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Does active management add value? New evidence from a quantile regression approach

  • Amparo Soler Domínguez

    ()

    (Dpt. Finances i Comptabilitat)

  • Juan Carlos Matallín Sáez

    ()

    (Dpt. Finances i Comptabilitat)

  • Emili Tortosa-Ausina

    ()

    (Universitat Jaume I)

While it has long been recognized that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers’ abilities can add. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-a) to assess performance in the first stage, and regression quantiles to isolate the determinants of efficiency in the second stage. Our findings shed light mainly on investors’ concerns, since differences do indeed arise among both funds and managers. Our analysis provides some arguments as a guide in selecting funds and some managerial features to be taken into account. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance varies depending on the quantile of the distribution of fund performance. Aunque durante mucho tiempo se ha reconocido que la gestión activa es un tema importante en el área de la evaluación del rendimiento de los fondos de inversión, el consenso alcanzado acerca de la contribución al valor añadido de los fondos por las habilidades de los directivos es limitado. Este estudio intenta explorar tanto las características de los gestores como las de los propios fondos en sí mismos con el fin de entender su influencia en la eficiencia conseguida para una muestra de fondos de inversión españoles. Estos temas son explorados a través de un enfoque de dos etapas, teniendo en cuenta los estimadores de fronteras parciales (orden-m y el orden a-) para evaluar el desempeño en la primera etapa, y así como un enfoque de regresión cuantil para analizar los determinantes de la eficiencia en la segunda etapa. Nuestros resultados son relevantes especialmente desde el punto de vista de los inversores, al encontrar diferencias notables entre la influencia de los gestores de los fondos y las propias características de los fondos. Nuestro análisis proporciona algunos argumentos como guía en la selección de fondos, así como algunas características de los gestores a tener en cuenta. Además, algunas de las diferencias de rendimiento entre los fondos encontrados son complejas, debido a que tanto la magnitud de los coeficientes de regresión estimados como su significado varían en función del cuantil de la distribución del rendimiento de los fondos evaluado.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2013-02.pdf
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2013-02.

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Length: 39 pages
Date of creation: Apr 2013
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2013-02
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