{"title":"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","authors":"Fredy Alexander Pulga Vivas, M. Joven","doi":"10.11144/javeriana.cao32-59.pmco","DOIUrl":null,"url":null,"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.","PeriodicalId":127065,"journal":{"name":"Cuadernos de Administración","volume":"7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence\",\"authors\":\"Fredy Alexander Pulga Vivas, M. Joven\",\"doi\":\"10.11144/javeriana.cao32-59.pmco\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":127065,\"journal\":{\"name\":\"Cuadernos de Administración\",\"volume\":\"7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-11-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Cuadernos de Administración\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.11144/javeriana.cao32-59.pmco\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cuadernos de Administración","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.11144/javeriana.cao32-59.pmco","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence
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.