IDEAS home Printed from https://ideas.repec.org/p/cpr/ceprfm/0019.html
   My bibliography  Save this paper

Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs

Author

Listed:
  • Gonzalo Rubio

Abstract

This paper investigates the performance of mutual funds in Spain between January and June 1990. The robustness of results to alternative measurements and benchmarks is carefully analysed. As expected, the results indicate that, with monthly returns, it is not possible to measure the magnitudes of selectivity and timing. We are only able to measure the magnitude of total performance. The argument is that, from an empirical point of view, if we want to be more precise about the reasons behind performance, portfolio holdings are absolutely necessary. This work employs a new data set used on monthly portfolio holdings of a representative sample of funds. Empirical results distinguishing selectivity and timing are presented. Moreover, a comparison of results using monthly returns and monthly portfolio holdings are also reported. Finally, the impact of turnover costs is considered as an explanation of the results.

Suggested Citation

  • Gonzalo Rubio, 1992. "Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs," CEPR Financial Markets Paper 0019, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
    • Handle: RePEc:cpr:ceprfm:0019
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

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


    Cited by:

    1. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.

    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:cpr:ceprfm:0019. 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: the person in charge (email available below). General contact details of provider: https://www.cepr.org .

    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.