Author, as appears in the article.: Fabregat‐aibar L; Sorrosal‐forradellas MT; Barberà‐mariné G; Terceño A

Department: Gestió d'Empreses

URV's Author/s: Barberà Mariné, Maria Glòria / Fabregat Aibar, Laura / Sorrosal Forradellas, Maria Teresa / Terceño Gómez, Antonio

Keywords: Survival capacity Spanish market Neural network Mutual funds Improve Failure

Abstract: Recently, the total net assets of mutual funds have increased considerably and turned them into one of the main investment instruments. Despite this increment, every year a considerable number of funds disappear. The main purpose of this paper is to determine if the neural networks can be a valid instrument to detect the survival capacity of a fund, using the traditional variables linked to the literature of disappearance funds: age, size, performance and volatility. This paper also incorporates annualized variation in return and the Sharpe ratio as variables. The data used is a sample of Spanish mutual funds during 2018 and 2019. The results show that the network correctly classifies funds into surviving and non‐surviving with a total error of 13%. Moreover, it shows that not all variables are significant to determine the survival capacity of a fund. The results indicate that surviving and non‐surviving funds differ in variables related to performance and its variation, volatility and the Sharpe ratio. However, age and size are not significant variables. As a conclusion, the neural network correctly predicts the 87% of survival capacity of mutual funds. Therefore, this methodology can be used to classify this financial instrument according to its survival or disappear-ance.

Thematic Areas: Química Mathematics (miscellaneous) Mathematics (all) Mathematics General mathematics Engineering (miscellaneous) Computer science (miscellaneous) Astronomia / física

licence for use: https://creativecommons.org/licenses/by/3.0/es/

Author's mail: laura.fabregat@urv.cat mariateresa.sorrosal@urv.cat antonio.terceno@urv.cat gloria.barbera@urv.cat

Author identifier: 0000-0002-0077-161X 0000-0003-4719-452X 0000-0001-5348-8837 0000-0003-2578-1301

Record's date: 2023-03-05

Papper version: info:eu-repo/semantics/publishedVersion

Link to the original source: https://www.mdpi.com/2227-7390/9/6/695

Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/

Papper original source: Mathematics. 9 (6):

APA: Fabregat‐aibar L; Sorrosal‐forradellas MT; Barberà‐mariné G; Terceño A (2021). Can artificial neural networks predict the survival capacity of mutual funds? Evidence from Spain. Mathematics, 9(6), -. DOI: 10.3390/math9060695

Article's DOI: 10.3390/math9060695

Entity: Universitat Rovira i Virgili

Journal publication year: 2021

Publication Type: Journal Publications