Revista Egitania Sciencia - Volume 10 | ARTICLE

Title: PORTFOLIO PERFORMANCE EVALUATION: THE CASE OF THE PORTUGUESE MUTUAL STOCK FUNDS MARKET

Author: Gualter Couto (gcouto@ uac.pt), Rita M. Brandão (rita@uac.pt) e Nuno Roque (nunoroque67@gmail.com)

Publication: Revista Egitania Sciencia - Volume 10

Abstract:
In this study, we investigate the portfolio performance evaluation of the Portuguese mutual stock funds market. For that purpose, we used different models with daily data, for which 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.

Keywords: Conditional performance, mutual stock funds, CFG model, selectivity, timing




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