Luis Miguel Doncel

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.

Towards an Auction-Driven Gas Supply: A Simulation-Based Optimization Framework for Utilities

A platform for the study of the whole transmission problem (arrival of ships, regasification, transportation and distribution) faced by gas utilities companies is proposed. The main objective of this research is to develop a platform that includes the analysis of the new capacity auctions (and not the traditional commodity auctions) that will govern the supply chain in the near future. A simulation-optimization approach has been used to favour the more realistic abstraction of the system. The discrete-event model includes a genetic algorithm to reach the solution in a satisfactory short time, a requisite in auction markets. Design and optimization studies for the utilities are addressed using the platform, which has been validated with real data for one of the main zones in the Spanish market.

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.

SIMULATING CAPACITY AUCTIONS WITH econport

A simulator environment to study and understand capacity auction has been developed based on the online web simulator econport. The goods to auction are unloading rights for ships that transport liquefied natural gas (LNG) into harbours. Experiments have been carried out at a company that will participate in the future capacity market. The efficiency of the auctions both for the auctioneer and the bidders is assessed.

By Sport Predictions Through Socio Economic Factors and Tradition in Summer Olympic Games: The Case of London 2012

Socio-economic prediction of medals for London 2012 is performed “by sport” using OLS and a discretization routine. The success ratio is above 65 % for any given sports, especially for disciplines that award more than 30 medals. At the overall country level, the success raises above 85 %. The analysis of the award winning process by sports shed also new light about the critical factors that might dictate the success and that are liable to set sport policies, including the development of sound social networks and the investment on sport infrastructures to foster talent.

Gender Differences In Capacity Auctions: A Simulation Experiment With econport.

A simulation environment has been used to study the behaviour of buyers when participating in capacity auctions. Gender differences have been found among buyers, which are university students, according to auction types. Males are more active in auctioning, they are also willing to take more risks and therefore they get more products than they should, but paying more than females for them.

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.