Artikel
Efficiency and persistence of Spanish absolute Return Funds
Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of 115 Spanish Absolute Return Funds in the period 2010-2015, using the Sharpe, Treynor, Jensen and Modified Sharpe ratios. We then apply Data Envelopment Analysis to classify the funds in order to avoid the problems arising from the non-normality of their returns, since non-gaussian returns do not pose a problem in Data Envelopment Analysis implementation. In addition, we apply the Malkiel, Brown and Goetzman test and the Rude and Khan test in annual periods to determine the existence of persistence. Finally, we study the relationship between efficiency and persistence in order to determine the relationship between both measures and to support decision-making processes. The results show a significant relationship between cross efficiency and Modified Sharpe ratios as well as the existence of persistence for annual periods. Nevertheless, the results do not allow concluding any relationship amongst efficiency and persistence.
- Sprache
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Englisch
- Erschienen in
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Journal: Revista de Métodos Cuantitativos para la Economía y la Empresa ; ISSN: 1886-516X ; Volume: 25 ; Year: 2018 ; Pages: 186-214 ; Sevilla: Universidad Pablo de Olavide
- Klassifikation
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Wirtschaft
Portfolio Choice; Investment Decisions
Optimization Techniques; Programming Models; Dynamic Analysis
- Thema
-
data envelopment analysis
persistence
hedge funds
absolute return funds
mutual funds
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Solórzano-Taborga, Pablo
Alonso-Conde, Ana Belén
Rojo-Suárez, Javier
- Ereignis
-
Veröffentlichung
- (wer)
-
Universidad Pablo de Olavide
- (wo)
-
Sevilla
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Solórzano-Taborga, Pablo
- Alonso-Conde, Ana Belén
- Rojo-Suárez, Javier
- Universidad Pablo de Olavide
Entstanden
- 2018
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