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Índices de performance, gestión activa y eficiencia. Un análisis de sensitividad y del fenómeno de la persistencia

Author

Listed:
  • Fernando Gómez-Bezares Pascual

    (Universidad Comercial de Deusto)

  • José Antonio Madariaga Ibarra

    (Universidad Comercial de Deusto)

  • Javier Santibáñez Grúber

    (Universidad Comercial de Deusto)

  • Amaia Apraiz Larragán

    (Universidad Comercial de Deusto)

Abstract

The paper deepens in the analysis of the so called «Persistence phenomenon» related to the performance of funds. In previous studies, we found that some performance measures (both classical -Sharpe, Treynor, - - and new ones -Penalized Internal Rate of Return, Information Ratio-) calculated on a wide sample of European Funds in a bearish market (99-02) were useful in order to beat market performance in a subsequent bullish period (03-05). In this paper we deepen in the main conclusions of the previous study, by the means of analysing their robustness (when using a different risk-free rate, working on weekly basis -instead of monthly basis- or taking a different benchmark) and using several statistical tests in order to study the Persistence Hypothsis. Results show that in the period and sample studied the Persistence Hypothesis should be accepted, so performance measures could be helpful in order to beat market performance on an active management basis; which could be interpreted as evidence against the Weak Market Efficiency Hypothesis.

Suggested Citation

  • Fernando Gómez-Bezares Pascual & José Antonio Madariaga Ibarra & Javier Santibáñez Grúber & Amaia Apraiz Larragán, 2007. "Índices de performance, gestión activa y eficiencia. Un análisis de sensitividad y del fenómeno de la persistencia," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 66(03), pages 220-245.
    • Handle: RePEc:ekz:ekonoz:2007310
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    More about this item

    Keywords

    performance measures; funds; efficiency; persistence; empiric;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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