出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The extensive offer of mutual funds on the market favors the use of mutual fund classifications as a tool for defining fund characteristics,comparing them and evaluating their results. However,a number of studies provide evidence that fund managers manipulate the characteristics of the mutual fund portfolios in line with economic incentives.In this context,knowing the capac?ity of the fund categories to convey fund characteristics is essential,since an unsuitable classifica?tion system may give out confusing signals and encourage investors to select funds that are not suited to their needs.Using a database of Spanish mutual funds,the objective of this study is to examine whether funds that belong to the same category are comparable and whether funds in dif?ferent categories are indeed different.A Discriminant analysis enables us to determine which funds are initially correctly or incorrectly classified and to which category misclassified funds should be assigned,being the explanatory variables the percentages of the investment style defined by the asset class factor model proposed by Sharpe.The results show that 33% of such funds are misclassified,a figure that highlights the difficulties experienced by current classification systems in differentiating between mutual fund characteristics and in providing a reliable reference for fund evaluation and selection.
关键词：Mutual Funds;Investment Objectives;Mutual Fund Classifications;Asset Class Factor Model;Investment Style.
