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Italian open-end funds: performance of asset management companies

  • Michele Leonardo Bianchi

    ()

    (Bank of Italy)

  • Maria Grazia Miele

    ()

    (Bank of Italy)

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    We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset management company and for each fund, as is usually done in the relevant literature. The analysis shows that the performance of any asset management company, with reference to its managed funds, is on average no greater than that of the benchmark chosen by the managers. In addition, as expected, the funds� systematic risk is close to that of the benchmarks. Finally, robust estimation techniques let us control for the heteroskedasticity due to the presence of outliers and also to the different excess returns of individual funds.

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    File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2011/2011-0795/tema_795.pdf
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    Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 795.

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    Date of creation: Feb 2011
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    Handle: RePEc:bdi:wptemi:td_795_11
    Contact details of provider: Postal: Via Nazionale, 91 - 00184 Roma
    Web page: http://www.bancaditalia.it

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