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http://ssrn.com/abstract=268539
 
 

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Italian Equity Funds: Efficiency and Performance Persistence


Roberto Casarin


University of Brescia - Department of Economics; University of Venice - GRETA Ass.; Université Paris Dauphine - CEREMADE

Andrea Piva


GRETA Associati

Loriana Pelizzon


Ca Foscari University of Venice - Department of Economics


EFMA 2001 Lugano Meetings

Abstract:     
Are Italian Mutual Funds able to generate extra-return? Are some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. The implications of this empirical work do not affect only mutual funds market but also the entire Italian capital market and its efficiency. In our work we show that, in general, fund managers are not able to score extra-performances and only few managers have stock picking ability or market timing ability. To illustrate these results the performance analysis has been carried out, analysing: (i) total returns, (ii) risk adjusted returns (Sharpe Ratio, Treynor Ratio, Sortino Ratio), (iii) stock picking ability measures (Jensen's Alpha) and (iv) market timing ability measure (Treynor-Mazuy and Henriksson-Merton models). Performance measures have been evaluated by means of a significance test over the whole sample period, and stability test with other time-series tests have been performed. An interesting result of this paper is the bi-periods and multi-periods persistence analysis; we find: (i) absence of long-run persistence on total returns and on risk adjusted returns; (ii) a weak evidence of reversal effect, and (iii) evidence of a hot-hand effect on risk adjusted returns on four-month intervals (short run persistence). We use a general approach to investigate performance persistence paying attention to the relation between the persistence measure and other variables such as the lag of evaluation, the performance measure, the number of performing class and the statistical evaluation test. A rank order correlation test is considered in order to assess the effect of the different performance measures on the persistence results. The following statistics are curried out on a bi-periods analysis with chi-square test, Cross Product Ratio, Spearman's coefficient and Cross Sectional Regressions. The multi-periods analysis has been performed with Kolmogorov-Smirnov test.

Number of Pages in PDF File: 30

Keywords: Performance evaluation, performance persistence

JEL Classification: G23, G21, G10

working papers series


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Date posted: April 30, 2001  

Suggested Citation

Casarin, Roberto and Piva, Andrea and Pelizzon, Loriana, Italian Equity Funds: Efficiency and Performance Persistence. EFMA 2001 Lugano Meetings. Available at SSRN: http://ssrn.com/abstract=268539 or http://dx.doi.org/10.2139/ssrn.268539

Contact Information

Roberto Casarin (Contact Author)
University of Brescia - Department of Economics ( email )
Via San Faustino 74B
Brescia, 25122
Italy
+39 030.298.88.09 (Phone)
+39 030.298.88.37 (Fax)
HOME PAGE: http://www.eco.unibs.it/~casarin/
University of Venice - GRETA Ass. ( email )
Venezia VE 30121, Veneto
Italy
HOME PAGE: http://venus.unive.it/~flubber/
Université Paris Dauphine - CEREMADE ( email )
Place du Marechal de Lattre de Tassigny
Paris Cedex 16, 75775
France
+33 1 4405 4195 (Phone)
+33 1 4405 4599 (Fax)
HOME PAGE: http://www.ceremade.dauphine.fr/~casarin/
Andrea Piva
GRETA Associati
San Marco 3870
30100 Venice
Italy
Loriana Pelizzon
Ca Foscari University of Venice - Department of Economics ( email )
Cannaregio 873
Venice, 30121
Italy
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