Advanced Search
MyIDEAS: Login to save this article or follow this journal

Does Active Management Pay in Italy? A Study of Mutual Fund Performance in the Period 1989-1999

Contents:

Author Info

  • Giovanni Radicella

    ()
    (Arca Asset Management S.p.A., Milan)

Registered author(s):

    Abstract

    Mutual funds (in the form of open-end unit trusts) were introduced in the Italian financial system in 1984. In this paper we assessed mutual fund performance in Italy in the decade April 1989-March 1999. We used absolute performance data, portfolio compositions and net inflows data to measure the security selection and market timing skills with different performance measure models such as a linear market model, a multi-factor model, a quadratic model and a conditional model. Overall, the after-cost risk-adjusted extra-performance was not significantly different from zero implying that the information and analysis superiority went to cover mostly costs (mainly management fees and taxes). However, this resulted from two different contributions: security selection and style rotation were able to add value whereas market timing activity had a negative impact on financial performances. Besides, we showed that investing into mutual funds in Italy was a good way to diversify into financial markets according to the modern financial theories.

    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: ftp://ftp.gde.unibocconi.it/gde_articles/2001/GDE_V60_N1_P75-96.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by GDE (Giornale degli Economisti e Annali di Economia), Bocconi University in its journal Giornale degli Economisti e Annali di Economia.

    Volume (Year): 60 (2001)
    Issue (Month): 1 (June)
    Pages: 75-96

    as in new window
    Handle: RePEc:gde:journl:gde_v60_n1_p75-96

    Contact details of provider:
    Postal: via Sarfatti, 25 - 20136 Milano (Italy)
    Phone: 0039-02-58365306
    Web page: http://www.gde.unibocconi.it/

    Order Information:
    Email:
    Web: http://www.gde.unibocconi.it

    Related research

    Keywords: mutual fund performance; market timing; security selection;

    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:gde:journl:gde_v60_n1_p75-96. See general information about how to correct material in RePEc.

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

    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.