Conditional models in performance evaluation of investment funds in Portugal: selectivity and market timing (daily vs. monthly analysis)

Afonso, Osvaldo; Rodrigues, Paulo M. M.; Viegas, Cristina

http://hdl.handle.net/10400.1/4807

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Authors

Afonso, Osvaldo

Rodrigues, Paulo M. M.

Viegas, Cristina

Abstract(s)

Investment funds’ performance evaluation is one area of finance which has observed many developments over the past 40 years. In this field, traditional techniques of evaluation have not made use of models of conditional returns. These approaches do not allow for the temporal dependence of expected returns. To overcome this problem, Ferson and Schadt (1996) developed a new conditional performance evaluation approach. The present work applies the methodology of Ferson and Schadt (1996) on a sample of 32 Portuguese investment funds observed from 31 December 2005 to 31 December 2013, with the objective to evaluate the performance of these investment funds, in the terms of selectivity and market timing, based on daily and monthly data.

Keywords

Conditional performance evaluation Market timing Investment funds Selectivity Conditional models

URI

http://hdl.handle.net/10400.1/4807

Citation

Afonso, Osvaldo; Rodrigues, Paulo, M.M.; Viegas, Cristina. Conditional Models in Performance Evaluation of Investment Funds in Portugal: Selectivity and Market Timing (daily vs. monthly analysis), Trabalho apresentado em Portuguese Finance Network 8th Finance Conference, In Proceedings of the 8th Portuguese Finance Network Conference, Loulé (Vilamoura), 2014