Abstract

FERRUZ AGUDO, Luis  and  VARGAS MAGALLON, María. Análisis de las capacidades de sincronización con el mercado y selección de valores de los gestores de fondos de inversión españoles en condiciones económicas variables. El trimestre econ [online]. 2007, vol.74, n.295, pp.663-683.  Epub Nov 20, 2020. ISSN 2448-718X.

This work evaluates the performance of a wide group of Spanish mutual funds, both in global terms and breaking up it in its two components —market timing and stock-picking abilities—. Both analyses are carried out by means of traditional measures as well as measures that consider time-varying risk and return parameters by incorporating macroeconomic variables representative of the Spanish business-cycle.

The incorporation of these variables produces an improvement in the global performance and a worsening in the manager’s stock-picking ability. It is not possible to obtain conclusions in relation to the market timing ability. However, we observe an increase in the explanatory power of the models as a result of such incorporation, so we advocate conditional models. Furthermore, this work corrects the multicolinearity problems among predetermined information variables by means of a factorial analysis.

Keywords : desempeño; fondos de inversión; variables macroeconómicas; capacidades de sincronización con el mercado; selección de valores; problemas de multicolinealidad.

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