Colombian mutual funds that invest in stocks: Do they create value?

Ecos de Economía: A Latin American Journal of Applied Economics

Juan David Monsalve¹  Nicolas Arango Toro¹ 

[1] Universidad EAFIT

关键词: Colombia;    Jensen’s alpha;    Market Timing;    Mutual Funds;    Portfolio Performance Evaluation.;   

DOI  :  

学科分类：社会科学、人文和艺术（综合）

来源: Universidad Eafit

【 摘 要 】

In this research we evaluate the performance of 73 Colombian stock mutual funds from 2005 to 2015. To quantify the value added by these funds compared to their respective benchmarks, Jensen’s alpha is calculated using  two regression methodologies: Ordinary Least Squares (OLS) and Quantile Regression. We also analyze whether these funds show any evidence of market timing. We recommend the creation of a private firm in Colombia that would provide investors with accurate information about the features and historical performance of Colombian mutual funds, as Morningstar Inc. does in the USA. This would enable investors to choose the best fund options andmake the mutural fund market more efficient and appealing to new potential investors.

【 授权许可】

Unknown