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The great growth of mutual funds (FIM) in Spain over recent years raises the question whether an investor adopting a passive management strategy can consider those funds as a serious alternative to direct investment in the stock exchange. Thus, this paper presents a new approach to research on the Spanish investment fund market. It studies the Spanish stock funds versus the alternative of direct investing in the stock exchange using the stock index Ibex 35 as the benchmark. One can say that a fund replicates the benchmark index when both variables share common trends in the long run. Therefore, cointegration methodology is used to determine the longrun relationship between the funds value and Ibex 35. It is found that 11 out of 63 funds are cointegrated with the stock index, hence those funds could be used for investors seeking a passive management strategy.

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