Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

Fredy Alexander Pulga Vivas, M. Joven
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Abstract

This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.
哥伦比亚开放式共同基金行业的投资组合经理:业绩、下行风险和持续性
本研究探讨了哥伦比亚共同基金是否提供了异常的风险调整收益,并深入研究了它们的持久性。本文采用基于现代投资组合理论和下偏矩的传统风险和下行风险度量方法,对146只按投资类型和基金经理分类的共同基金的业绩进行了评价。这一评估表明,共同基金的表现落后于市场,并带来了真正的回报。同样,债券基金表现不如股票基金,投资信托基金表现不如经纪公司。此外,债券基金和投资信托管理的基金表现出短期业绩持续性。这些结果表明,投资者可能会采取被动投资策略,他们必须分析过去的表现才能进行短期投资。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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