IDEAS home Printed from https://ideas.repec.org/a/gde/journl/gde_v60_n1_p75-96.html
   My bibliography  Save this article

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

Author

Listed:
  • Giovanni Radicella

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

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.

Suggested Citation

  • Giovanni Radicella, 2001. "Does Active Management Pay in Italy? A Study of Mutual Fund Performance in the Period 1989-1999," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 60(1), pages 75-96, June.
  • Handle: RePEc:gde:journl:gde_v60_n1_p75-96
    as

    Download full text from publisher

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

    More about this item

    Keywords

    mutual fund performance; market timing; security selection;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: http://www.gde.unibocconi.it/ .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.