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Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles

Author

Listed:
  • Solórzano-Taborga, Pablo

    (Universidad Rey Juan Carlos (Spain))

  • Alonso-Conde, Ana Belén

    (Departamento de Economía de la Empresa. Universidad Rey Juan Carlos (Spain))

  • Rojo-Suárez, Javier

    (Departamento de Economía de la Empresa. Universidad Rey Juan Carlos (Spain))

Abstract

Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of 115 Spanish Absolute Return Funds in the period 2010-2015, using the Sharpe, Treynor, Jensen and Modified Sharpe ratios. We then apply Data Envelopment Analysis to classify the funds in order to avoid the problems arising from the non-normality of their returns, since non-gaussian returns do not pose a problem in Data Envelopment Analysis implementation. In addition, we apply the Malkiel, Brown and Goetzman test and the Rude and Khan test in annual periods to determine the existence of persistence. Finally, we study the relationship between efficiency and persistence in order to determine the relationship between both measures and to support decision-making processes. The results show a significant relationship between cross efficiency and Modified Sharpe ratios as well as the existence of persistence for annual periods. Nevertheless, the results do not allow concluding any relationship amongst efficiency and persistence. || La medida de la performance es un área de crucial interés en la valoración de activos y selección de inversiones. Elevadas volatilidades, así como la agregación temporal de rendimientos, entre otras características, pueden distorsionar los resultados de las medidas convencionales de performance. En este trabajo, estudiamos la performance de 115 fondos de retorno absoluto españoles en el periodo 2010–2015 usando los ratios de Sharpe, Treynor y Jensen y el ratio de Sharpe modificado. Posteriormente, para clasificar los fondos se aplica el Análisis Envolvente de Datos (Data Envelopment Analysis, DEA) en aras de evitar los problemas derivados de la no normalidad de los rendimientos, dado que rendimientos no gaussianos no suponen un problema a la hora de implementar el Análisis Envolvente de Datos. Adicionalmente, se aplica el test de Malkiel, Brown y Goetzman y el test de Rude y Khan en periodos anuales para determinar la existencia de persistencia. Finalmente. se estudia la relación entre eficiencia y persistencia con objeto de determinar la relación entre ambas medidas y apoyar el proceso de toma de decisiones. Los resultados muestran una significativa relación entre eficiencia cruzada y el ratio de Sharpe modificado así como la existencia de persistencia en periodos anuales. No obstante, los resultados no permiten concluir en ninguna relación directa entre eficiencia y persistencia.

Suggested Citation

  • Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    • Handle: RePEc:pab:rmcpee:v:25:y:2018:i:1:p:186-214
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    More about this item

    Keywords

    data envelopment analysis; persistence; hedge funds; absolute return funds; mutual funds; análisis envolvente de datos; persistencia; fondos de cobertura; fondos de retorno absoluto; fondos de inversión;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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