Advanced Search
MyIDEAS: Login

Importance of the market portfolio description in the assessment of a sample of Spanish investment funds through the Jensen’s Alpha

Contents:

Author Info

Abstract

The right assessment of the investment funds performance and of the manager’s ability to add value with their management is an important aspect to which has been paid special attention. Among the traditional performance measures, one of the most used is the Jensen’s alpha. However, one of the main problems of the evaluation methods using the beta as a risk measure and, hence of the Jensen’s alpha, is their sensibility to the market portfolio. In this work we aim to study the importance of the market portfolio description in the assessment of a sample of Spanish investment funds through the Jensen’s alpha. We analyze the market portfolio influence, on the one hand, in the alpha outcomes and, on the other, in the ranking of the funds that they provide.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ehu.es/cuadernosdegestion/revista/index.php/en/published-issues?y=2003&v=3&n=1&o=3
File Function: complete text
Download Restriction: no

Bibliographic Info

Article provided by Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE) in its journal Cuadernos de Gestión.

Volume (Year): 3 (2003)
Issue (Month): 1 ()
Pages: 49-61

as in new window
Handle: RePEc:ehu:cuader:20030303

Contact details of provider:
Postal: Instituto de Economía Aplicada a la Empresa Avda Lehendakari Aguirre 83 CP 48015 Bilbao (Vizcaya) Spain
Phone: + 34 94 601 3871
Fax: + 34 94 601 3710
Email:
Web page: http://www.ieae.ehu.es
More information through EDIRC

Order Information:
Postal: Instituto de Economía Aplicada a la Empresa, Revista Cuadernos de Gestión, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Email:
Web: http://www.ehu.es/cuadernosdegestion

Related research

Keywords: Investment funds; performance assessment; reference pertfolio; pertfolio management;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ehu:cuader:20030303

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Belen Vallejo Alonso).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.