Portfolio performance evaluation : the case of the portuguese mutual funds market

Detalhes bibliográficos
Autor(a) principal: Couto, Gualter
Data de Publicação: 2009
Outros Autores: Brandão, Rita Marques, Roque, Nuno
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.3/4828
Resumo: In this work, we investigate the portfolio performance evaluation of Portuguese mutual funds market. For that purpose, we used different models with daily data, where we tested different hypotheses: the existence of alphas with or without selectivity, and the existence of betas with or without timing. There are differences induced by the use of unconditional and conditional models based on non-temporal variation in profitability and risk. The results suggest that fund managers have some capacities of selectivity but not of timing.
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spelling Portfolio performance evaluation : the case of the portuguese mutual funds marketCFG ModelConditional PerformanceMutual FundsIn this work, we investigate the portfolio performance evaluation of Portuguese mutual funds market. For that purpose, we used different models with daily data, where we tested different hypotheses: the existence of alphas with or without selectivity, and the existence of betas with or without timing. There are differences induced by the use of unconditional and conditional models based on non-temporal variation in profitability and risk. The results suggest that fund managers have some capacities of selectivity but not of timing.Universidade dos AçoresRepositório da Universidade dos AçoresCouto, GualterBrandão, Rita MarquesRoque, Nuno2018-10-04T17:10:58Z2009-122009-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/4828engCouto, Gualter; Brandão, Rita M.; Roque, Nuno (2009). Portfolio performance evaluation: the case of the portuguese mutual funds market, “Working Paper Series”, 14, 17 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-12-20T14:33:04Zoai:repositorio.uac.pt:10400.3/4828Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:10.064890Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Portfolio performance evaluation : the case of the portuguese mutual funds market
title Portfolio performance evaluation : the case of the portuguese mutual funds market
spellingShingle Portfolio performance evaluation : the case of the portuguese mutual funds market
Couto, Gualter
CFG Model
Conditional Performance
Mutual Funds
title_short Portfolio performance evaluation : the case of the portuguese mutual funds market
title_full Portfolio performance evaluation : the case of the portuguese mutual funds market
title_fullStr Portfolio performance evaluation : the case of the portuguese mutual funds market
title_full_unstemmed Portfolio performance evaluation : the case of the portuguese mutual funds market
title_sort Portfolio performance evaluation : the case of the portuguese mutual funds market
author Couto, Gualter
author_facet Couto, Gualter
Brandão, Rita Marques
Roque, Nuno
author_role author
author2 Brandão, Rita Marques
Roque, Nuno
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade dos Açores
dc.contributor.author.fl_str_mv Couto, Gualter
Brandão, Rita Marques
Roque, Nuno
dc.subject.por.fl_str_mv CFG Model
Conditional Performance
Mutual Funds
topic CFG Model
Conditional Performance
Mutual Funds
description In this work, we investigate the portfolio performance evaluation of Portuguese mutual funds market. For that purpose, we used different models with daily data, where we tested different hypotheses: the existence of alphas with or without selectivity, and the existence of betas with or without timing. There are differences induced by the use of unconditional and conditional models based on non-temporal variation in profitability and risk. The results suggest that fund managers have some capacities of selectivity but not of timing.
publishDate 2009
dc.date.none.fl_str_mv 2009-12
2009-12-01T00:00:00Z
2018-10-04T17:10:58Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.3/4828
url http://hdl.handle.net/10400.3/4828
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Couto, Gualter; Brandão, Rita M.; Roque, Nuno (2009). Portfolio performance evaluation: the case of the portuguese mutual funds market, “Working Paper Series”, 14, 17 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade dos Açores
publisher.none.fl_str_mv Universidade dos Açores
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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