Performance analysis of Portuguese equity mutual funds: Indexing vs active portfolio management

• Autor(a) principal: Ribeiro, Alexandra João Santana
• Data de Publicação: 2011
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/7284
• topic: Investment companies; Performance appraisal; Mutual funds; Portfolio strategies; Indexing; Active management; Avaliação de desempenho; Fundos de investimento; Estratégias de carteira; Gestão passiva; Gestão activa

The present thesis was done with the objective of analyzing the portfolio management strategies followed by managers of Portuguese Equity Funds, using the PSI Geral as the benchmark. Thus, the quarter returns and compositions of portfolio were used. The market timing ability and the variables that may have influenced tracking error (vs. PSI Geral) were also analyzed. The main conclusion was that just 1 fund managed to put successfully into practice the active portfolio management, obtaining returns above PSI Geral. The same happened with passive portfolio management, where only 1 fund was able to replicate the benchmark. The other funds opted initially for active or passive strategy but, in the end of the period considered, their performances were below the benchmark, with negative excess returns, even unable to replicate the PSI Geral. It was concluded also that there are several variables that have impact on performance of these funds, and consequently the portfolio management strategy, chosen by manager. These variables are particularly the systematic risk of the fund (beta), the benchmark volatility, percentage of PSI Geral stocks held in portfolio, weight of the stocks in portfolio, number of stocks above of the concentration ratio and number of common stocks between funds and benchmark, above of the concentration ratio.