Luis Vicente

Novel FxLMS Convergence Condition With Deterministic Reference

A novel analysis of FxLMS convergence when the reference signal is deterministic is presented in this paper. The simple case of a sinusoidal reference is considered first, to be later extended to any combination of multiple sinusoids. In both cases, we derive an upper bound for the algorithm step size which ensures convergence. In the derivation of this result there is no need of any of the usual approximations, such as independence between reference and weights or slow convergence, which are not suitable for deterministic references. Instead, we consider the common cases where the adaptive system shows linear time-invariant behavior. The upper bound obtained for the step size is in good agreement with empirical measurements

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.

Performance persistence in Spanish equity funds

Past literature shows that tests of performance persistence do not agree in the most important mutual fund markets and so there is a need for further research in other smaller countries such as Spain, one of the biggest growth fund markets in Europe in the nineties. Spanish equity funds investing in domestic stocks exhibit mixed results when performance persistence is analysed. These results were obtained from an exhaustive application of parametric and non-parametric procedures proposed in the past financial literature.

Análisis de la persistencia en rentabilidad de los FIAMM y de los determinantes de sus comisiones

RESUMEN Este trabajo analiza la persistencia de la rentabilidad, antes y después de comisiones, de los fondos de inversión españoles del mercado monetario (FIAMM), alternativa de inversión poco analizada en los mercados financieros internacionales. Dicho análisis se realiza para diferentes horizontes temporales, tanto en el corto plazo como en el largo plazo, utilizando para ello la metodología de las tablas de contingencia. Además de tablas 2×2, hemos ampliado nuestro estudio a tablas 4×4, lo que permite un análisis empírico más completo. Una exhaustiva aplicación de tests estadísticos nos permite concluir una significativa persistencia en rentabilidad neta en los análisis de corto plazo y resultados más dispares para horizontes temporales más largos. Dicho fenómeno también es observado en rentabilidades brutas aunque, generalmente, en menor medida, circunstancia que nos permite afirmar que las comisiones cobradas por los gestores de estos fondos están amplificando la persistencia de sus resultados. Este resultado justifica el análisis de las variables que influyen en las comisiones cobradas por tales fondos mediante la utilización de regresiones Tobit. Los resultados obtenidos muestran que la inversión media de los partícipes en el fondo, la edad y la rentabilidad bruta son algunas de las variables que afectan a la comisión cobrada por los FIAMM.

The importance of asset allocation in Spanish equity pension plans

Following the methodological approach taken by Ibbotson and Kaplan (2000), we provide evidence of a major contribution of strategic asset allocation to Spanish equity personal pension plan performance, finding that on average more than 90 % of variability of returns over time, and about 70 % of the variation of returns among plans, are explained by strategic policy. Furthermore, we also have evidence that survivor and look-ahead bias detected in previous research have very little impact on the conclusions about the importance of asset allocation on the variability of returns over time. The importance of asset allocation to explain the variability of returns over time is quite similar for the different investment vocations considered in our study, Euro zone and global equity. Very similar results are also found when we consider the size of the Spanish plans as an explanatory factor for the contribution of asset allocation to performance. Finally, the value that active management adds to the mere passive tracking of the strategic policy is not statistically different to the management costs of the plans.

Quarterly return patterns in the Spanish stock market

In this article, we analyse the potential quarterly anomalies of Spanish stock returns. We extend previous studies by analysing the daily Cumulative Abnormal Return (CAR) in the first trading days of a quarter to better understand the behaviour of stocks. Our results show no clear stock return anomalies during the first three quarters of the year that is consistent with the existing literature. Nevertheless, the results provide evidence of a significant anomaly for the last quarter, especially for loser small-cap stocks. This turn-of-the-year effect is stronger in bear market years than in bull market years. The daily return analysis for January shows that the main CAR is reached in the first trading days of the year and that the current personal income tax law in Spain has prolonged the duration of the January effect.

Efficiency of the strategic style of pension funds: an application of the variants of the slacks-based measure in DEA

A 2010 paper by Kaoru Tone proposes four variants of the slacks-based measure of efficiency (SBM) to overcome the limitations of this well-known Data Envelopment Analysis (DEA) approach when the reference points of the efficient frontier may not be adequate. In this study, we apply these variants for the first time to a real-world problem to evaluate the efficiency of one of the most relevant decisions in pension fund management: The strategic asset allocation. The results highlight the relevance of SBM Variation III, which considers clusters of portfolios with similar characteristics, to appropriately identify the reference set of each portfolio. Therefore, this variant allows for the identification of locally efficient but globally inefficient portfolios. Our results also reject the notion of a positive relation between management resources and efficiency of the strategic investment style.

New evidence of quarterly return patterns in the Spanish stock market

This article updates the evidence found by Ortiz et al. (2010) in the Spanish stock market. Our results provide a lack of significant return anomalies around the first three quarter ends of the year, which questions the role of window dressing in these return patterns. Nevertheless, the results confirm a significant turn-of-the-year effect for small-cap stocks with poor return records, which may be consistent with the tax-loss selling hypothesis despite the wash sales regulation. Using a new approach, we find that this January effect is a widespread sector anomaly. Finally, the turn-of-the-year anomaly definitively exceeds the first trading days for the small-cap stocks.

Analysis of the Desired-Response Influence on the Convergence of Gradient-Based Adaptive Algorithms

Although the convergence behavior of gradient-based adaptive algorithms, such as steepest descent and leas mean square (LMS), has been extensively studied, the influence of the desired response on the transient convergence has generally received little attention. However, empirical results show that this signal can have a great impact on the learning curve. In this paper we analyze the influence of the desired response on the transient convergence by making a novel interpretation, from the viewpoint of the desired response, of previous convergence analyses of SD and LMS algorithms. We show that, without prior knowledge that can be used to wisely select the initial weight vector, initial convergence is fast whenever there is high similarity between input and desired response whereas, on the contrary, when there is low similarity between these two signals, convergence is slow from the beginning.

Money market fund investors' response to fund company mergers

To our best knowledge, this study conducts the first analysis of the money market fund investors’ response to the major Spanish fund company mergers from 1994 to 2004. By using an event date methodology considering three significant moments in the merger process: (1) Public announcement (2) Merger (3) Change of denomination of the funds, we obtain that investors’ response to mergers is statistically significant when considering small fund companies. On the other hand, we do not detect a significant investors’ response to large fund family mergers.