Bank of Italy

No 795, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset management company and for each fund, as is usually done in the relevant literature. The analysis shows that the performance of any asset management company, with reference to its managed funds, is on average no greater than that of the benchmark chosen by the managers. In addition, as expected, the funds� systematic risk is close to that of the benchmarks. Finally, robust estimation techniques let us control for the heteroskedasticity due to the presence of outliers and also to the different excess returns of individual funds.

Keywords: open-end funds; asset management companies; panel data; robust estimators; normal inverse Gaussian distribution (search for similar items in EconPapers)
JEL-codes: C16 C23 G10 G23 (search for similar items in EconPapers)
Date: 2011-02
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Citations: View citations in EconPapers (2)

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