Jorge Sainz

Mutual Fund Performance and Benchmark Choice: The Spanish Case

This study deals with the relevance of benchmark choice for mutual fund performance behaviour, completing previous research on the Spanish Mutual Fund Market. Using Jensens and Treynor–Mazuys measures, the study highlights the relevance of style analysis for benchmark election in order to evaluate fund managers.

On the long-term behavior of mutual fund returns

As the mutual fund industry has grown over the last few years, its analysis has become an issue that affects not only academics and professionals but also investors who use these funds as long-term savings instruments. In this context, the ability of mutual fund managers to continuously demonstrate superior performance is a key issue for investors, as persistence, which is usually interpreted as both ‘winners’ and ‘losers’ mutual funds, are likely to repeat their performance. Since the studies of Treynor and Mazuy (1966) and Jensen (1968) the search for persistence in mutual funds has not received a definitive response. While these initial studies, which use a benchmark to analyse the performance of the fund, La Bolsa de Madrid EDICIONES EL PAÍS, S. L.

An Estimation of the Advantage of Charter over Public Schools

This paper presents new evidence on the differences in quality and achievement of public, private, and charter schools by using the educational outcomes for the more than 1,200 schools of the Madrid region over the period 2005–2009. By applying an external test including three different areas, mathematics, writing, and language, the evolution of the achievement of the pupils in the three different types of schools, public, charter, and private, are analyzed. Our results show that charter and, especially, private schools attain better results than public schools and are more responsive to its academic evolution, both at a lower cost. Private schools do their best to converge to the leading schools in their district in the previous year, whereas public schools do not seem to do so. This result holds even after controlling for the number of immigrants in the school, the age of the school, and its size. Also, the results seem quite robust, since we tested the relevance of different variables such as immigration, socioeconomic status, and foreign students and we obtained results that support our main hypothesis.

The truth about mutual funds across Europe

Traditional measures of mutual funds persistence are based on measures like Jensens alpha, factor models and so on. As expected, their results on a broad data-set of European mutual funds show a small, but relevant, amount of persistent funds, depending on the method of estimation used. We go further in our analysis and, by using a multiple hypothesis testing methodology, find that those measures overstate the performance on the sample across countries, signalling persistence in situations where the positive results are due to luck.

Is One Long Tail Enough? (Cuando Una Long Tail No Es Suficiente)

Literature on the Long Tail has focus on the effects of the behavior of their clients and the effect on the company results. One of the main problems on the analysis of the effect is the scarcity of quality data. Most of the analysis has several shortcomings as they only reflect indirect data or they exclusively related to book and the US market. As far as existing literature, it could be an exclusive feature of Amazon. Our analysis widens the scope of the long tail by using comprehensive data by from a unique dataset on the leader of the Spanish DVD online market. The data represent more than five years of transactions and allows estimating the existence of the long tail not only for the total sales of the company but also on 7 large general categories, increasing the richness of the data. We estimate the shape of the distribution and simulate the behavior of the sales over the entire catalogue to construct a demand curve that allows us to show the different behavior on the categories. The results show the existence of Long Tail and other several other observations that were overlooked or impossible to obtain in previous research.

Selecting Mutual Fund Persistence: The German Case Discovering Persistent Managers In Germany

In mutual fund industry, managers’ ability to generate continuous value in excess compared with the benchmark index is a crucial aspect. Focusing on the German market in this research we apply several methods which let us to avoid statistical problems related to multiple hypothesis testing in traditional financial techniques. By doing so we obtain a threshold value λ that delimits what is considered the true null hypothesis. Our main result is that managers’ action is of little significance with only a small part of them adding excess value to mutual funds they run.