Luis Alfonso Vicente Gimeno

Evaluating the style portfolio performance of Spanish equity pension plans

ABSTRACT This paper firstly examines the strategic asset allocations followed by Spanish equity pension plans from 2001 to 2006. Once the investment style of each portfolio is known, the second aim of the paper is to analyse the performance obtained by these portfolios along with the performance obtained by their investment style to determine the value added by each manager and the suitability of the style chosen. In this sense, the performance evaluation has been conducted by considering different performance measures used in financial Literature along with an alternative metric proposed to test the consistency of the different metrics. Finally, the study also addresses some robustness analyses to examine the consequences of imposing the portfolio constraint when non-exhaustive models are used and the effects of some well-known biases such as survivorship and look-ahead bias.

Effects of multicollinearity on the definition of mutual funds’ strategic style: the Spanish case

This study is an approach to the strategic styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpes suggested Style Analysis. The study highlights the distortion of results caused by the phenomenon of multicollinearity in the benchmarks proposed.This study is an approach to the strategic styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpes suggested Style Analysis. The study highlights the distortion of results caused by the phenomenon of multicollinearity in the benchmarks proposed.

Eficiencia en la Gestión: ¿Pueden nuestros fondos de inversión en renta variable batir al Ibex-35?

RESUMEN El objetivo del presente trabajo es la evaluación de los resultados de los Fondos de Inversión españoles invertidos en Renta Variable Nacional frente a su lógico índice de referencia, el Ibex- 35, para un período de tiempo de 78 meses, desde 1996 hasta junio de 2002. Para hacer esto, consideramos los resultados antes y después del pago de las correspondientes comisiones repercutidas sobre los partícipes. Nuestro análisis evidencia que estas comisiones son especialmente relevantes en los resultados de eficiencia obtenidos.