Performance metrics for Spanish investment funds

The aim of this study is to examine the most appropriate way to capture the true performance of Spanish equity funds, considering that almost all have significantly asymmetric return distributions over the time period studied. We apply alternative risk measures, such as semi-standard deviation and absolute deviation and test if the associated performance measures provide markedly different rankings from the classic indices. We find that one subset of funds analysed displays negative return premia, and make an additional adjustment to the suggested performance metrics. Overall when comparing the rankings, we see strong evidence that — despite the strong asymmetry in returns — the non-traditional performance metrics do not differ markedly from the traditional measurements. This would point to the Spanish equity market behaving more like more mature and liquid markets, and hence being amenable to the application of classic performance and investment management tools.