Effects of multicollinearity on the definition of mutual funds’ strategic style: the Spanish case

Abstract

This study is an approach to the strategic styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpe's suggested Style Analysis. The study highlights the distortion of results caused by the phenomenon of multicollinearity in the benchmarks proposed.

Acknowledgements

The authors would like to express their thanks to the University of Zaragoza and to the Financial Group Ibercaja for the award of Research Project 268-96.

Any possible errors contained in this paper are the exclusive responsibility of the authors.