Spanish Mutual Funds: Short-Term Performance and Market Timing

32 Pages Posted: 24 Feb 2016 Last revised: 10 Sep 2017

See all articles by Marta Vidal

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Javier Vidal-García

Harvard University; Complutense University Madrid

Date Written: February 24, 2016


This paper examines the short-term performance and market timing ability of equity mutual funds in Spain between 1990 and 2015. Using a sample of daily returns, we document strong evidence of performance persistence and market timing ability across deciles in the post-ranking quarter. We document that not only the best and worst managers show persistence in the ability to select stocks. Our evidence is robust across several performance models and on the state of the business cycle. We also document that successful fund managers adjust the market exposure of fund portfolios in reaction to macroeconomic predictions. Our results suggest that a sample of Spanish mutual funds exploit the predictability of market returns documented in the finance literature and investors could obtain higher returns by following a simple buy-and-hold strategy.

Keywords: Mutual Fund; Performance Persistence; Market Timing; Factor Models

JEL Classification: G11, G12

Suggested Citation

Vidal, Marta and Vidal-García, Javier, Spanish Mutual Funds: Short-Term Performance and Market Timing (February 24, 2016). Available at SSRN: or

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223

Javier Vidal-García (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Complutense University Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223

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