The conditional performance evaluation of the colombian collective portfolios
DOI:
https://doi.org/10.18041/1900-0642/criteriolibre.2015v13n22.123Keywords:
Colombian mutual funds, conditional performance, unconditional performanceAbstract
The aim of this study is to evaluate the performance of the Equity mutual funds in Colombia. The Colombian mutual fund industry underwent a severe transformation after the Decree 2175/2007. Since then, the increasing asset volume managed and the market oriented investments are in line with the trends in this sector for the most financially developed markets. The study is focus on eight certainly Equity fund portfolios, and covers the period 2008-2011. We apply the unconditional versus the conditional evaluation methodology in order to assess the relevance of the public information in the delegated portfolio management in Colombia. For each fund portfolio, both, a unique and a rolling time performance estimation are obtained. The paper concludes, firstly, that performance has been largely significantly positive for the sample and period considered. It also finds that the differences in performance evaluation attained with both methodologies are negligible. Thus, conditioning information seems not to have been relevant in the Colombian Equity mutual fund industry
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References
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Baek, K., and Y. Park (2105). Do Market Dominant Fund Distributors Provide Better Performing Funds To Investors. Asia-Pacific Journal of Financial Studies, 44, 421-446.
Benson, K., and R. Faff (2006). Conditional Performance Evaluation and the relevance of Money Flows for Australian International Equity Funds. Pacific-Basin Finance Journal, 14, 231-249.
Bessler, W., W. Drobetz and H. Zimmermann (2009). Conditional Performance Evaluation for German Equity Mutual Funds. European Journal of Finance, 15(3), 287-316.
Bloomberg, http://www.bloomberg.com/ Caporin, M. G. Jannin, F. Lisi, and B. Maillet (2014). A survey on the four families of performance measures. Journal of Economic Surveys, 28 (5), 917-942.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52 (1), 57-82.
Chiang, I. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance, 2015, 33,114-134.
Christopherson, J., A., W. E. Ferson, and D. A. Glassman (1998). Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies 11, 111-142.
Colombian Financial Supervisor, http://www. superfinanciera.gov.co/.
Colombian Stock Market, Annual reports, http:// www.bvc.com.co/pps/tibco/portalbvc.
Coggings, F., M., Beaulieu, and M. Gendron (2009). Mutual Fund Daily Conditional Performance. Journal of Financial Research, 32 (2), 95-122.
Das, S. (2015). Empirical evidence of conditional asset pricing in the Indian stock market. Economic Systems, 39 (2), 225-239.
Fama, E., and K. French (1989). Business Conditions and Expected Returns on Stocks and Bonds. Journal of Finance, 25 (2), 383- 417.
Fama, E., and K. French (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33 (1), 3-56.
Fama, E., and K. French (2010). Luck versus Skill in the cross section of Mutual Fund Returns. Journal of Finance, 65, 1915-47.
Ferson, W., and C. Harvey (1991). The Time Variation of Economic Risks Premiums. Journal of Political Economy, 99, 385-415.
Ferson, W., and C. Harvey (1999). Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance, 54, 1325-60.
Ferson, W., and R. Schadt (1996). Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51, 425-462.
Foran, J., and N. O’Sullivan (2014). Liquidity risk and the performance of UK mutual funds. International Review of Financial Analysis, 35, 178-189.
Gallefoss, K., H. Hansen, E. Haukaas, and P. Molnár (2015). What daily data can tell us about mutual funds: Evidence from Norway.
Journal of Banking & Finance, 55, 117-129. Goo, Y., F. Chang, and K. Chiu (2015). Stock Selection and Timing Ability of the Taiwan Equity Funds. The Application of Stochastic Beta, GARCH, and Nonlinear GLS. Modern Economy, 06(2), 153-164.
Gubellini, S. (2014). Conditioning information and cross-sectional anomalies. Review of Quantitative Finance and Accounting, 43 (3), 529-569.
International Monetary Fund (IMF), http://www. imf.org/external/index.htm.
Jarque, C. M., and Bera, A. K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55 (2), 163-172.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal Finance, 23, 389-416.
Latin American Federation of Investment Funds, http://www.fiafin.org/
Leite, P. A., and M. Cortez (2009). Conditioning Information in Mutual Fund Performance Evaluation: Portuguese Evidence. European Journal of Finance, 15(5-6), 585-605.
Lipper (2013). European Fund Market Review. 2013 Edition.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. Journal of Finance, 50, 549-572.
Newey, W. K., and K. D. West (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703-808.
Otten, R., and D. Bams (2002). European Mutual Fund Performance. European Financial Management, 8 (1), 75-101.
Ramírez-Córdoba, G. (2012). La inversión colectiva en Colombia: caracterización y análisis. Revista Soluciones de Postgrado EIA, 9, 13-37.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19 (3), 425-442.
World Bank Statistics, http://data.worldbank. org/topic/financial-sector.
Baek, K., and Y. Park (2105). Do Market Dominant Fund Distributors Provide Better Performing Funds To Investors. Asia-Pacific Journal of Financial Studies, 44, 421-446.
Benson, K., and R. Faff (2006). Conditional Performance Evaluation and the relevance of Money Flows for Australian International Equity Funds. Pacific-Basin Finance Journal, 14, 231-249.
Bessler, W., W. Drobetz and H. Zimmermann (2009). Conditional Performance Evaluation for German Equity Mutual Funds. European Journal of Finance, 15(3), 287-316.
Bloomberg, http://www.bloomberg.com/ Caporin, M. G. Jannin, F. Lisi, and B. Maillet (2014). A survey on the four families of performance measures. Journal of Economic Surveys, 28 (5), 917-942.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52 (1), 57-82.
Chiang, I. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance, 2015, 33,114-134.
Christopherson, J., A., W. E. Ferson, and D. A. Glassman (1998). Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies 11, 111-142.
Colombian Financial Supervisor, http://www. superfinanciera.gov.co/.
Colombian Stock Market, Annual reports, http:// www.bvc.com.co/pps/tibco/portalbvc.
Coggings, F., M., Beaulieu, and M. Gendron (2009). Mutual Fund Daily Conditional Performance. Journal of Financial Research, 32 (2), 95-122.
Das, S. (2015). Empirical evidence of conditional asset pricing in the Indian stock market. Economic Systems, 39 (2), 225-239.
Fama, E., and K. French (1989). Business Conditions and Expected Returns on Stocks and Bonds. Journal of Finance, 25 (2), 383- 417.
Fama, E., and K. French (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33 (1), 3-56.
Fama, E., and K. French (2010). Luck versus Skill in the cross section of Mutual Fund Returns. Journal of Finance, 65, 1915-47.
Ferson, W., and C. Harvey (1991). The Time Variation of Economic Risks Premiums. Journal of Political Economy, 99, 385-415.
Ferson, W., and C. Harvey (1999). Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance, 54, 1325-60.
Ferson, W., and R. Schadt (1996). Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 51, 425-462.
Foran, J., and N. O’Sullivan (2014). Liquidity risk and the performance of UK mutual funds. International Review of Financial Analysis, 35, 178-189.
Gallefoss, K., H. Hansen, E. Haukaas, and P. Molnár (2015). What daily data can tell us about mutual funds: Evidence from Norway.
Journal of Banking & Finance, 55, 117-129. Goo, Y., F. Chang, and K. Chiu (2015). Stock Selection and Timing Ability of the Taiwan Equity Funds. The Application of Stochastic Beta, GARCH, and Nonlinear GLS. Modern Economy, 06(2), 153-164.
Gubellini, S. (2014). Conditioning information and cross-sectional anomalies. Review of Quantitative Finance and Accounting, 43 (3), 529-569.
International Monetary Fund (IMF), http://www. imf.org/external/index.htm.
Jarque, C. M., and Bera, A. K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55 (2), 163-172.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal Finance, 23, 389-416.
Latin American Federation of Investment Funds, http://www.fiafin.org/
Leite, P. A., and M. Cortez (2009). Conditioning Information in Mutual Fund Performance Evaluation: Portuguese Evidence. European Journal of Finance, 15(5-6), 585-605.
Lipper (2013). European Fund Market Review. 2013 Edition.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. Journal of Finance, 50, 549-572.
Newey, W. K., and K. D. West (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703-808.
Otten, R., and D. Bams (2002). European Mutual Fund Performance. European Financial Management, 8 (1), 75-101.
Ramírez-Córdoba, G. (2012). La inversión colectiva en Colombia: caracterización y análisis. Revista Soluciones de Postgrado EIA, 9, 13-37.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19 (3), 425-442.
World Bank Statistics, http://data.worldbank. org/topic/financial-sector.
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Published
2015-06-01
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