Style portfolio performance: Empirical evidence from the Spanish equity funds

This work evaluates the performance of the results obtained from a sample of Spanish equity funds in relation to what could have been obtained if the style portfolios allocated by each one had been passively tracked. This analysis is undertaken based on three methods never before applied in Spain, all reaching the conclusion that, in general terms, the active management of Spanish equity funds subtracts added value from the performance of their style portfolios. Lastly, the application of a novel performance measure in addition to the Performance Style (PS) proposed by Sharpe (1992, 'Asset Allocation: Management Style and Performance Measurement', Journal of Portfolio Management, Winter, 18, 7-19) shows that Spanish equity funds allocate style portfolios efficiently within the mean-variance framework.