[PDF] Top 20 Portfolio performance evaluation : the case of the portuguese mutual funds market

... been the subject of several studies since the nineteenth-twenties, but it was the work “Portfolio Theory” of Markowitz (1952) that related risk and profitability in a rational ... See full document

... is the parametric tests developed by Merton and Henriksson in ...analyze the two performance components, namely selectivity and market timing, by using market and portfolio ... See full document

... portfolios of Retail, Institutional funds and both category funds, obtained by the regression of the full conditional one-factor Model [5] with the S&P 500 ... See full document

... The mutual fund market worldwide has increased exponentially in the last decades and several studies have been conducted in an attempt to evaluate how mutual funds perform and ... See full document

... to the process which allows investor to make an investment into companies or an asset which meet several ...In the case of Islamic mutual funds, qualitative and quantitative ... See full document

... The performance and strategy of mutual funds is probably one of the most interesting topics in Finance and has always been discussed by both academics and ...question. ... See full document

... investigating the relation between other variables and bear ...small funds have higher performance regardless of the economic ...However, the Chen et ...knowledge of ... See full document

... about the results obtained in this study. The first observation is related to the performance of the ...all the models (excluding the alpha of the ... See full document

... Interpreting the benchmarks coefficients, at a 5% level of significance, for the ‘Overall Portfolio’, ‘LC Convertible Portfolio’, ‘LC Corporate Portfolio’ and the ‘LC ... See full document

... Furthermore, the underperformance of a bond fund engaging in trading activity relative to relevant benchmarks should be, ceteris paribus, equal to the transaction costs incurred by trading ... See full document

... outperform the market, Endowment funds show poor performance, which could indicate strong regulation imposition over endowment funds ...portfolios. The size of a fund ... See full document

... across the sample in bull market. This finding is inconsistent with the results of the work made by Falkenstein (1996) and Gompers and Metrick ...that mutual fund managers prefer ... See full document

... testing of the Miller (1977) hypothesis has been also undertaken on the IPO ...In the IPO market short selling is constrained even though the restriction is steadily removed over ... See full document

... A mutual fund is an investment company that pools the money of various investors and buys and manages diversified portfolio ...type of investment have become an invaluable tool for a ... See full document

... average portfolio turnover (TURN) also does not seem to be a characteristic impacting the excess return of bond funds and money market ...level of) in 3 of the 4 ... See full document

... The performance evaluation literature regarding actively managed mutual funds has been broadly debated in the last few decades, and is a critical aspect in investors’ ... See full document

... In the below table, we present the results of the regressions regarding the Turn of Month ...that the turn of month effect is very strong in the ... See full document

... displays the results for the indices of ...as the best solution to increase international competitiveness of the Portuguese economy to the extent that it is ... See full document

... identified, the CA was then mostly concerned with the effects of the merger on the referred Optimus-Vodafone joint ...Given the overlap between Zon’s network and Optimus’ fiber ... See full document

... test the hypotheses using as a laboratory international ...These funds face a diverse trading environment and investor ...be the reason for diminishing returns to scale observed in ...domestic ... See full document