Style analysis and performance evaluation of Spanish mutual funds

Sáez, Juan Carlos Matallín; Izquierdo, A Fernández

doi:10.1057/palgrave.jam.2240012

Cited by 8 publications

(3 citation statements)

References 13 publications

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“…Other research on RBSA has investigated its predictive ability (Kahn and Rudd, 1995) and classification (diBartolomeo and Witkowski, 1997); variations on the technique: time-varying exposure (Swinkels and Van Der Sluis, 2006), multicolinearity (Agudo and Gimeno, 2005), and generalized classifying ability (Agarwal and Naik, 2000), as well as the technique's performance in various countries: Spain (Matallin Sáez and Fernández Izquierdo, 2000) and Europe (Papadamou and Siriopoulos, 2004); and across asset classes: real estate (Marcato, 2004) and (Lee, 1999), currencies (Middleton, 2005), hedge funds (Dor et al, 2006), and fixed interest (Dopfel, 2004). These researchers found RBSA continues to be a robust technique, subject to the usual caveats about its assumptions and application.…”

Section: Previous Researchmentioning

confidence: 99%

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Fowler¹,

Grieves

Singleton

2010

Pacific Accounting Review

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Purpose -This article aims to explore three facets of the historical performance of a sample of actively managed unit trusts available to New Zealand investors: asset allocation, style analysis, and return attribution. Design/methodology/approach -Because New Zealand does not require unit trusts to disclose their security holdings, the paper used returns-based style analysis to infer how these trusts have allocated their funds among asset classes. Findings -The research has found that, for unit trusts available to New Zealand investors, asset allocation can explain a significant amount of the differences in return across time and between trusts. Across time, asset allocation accounts for about 80 per cent of the variation in actual return. Between trusts, asset allocation explains about 60 per cent of the variation in returns. From either perspective, the choice of asset allocation is an important factor in explaining returns. Originality/value -The paper suggests that active management barely earns its fees and that passive investments might do as well or better.

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Section: Previous Researchmentioning

confidence: 99%

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Fowler¹,

Grieves

Singleton

2010

Pacific Accounting Review

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“…In Europe, Papadamou & Siriopoulos (2004) benchmark return of style. The research conducted by Saez & Izquierdo (2000) in Spain shows no significant difference between active strategies and passive strategies. Mangiring & Husodo (2014) research in Indonesia, found that the majority of equity funds in Indonesia can beat the return style as a benchmark.…”

Section: Fig 1 Proportion Asset Under Management 2017mentioning

confidence: 84%

Style Analysis: Asset Allocation and Evaluation of Sharia Equity Fund Performance

Prisilia

Marsono

2020

JEEIR

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The purpose of this research is to analyze the characteristic style of sharia equity funds such as asset allocation, investment strategy, and evaluation of its performance. The analysis technique used in this study is return based style analysis by observing ten asset class factor and eight of sharia equity funds in Indonesia. The results found that sharia equity fund in Indonesia allocates funds to the Sharia shares in almost all asset class factor with passive strategy, but the actual performance has not been able to outperform its style performance. Only one from eight Equity funds can outperform its style by using a more passive strategy compared to other equity funds. Its result indicates that almost all sharia equity funds in Indonesia do not choose the correct investment strategy style.

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“…An interesting study by Gallo and Lockwood (1999) (1997) and Robertson et al (2000) respectively that misclassification of funds do indeed occur although the misclassification according to Sáez and Izquierdo (2000) is slightly lower than that according to DiBartolomeo and Witkowski (1997).…”

Section: Research Subsequent To Sharpementioning

confidence: 99%

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

Louw¹,

Beer²

2012

COC

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By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation

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Style analysis and performance evaluation of Spanish mutual funds

Cited by 8 publications

References 13 publications

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Style Analysis: Asset Allocation and Evaluation of Sharia Equity Fund Performance

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

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