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Publicado en: Tesis Magíster

¿Cómo afecta el tamaño al rendimiento de un Fondo Mutuo? Análisis para Fondos Mutuos Accionarios Chilenos

José Pedro Tocornal K.

Tesis, Magíster en Economía, IE-PUC, 2015

Abstract: How important is size for equity mutual funds (FM) in Chile? This paper develops the theory that there is a relationship between size and performance in FM, and his relationship is not constant for different sizes. In an empirical analysis with Chilean
equity FM data since 2005 to 2014, with a system of rolling window applied to a 4 factors model to capture the abnormal returns
of the FM, has been found that size of a fund will be incident in his performance as a result of a trade-­‐off between liquidity effects and economies of scale in cost. In particular, it will be noted that FM that invest only in Chile, large and very small sizes are inefficient compared to medium sizes. On the other hand, the liquidity effects disappear when funds invest in large financial markets; so in FM that invest in international stocks, an increase in size also increases their performance because of possible effects on costs. Finally, it is not possible to find economies of scale in osts if we control by the size of the family that FM belongs to, however, the quadratic structure of the relationship between size and performance indicates that there is a cost effect.


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