Papers by Juan Carlos Matallín Sáez
International Review of Economics & Finance, Sep 1, 2018
We propose a novel performance attribution model for equity fund portfolios. The model analyses i... more We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as past return strategies, security selection, market timing and passive timing. The model was tested for a sample of mutual funds. Empirical results show that security selection is the main contributor to fund performance regardless of the sample period considered or the asset pricing model used. The evidence of timing ability is mixed with low significance. Nevertheless there are noticeable differences between the timing ability of the best and worst performing funds, especially in crisis periods. Analysing the relationship between mutual fund performance (and its different components) and fund characteristics, we find that top funds are significantly smaller and more concentrated than other funds. Finally, we also examine the persistence in the performance and in its components finding evidence of positive persistence in past return strategies and picking skills although this persistence is not shown in the overall performance.
Corporate Social Responsibility and Environmental Management
Academia Revista Latinoamericana de Administración
PurposeThis study aims to assess the relationship between cash management and fund performance in... more PurposeThis study aims to assess the relationship between cash management and fund performance in index fund portfolios.Design/methodology/approachUsing a sample of 104 index mutual funds that track the Standard and Poor 500 stock market index from January 1999 to December 2016, the authors employ quintile portfolios and different regression models to assess the differences in risk-adjusted monthly returns experienced by index funds managing different cash levels in their portfolios. To ensure the robustness of the results, different sub-periods and market states are considered in the analyses as well as other exogenous factors and fund characteristics affecting the level of portfolio cash holdings and index fund performance.FindingsResults show that index funds holding higher levels of cash and cash equivalents performed significantly worse than their low-cash counterparts. This evidence remains even after considering different sub-periods and bullish and bearish market conditions ...
International Review of Economics & Finance
Journal of the Operational Research Society
Los documentos de trabajo del Ivie ofrecen un avance de los resultados de las investigaciones eco... more Los documentos de trabajo del Ivie ofrecen un avance de los resultados de las investigaciones económicas en curso, con objeto de generar un proceso de discusión previo a su remisión a las revistas científicas. Al publicar este documento de trabajo, el Ivie no asume responsabilidad sobre su contenido. Ivie working papers offer in advance the results of economic research under way in order to encourage a discussion process before sending them to scientific journals for their final publication. Ivie's decision to publish this working paper does not imply any responsibility for its content. La Serie EC, coordinada por Matilde Mas, está orientada a la aplicación de distintos instrumentos de análisis al estudio de problemas económicos concretos. Coordinated by Matilde Mas, the EC Series mainly includes applications of different analytical tools to the study of specific economic problems. Todos los documentos de trabajo están disponibles de forma gratuita en la web del Ivie http://www.ivie.es, así como las instrucciones para los autores que desean publicar en nuestras series. Working papers can be downloaded free of charge from the Ivie website http://www.ivie.es, as well as the instructions for authors who are interested in publishing in our series.
Business Ethics: A European Review
Social responsibility matters. This is especially true in finance, as socially responsible invest... more Social responsibility matters. This is especially true in finance, as socially responsible investing (SRI) is gaining momentum. The dynamism of the mutual fund industry has led to a proliferation of socially responsible (SR) funds, aiming to satisfy investors' preferences in terms of risk and return but also covering objectives that are not purely financial (Benson & Humphrey, 2008; Ferruz, Muñoz, & Vargas, 2010), such as environmental, social and governance (ESG), religious and ethical attributes. Most of the studies analysing the behaviour of SR funds over time compare their performance with that of conventional mutual funds during the same period. However, not all SR funds invest according to the same SRI criteria. For instance, stocks held by environmental funds would be expected to differ from stocks religious funds invest in. As the funds' returns mainly depend on the evolution of the asset classes held in their portfolio (Sharpe, 1992), SR funds belonging to different categories should yield different results, leading to erroneous overall performance conclusions if they are not treated separately.
Journal of Cleaner Production
Over the last few years academics and practitioners alike have been analyzing the relative perfor... more Over the last few years academics and practitioners alike have been analyzing the relative performance of different types of mutual funds, with a particular emphasis on comparing the performance of conventional versus socially responsible investment (SRI). The methods and samples used, as well as the results obtained are diverse, but they generally point to the difficulties found by SRI to yield an equivalent performance as that of its conventional peers-given the investment constraints they face. In this study we focus on the comparative performance of a sample of SRI funds, which we decompose mainly into Environmental, Social and Governance (ESG), environmental, and religious, and which invest in three different geographical areas. For these funds we measure not only performance but, more importantly, their persistence-i.e., whether the best (worst) funds are past winners (losers) as well. This twofold objective turns out to be essential to uncover some trends in the industry. Specifically, whereas ESG, in general, outperform their environmental peers, a deeper scrutiny focusing also on performance persistence reveals that this claim should be tempered, since investing in the best past environmental funds yields superior performance than investing in the best past ESG funds. This result, which holds for the two main geographical regions analyzed (Europe and US/Canada), would indicate that the comparison between these two types of funds is more intricate than what we might a priori expect, being particularly relevant to factor in the comparison an evaluation of performance persistence.
Journal of Economic Behavior & Organization, 2016
Islamic funds are increasingly seen as an alternative to conventional funds, in part due to the g... more Islamic funds are increasingly seen as an alternative to conventional funds, in part due to the growing prominence of Islamic finance. In contrast to most previous literature, this paper focuses on the countries of the Middle East and North African region (MENA), and compares the performance of Islamic and conventional funds during crisis and recovery periods. Results show that the relative performance of Islamic and conventional funds seem to be conditioned by several factors such as the (geographical) context in which the investment is made. Considering the entire MENA region, Islamic funds perform, on average, slightly worse than conventional funds. However, if the analysis is restricted to Gulf Cooperation Council (GCC) countries, the result opposite is found. In addition, the performance gap between the two types of funds either widens or shrinks when considering recovery or crisis times, providing evidence that Islamic funds are more stable in times of distress.
Performance of Mutual Funds, 2007
The North American Journal of Economics and Finance, 2016
Finance Research Letters, 2015
Journal of Financial Services Research, 2015
In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The... more In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and value systems, influence performance and its persistence. A procedure commonly used in prior literature to assess persistence is the measuring of the performance of investment strategies based on past performance. In this context, we propose a refined version of this methodology that controls the cross-sectional significance of the performance of these strategies. This procedure correctly identifies whether abnormal performance is due to a dynamic investment strategy based on past performance, or whether it is obtained by investing in a particular set of mutual funds. The significance of the persistence varies depending on the time horizon (yearly/half-yearly), survivorship, or the tail of the distribution. In particular, we find that persistence only exists for the best funds, whereas for the worst funds, the results are not significant.
The aim of this study is two-fold: to analyse which variables determine the fees incurred by pens... more The aim of this study is two-fold: to analyse which variables determine the fees incurred by pension plans and to demonstrate that the results of applying this model are robust. We use individualised data from the management and custodial fees for individual pension plans in Spain. The Spanish pension funds and pension plans market establishes maximum limits for both types of fee under legal imperative and is characterised by the fact that most of its trade and management is carried out by financial entities, which may in turn create a conflict of interests. When a semiparametric approach is used, results reveal the following variables to be relevant in determining management fees: the nature of the managing entity, the yield of the plan, management style, average investment per participant in each management entity and custodial fees established by the custodian. On applying the parametric approach, the number of years of operation and the concentration of the plan are also shown t...
Este trabajo tiene por objeto la evaluación de los resultados de los fondos de inversión en Españ... more Este trabajo tiene por objeto la evaluación de los resultados de los fondos de inversión en España, a través del análisis del estilo del fondo. Éste se define como los porcentajes de inversión en diferentes clases de archivos que mejor explican la rentabilidad. La parte no explicada por el estilo es consecuencia de la gestión activa por sincronización y selección. Se calcula la perfomance, comparando la rentabilidad del fondo con respecto a una cartera de gestión pasiva con el mismo estilo. Los resultados muestran cómo el estilo es consecuente con la clasificación por composición de cartera; que la rentabilidad explicada por el estilo es mayor en los fondos de renta variable y que la mayoría de los fondos no tienen una perfimance significativamente distinta de cero, lo qeu implica que la rentabilidad obtenida con una gestión activa no difiere en gran medida de la conseguida por una gestión pasiva The goal of this paper is the evaluation of the results of the mutual funds in spain, m...
Revista de Economia Aplicada
The aim of this study is to analyse the volatility timing capacity of Spanish mutual funds in rel... more The aim of this study is to analyse the volatility timing capacity of Spanish mutual funds in relation to market risk. This consists of reducing a portfolio's systematic risk during moments of high volatility, with the aim of decreasing the portfolio's risk and improving its performance. Based on daily data, the results of the study show the volatility timing to be correct in a large number of mutual funds. A robustness analysis is also carried out on the results obtained, which includes variables that identify the possibility of market timing. The inclusion of this variable does not affect previous results and shows a negative market timing. In order to evaluate market timing ability in the short term, in return and volatility, as well as in the long term or structural market timing, we have also analyzed the variability in the systematic risk of the mutual funds during the sample period.
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Papers by Juan Carlos Matallín Sáez