Sharpe's Style Analysis Applied to Spanish Domestic Equity Funds (1996-2002)

Abstract:     
This paper is an approach to the management styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpe's Style Analysis proposed in 1992.

The study highlights the distortion of results caused by the different benchmarks considered in order to analyse the mutual fund styles in medium-sized markets like the Spanish one. Those models that fine tune the management styles followed by Spanish investment funds do not in fact provide the best reflection of actual styles.

Number of Pages in PDF File: 19

Keywords: Style analysis, investment funds, benchmarks

JEL Classification: G11, G23

Accepted Paper Series