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Análisis de las capacidades de sincronización con el mercado y selección de valores de los gestores de fondos de inversión españoles en condiciones económicas variables

Listed author(s):
  • Ferruz Agudo, Luis

    (Universidad de Zaragoza)

  • Vargas Magallón, María

    (Universidad de Zaragoza)

Registered author(s):

    This work evaluates the performance of a wide group of Spanish mutual funds, both in global terms and breaking up it in its two components –market timing and stock-picking abilities-. Both analyses are carried out by means of traditional measures as well as measures that consider time-varying risk and return parameters by incorporating macroeconomic variables representative of the Spanish bussines-cycle. The incorporation of these variables produces an improvement in the global performance and a worsening in the manager’s stock-picking ability. It is not possible to obtain conclusions in relation to the market timing ability. However, we observe an increase in the explanatory power of the models as a result of such incorporation, so se advocate conditional models. Furthermore, this work corrects the multicolinearity problems among predetermined information variables by means of a factorial analysis.// Este trabajo realiza una evaluación del desempeño de un amplio grupo de fondos de inversión españoles, tanto en términos globales como mediante una descomposición del mismo en sus dos componentes; capacidades de sincronización con el mercado y selección de valores. Ambos análisis se efectúan a partir de medidas tradicionales y de medidas que consideran la variación en el tiempo de la rentabilidad y riesgo mediante la incorporación de variables macroeconómicas representativas del ciclo económico en España. La incorporación de estas variables supone una mejora del desempeño global y un empeoramiento de la capacidad de selección de valores del gestor. En cuanto a la capacidad de sincronización con el mercado no es posible extraer conclusiones. Sin embargo, observamos una mejora del poder explicativo de los modelos como consecuencia de tal incorporación, lo que nos permite abogar por los modelos condicionales. Además, este trabajo corrige los problemas de multicolinealidad entre dichas variables mediante un análisis factorial.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXXIV (3) (2007)
    Issue (Month): 295 (julio-septiembre)
    Pages: 663-683

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    Handle: RePEc:elt:journl:v:74:y:2007:i:295:p:663-683
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