Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195404 
Year of Publication: 
2018
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 25 [Publisher:] Universidad Pablo de Olavide [Place:] Sevilla [Year:] 2018 [Pages:] 186-214
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
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.
Subjects: 
data envelopment analysis
persistence
hedge funds
absolute return funds
mutual funds
JEL: 
G11
C61
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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