Luis Ferruz Agudo

Herding behaviour in Spanish equity funds

We analyse the herding phenomenon in the management style of Spanish equity funds. Using the methodology of Lakonishok et al. (1992) and Sharpes style analysis (1992), we find interesting conclusions in the investment behaviour of fund managers, a barely-explored aspect, especially in the Spanish market.

Evaluation of performance and conditional information: the case of Spanish mutual funds

The performance of Spanish domestic equities improves considerably when diverse public information variables are taken into consideration. We have taken up to eight independent variables into consideration to evaluate the performance of a largely unexplored market over a broad horizon.

Empirical evidence of performance persistence in a relatively unexplored market: the case of Spanish investment funds

This study analyses the performance persistence of European equity funds in Spain. The use of parametric and non-parametric methodology, the originality of the ratio used to measure performance and the fact that this represents research into a relatively unexplored market are what make this such an attractive study.

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.

Does Mutual Fund Management in India Correspond to its Investment Objective Classification

The aim of this article is to investigate the mutual fund market in India and verify whether or not the fund classification obtained from the name given to identify them corresponds to that which would be obtained were prior management to be taken into account. This industry has undergone spectacular growth in recent years, making this study extremely interesting, not least because institutional control could be less in times of expansion. The methodologies employed in the study are factor analysis and cluster analysis. The former determines that risk would clearly identify two groups of funds in the same manner as public classification of the funds. Cluster analysis, on the other hand, identifies funds that are, in fact, very close to one another, when for the bulk of investors they are not.

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.

Habilidades de sincronización respecto a diferentes estilos de inversión: evidencia para gestores de fondos de pensiones en España y Reino Unido

RESUMEN El objetivo fundamental de este trabajo es analizar si los gestores de fondos de pensiones son capaces de implementar estrategias de sincronización respecto a diferentes estilos de inversión, aspecto fundamental en la gestión eficiente de una cartera de inversión. También se analizan las habilidades de dichos gestores para seleccionar adecuadamente los valores que componen sus carteras. Para tal fin se implementan para una muestra de fondos de pensiones de España y Reino Unido, versiones multifactoriales y condicionales de los modelos de sincronización con el mercado de Treynor & Mazuy y de Merton & Henriksson. Los resultados alcanzados son muy similares en ambos mercados. Se obtiene una correcta habilidad de selección de valores y de sincronización respecto al estilo book-to-market y una habilidad negativa para sincronizar los estilos tamaño y momentum a 1 año.