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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)


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.

Suggested Citation

  • Michele Leonardo Bianchi & Maria Grazia Miele, 2011. "Italian open-end funds: performance of asset management companies," Temi di discussione (Economic working papers) 795, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_795_11

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    More about this item


    open-end funds; asset management companies; panel data; robust estimators; normal inverse Gaussian distribution;

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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