Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs
AbstractThis paper investigates the performance of mutual funds in Spain between January and June 1990. The robustness of results to alternative measurements and benchmarks is carefully analysed. As expected, the results indicate that, with monthly returns, it is not possible to measure the magnitudes of selectivity and timing. We are only able to measure the magnitude of total performance. The argument is that, from an empirical point of view, if we want to be more precise about the reasons behind performance, portfolio holdings are absolutely necessary. This work employs a new data set used on monthly portfolio holdings of a representative sample of funds. Empirical results distinguishing selectivity and timing are presented. Moreover, a comparison of results using monthly returns and monthly portfolio holdings are also reported. Finally, the impact of turnover costs is considered as an explanation of the results.
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Bibliographic InfoPaper provided by European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ in its series CEPR Financial Markets Paper with number 0019.
Date of creation: Nov 1992
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