IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v5y2005i6d10.1057_palgrave.jam.2240156.html
   My bibliography  Save this article

Style portfolio performance: Empirical evidence from the Spanish equity funds

Author

Listed:
  • Luis Ferruz

    (Faculty of Economics and Business Studies, University of Zaragoza, C/Gran Via, 2)

  • Luis Vicente

Abstract

This work evaluates the performance of the results obtained from a sample of Spanish equity funds in relation to what could have been obtained if the style portfolios allocated by each one had been passively tracked. This analysis is undertaken based on three methods never before applied in Spain, all reaching the conclusion that, in general terms, the active management of Spanish equity funds subtracts added value from the performance of their style portfolios. Lastly, the application of a novel performance measure in addition to the Performance Style (PS) proposed by Sharpe (1992, ‘Asset Allocation: Management Style and Performance Measurement’, Journal of Portfolio Management, Winter, 18, 7–19) shows that Spanish equity funds allocate style portfolios efficiently within the mean-variance framework.

Suggested Citation

  • Luis Ferruz & Luis Vicente, 2005. "Style portfolio performance: Empirical evidence from the Spanish equity funds," Journal of Asset Management, Palgrave Macmillan, vol. 5(6), pages 397-409, April.
    • Handle: RePEc:pal:assmgt:v:5:y:2005:i:6:d:10.1057_palgrave.jam.2240156
    DOI: 10.1057/palgrave.jam.2240156
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240156
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240156?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
    2. Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.

    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:pal:assmgt:v:5:y:2005:i:6:d:10.1057_palgrave.jam.2240156. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.