This paper investigates the performance of mutual funds in Spain between January and June 1990. The robustness of results to alternative measurements and benchmarks is carefully analysed. As expected, the results indicate that, with monthly returns, it is not possible to measure the magnitudes of selectivity and timing. We are only able to measure the magnitude of total performance. The argument is that, from an empirical point of view, if we want to be more precise about the reasons behind performance, portfolio holdings are absolutely necessary. This work employs a new data set used on monthly portfolio holdings of a representative sample of funds. Empirical results distinguishing selectivity and timing are presented. Moreover, a comparison of results using monthly returns and monthly portfolio holdings are also reported. Finally, the impact of turnover costs is considered as an explanation of the results.