Analysis of Performance Persistence in Spanish Short-Term Fixed Interest Investment Funds (1994-2002)

This paper contains a preliminary financial analysis of the performance of a group of portfolios based on Sharpe's ratio and a variant thereof, which provides a more appropriate ranking while remaining true to the traditional measure. The main thrust of the financial analysis contained in the paper focuses on performance persistence in the subject portfolios over a period of eight years. A total of 207 Spanish short-term fixed interest investment funds are considered, and we show that over the reference period persistence does in fact exist and, furthermore, the phenomenon is statistically robust. The assessment of performance persistence is focused on the contingency table methodology of repeated winners and losers. Moreover, financial tests, such as Malkiel's (1995) Z-statistic, Brown's and Goetzmann's (1995) odds ratio and Kahn's and Rudd's (1995) c2-statistic, are applied to analyse the robustness of this phenomenon