<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2448-718X</journal-id>
<journal-title><![CDATA[El trimestre económico]]></journal-title>
<abbrev-journal-title><![CDATA[El trimestre econ]]></abbrev-journal-title>
<issn>2448-718X</issn>
<publisher>
<publisher-name><![CDATA[Fondo de Cultura Económica]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2448-718X2007000300663</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Análisis de las capacidades de sincronización con el mercado y selección de valores de los gestores de fondos de inversión españoles en condiciones económicas variables]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ferruz Agudo]]></surname>
<given-names><![CDATA[Luis]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Vargas Magallón]]></surname>
<given-names><![CDATA[María]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de Zaragoza Departamento de Contabilidad y Finanzas ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Spain</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2007</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2007</year>
</pub-date>
<volume>74</volume>
<numero>295</numero>
<fpage>663</fpage>
<lpage>683</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2448-718X2007000300663&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2448-718X2007000300663&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2448-718X2007000300663&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: Este trabajo realiza una evaluación del desempeño de un amplio grupo de fondos de inversión españoles, tanto en términos globales como mediante una descomposición del mismo en sus dos componentes; capacidades de sincronización con el mercado y selección de valores. Ambos análisis se efectúan a partir de medidas tradicionales y de medidas que consideran la variación en el tiempo de la rentabilidad y riesgo mediante la incorporación de variables macroeconómicas representativas del ciclo económico en España. La incorporación de estas variables supone una mejora del desempeño global y un empeoramiento de la capacidad de selección de valores del gestor. En cuanto a la capacidad de sincronización con el mercado no es posible extraer conclusiones. Sin embargo, observamos una mejora del poder explicativo de los modelos como consecuencia de tal incorporación, lo que nos permite abogar por los modelos condicionales. Además, este trabajo corrige los problemas de multicolinealidad entre dichas variables mediante un análisis factorial.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: This work evaluates the performance of a wide group of Spanish mutual funds, both in global terms and breaking up it in its two components &#8212;market timing and stock-picking abilities&#8212;. Both analyses are carried out by means of traditional measures as well as measures that consider time-varying risk and return parameters by incorporating macroeconomic variables representative of the Spanish business-cycle. The incorporation of these variables produces an improvement in the global performance and a worsening in the manager&#8217;s stock-picking ability. It is not possible to obtain conclusions in relation to the market timing ability. However, we observe an increase in the explanatory power of the models as a result of such incorporation, so we advocate conditional models. Furthermore, this work corrects the multicolinearity problems among predetermined information variables by means of a factorial analysis.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[desempeño]]></kwd>
<kwd lng="es"><![CDATA[fondos de inversión]]></kwd>
<kwd lng="es"><![CDATA[variables macroeconómicas]]></kwd>
<kwd lng="es"><![CDATA[capacidades de sincronización con el mercado]]></kwd>
<kwd lng="es"><![CDATA[selección de valores]]></kwd>
<kwd lng="es"><![CDATA[problemas de multicolinealidad]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Carhart]]></surname>
<given-names><![CDATA[M. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Carpenter]]></surname>
<given-names><![CDATA[J. N.]]></given-names>
</name>
<name>
<surname><![CDATA[Lynch]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Musto]]></surname>
<given-names><![CDATA[D. K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Mutual Fund Suvivorship]]></source>
<year>2000</year>
<publisher-name><![CDATA[New York University]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chan]]></surname>
<given-names><![CDATA[K. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[N. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1988</year>
<volume>43</volume>
<page-range>309-25</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Christensen]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Danish Mutual Fund Performance &#8212;Selectivity, Market Timing and Persistence]]></source>
<year>2005</year>
<numero>F-2005-01</numero>
<issue>F-2005-01</issue>
</nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Christopherson]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Ferson]]></surname>
<given-names><![CDATA[W. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Glassman]]></surname>
<given-names><![CDATA[D.A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Conditioning Manager Alpha on Economic Information: Another Look at the Persistence of Performance]]></article-title>
<source><![CDATA[Review of Financial Studies]]></source>
<year>1998</year>
<volume>11</volume>
<page-range>111-42</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cochrane]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A Cross-Sectional Test of a Production-Based Asset Pricing Model]]></article-title>
<source><![CDATA[Journal of Political Economy]]></source>
<year>1996</year>
<volume>104</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>572-621</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cortez]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Conditional Models and Performance Persistence in Portfolio Performance Evaluation]]></source>
<year>2001</year>
<conf-name><![CDATA[ Seminários de Finanças-Centro de Estudos Macroeconómicos e de previsao]]></conf-name>
<conf-loc>Portugal </conf-loc>
</nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ferson]]></surname>
<given-names><![CDATA[W. E.]]></given-names>
</name>
</person-group>
<source><![CDATA[Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance]]></source>
<year>2003</year>
<numero>w9441</numero>
<issue>w9441</issue>
<publisher-name><![CDATA[NBER]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ferson]]></surname>
<given-names><![CDATA[W. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Schadt]]></surname>
<given-names><![CDATA[R. W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Measuring Fund Strategy and Performance in Changing Economic Conditions]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>1996</year>
<volume>51</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>425-61</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ferson]]></surname>
<given-names><![CDATA[W. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Harvey]]></surname>
<given-names><![CDATA[C. R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Conditioning Variables and the Cross-Section of Stock Returns]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1999</year>
<volume>54</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>1325-60</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fuentes]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Gregoire]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Zurita]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Factores macroeconómicos en rendimientos accionarios chilenos]]></article-title>
<source><![CDATA[EL TRIMESTRE ECONÓMICO]]></source>
<year>2006</year>
<volume>LXXIII</volume>
<numero>289</numero>
<issue>289</issue>
<page-range>125-38</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Glassman]]></surname>
<given-names><![CDATA[D. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Riddick]]></surname>
<given-names><![CDATA[L. A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Market Timing by Global Fund Managers]]></source>
<year>2003</year>
<publisher-name><![CDATA[SSRN]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hallahan]]></surname>
<given-names><![CDATA[T. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Faff]]></surname>
<given-names><![CDATA[R.W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Induced Persistence or Reversals in Fund Performance?: The Effect of Survivor Bias]]></article-title>
<source><![CDATA[Applied Financial Economics]]></source>
<year>2001</year>
<volume>11</volume>
<page-range>119-26</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Harvey]]></surname>
<given-names><![CDATA[C. R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Specification of Conditional Expectations]]></article-title>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>2001</year>
<volume>8</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>573-637</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Henriksson]]></surname>
<given-names><![CDATA[R. D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Market Timing and Mutual Fund Performance: An Empirical Investigation]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1984</year>
<volume>57</volume>
<page-range>73-96</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ilmanen]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Time-Varying Expected Returns in International Bond Markets]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>1995</year>
<volume>50</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>481-506</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jagannathan]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Wang]]></surname>
<given-names><![CDATA[Z.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Conditional CAPM and the Cross-Section of Expected Returns]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1996</year>
<volume>51</volume>
<page-range>3-53</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jensen]]></surname>
<given-names><![CDATA[M. C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Performance of Mutual Funds in the Period 1945-1964]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1968</year>
<volume>23</volume>
<page-range>389-416</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jiang]]></surname>
<given-names><![CDATA[G. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Yao]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
<name>
<surname><![CDATA[Yu]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Do Mutual Funds Time the Market? Evidence from Portfolio Holdings]]></source>
<year>2005</year>
<conf-name><![CDATA[ AFA 2005 Philadelphia Meetings Paper]]></conf-name>
<conf-loc> </conf-loc>
</nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kat]]></surname>
<given-names><![CDATA[H. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Miffre]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Performance Evaluation and Conditioning Information: The Case of Hedge Funds]]></source>
<year>2003</year>
<numero>159</numero>
<conf-name><![CDATA[ EFA 2003 Annual Conference Paper]]></conf-name>
<conf-loc> </conf-loc>
<issue>159</issue>
</nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Keim]]></surname>
<given-names><![CDATA[D. B.]]></given-names>
</name>
<name>
<surname><![CDATA[Stambaugh]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Predicting Returns in the Stock and Bond Markets]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1986</year>
<volume>17</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>357-90</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Knigge]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Nowak y D. Schmidt]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<source><![CDATA[On the Performance of Private Equity Investments: Does Market Timing Matter?]]></source>
<year>2004</year>
<publisher-name><![CDATA[CEPRES]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kon]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Market Timing Performance of Mutual Fund Managers]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1983</year>
<volume>56</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>323-47</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Merton]]></surname>
<given-names><![CDATA[R. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Henriksson]]></surname>
<given-names><![CDATA[R. D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1981</year>
<volume>54</volume>
<page-range>513-34</page-range></nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Nielsen]]></surname>
<given-names><![CDATA[L. T.]]></given-names>
</name>
<name>
<surname><![CDATA[Vassalou]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Sharpe Ratio and Alphas in Continuous Time]]></article-title>
<source><![CDATA[Journal of Financial and Quantitative Analysis]]></source>
<year>2004</year>
<volume>39</volume>
<numero>1</numero>
<issue>1</issue>
</nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Persson]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Performance of Swedish Mutual Funds]]></article-title>
<source><![CDATA[Report from the Personal Finance and Family Business Research Program]]></source>
<year>1998</year>
<publisher-name><![CDATA[School of Economics and management, Lund University]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ribeiro]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Paxson]]></surname>
<given-names><![CDATA[D. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Rocha]]></surname>
<given-names><![CDATA[M. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Persistence in Portuguese Mutual Fund Performance]]></article-title>
<source><![CDATA[The European Journal of Finance]]></source>
<year>1999</year>
<volume>5</volume>
<page-range>342-65</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Roy]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Deb]]></surname>
<given-names><![CDATA[S. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Conditional Alpha and Performance Persistence for Indian Mutual Funds: Empirical Evidence]]></article-title>
<source><![CDATA[Journal of Applied Finance]]></source>
<year>2004</year>
<page-range>30-48</page-range><publisher-name><![CDATA[ICFAI]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Silva]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Cortez]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Ro cha]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Conditioning Information and European Bond Fund Performance]]></article-title>
<source><![CDATA[European Financial Management]]></source>
<year>2003</year>
<volume>9</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>201-30</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Treynor]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Mazuy]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Can Mutual Funds Outguess the Market?]]></article-title>
<source><![CDATA[Harvard Business Review]]></source>
<year>1966</year>
<volume>44</volume>
<page-range>131-6</page-range></nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Wang]]></surname>
<given-names><![CDATA[K. Q.]]></given-names>
</name>
</person-group>
<source><![CDATA[Conditioning Information, Out-of Sample Validation, and the Cross-Section of Stock Returns]]></source>
<year>2004</year>
<numero>3184</numero>
<conf-name><![CDATA[ EFA 2004 Maastrich Meetings, Paper]]></conf-name>
<conf-loc> </conf-loc>
<issue>3184</issue>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
