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Nonsimultaneous prices and the evaluation of managed portfolios in Spain

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  • Begona Basarrate
  • Gonzalo Rubio

Abstract

This work analyses the empirical consequences for the evaluation of managed portfolios of employing nonsimultaneous prices for the calculation of net asset values and benchmarks. The underestimation of risk found under nonsimultaneity has serious consequences for performance evaluation of mutual funds. Moreover, the conditional framework of performance evaluation is shown to have some implications for the previously accepted predicting ability of past performance. In particular, it seems that predictability of past performance is not as strong as suggested in previous literature.

Suggested Citation

  • Begona Basarrate & Gonzalo Rubio, 1999. "Nonsimultaneous prices and the evaluation of managed portfolios in Spain," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 273-281.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:273-281
    DOI: 10.1080/096031099332348
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    References listed on IDEAS

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    1. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
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    Citations

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    Cited by:

    1. Luis Ferruz Agudo & Maria Vargas Magallon & Jose Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 803-817.
    2. Juan Matallin-Saez, 2007. "Portfolio performance: factors or benchmarks?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1167-1178.
    3. Ferruz Agudo, Luis & Sarto Marzal, José Luis, 2004. "An analysis of Spanish investment fund performance: some considerations concerning Sharpe's ratio," Omega, Elsevier, vol. 32(4), pages 273-284, August.
    4. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September.
    5. Ferruz Agudo, Luis & Vargas Magallón, María & Nievas López, J., 2008. "¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 26, pages 257-278, Septiembr.
    6. Roberto Savona, 2006. "Do mutual funds styles reflect a country-specific investment philosophy? The Italian case," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 303-318.
    7. Choong Tze Chua & Winston Koh, 2007. "Measuring investment skills of fund managers," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1359-1368.
    8. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
    9. Ramiro Losada López, 2016. "Managerial ability, risk preferences and the incentives for active management," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    10. Juan C. Matallín‐Sáez, 2006. "Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1484-1507, November.

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