Conditioning information in mutual fund performance evaluation: Portuguese evidence

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and consider stochastically detrended conditional variables in order to avoid spurious regressions. The results suggest that mutual fund managers are not able to outperform the market, presenting negative or neutral performance. The incorporation of conditioning information in performance evaluation models is supported by our findings, as it improves the explanatory power of the models and there is evidence of both time-varying betas and alphas related to the public information variables. It is also shown that the number of lags to be used in the stochastic detrending procedure is a critical choice, as it will impact the significance of the conditioning information. In addition, we observe a distance effect, since managers who invest locally seem to outperform those who invest in the European market. However, after controlling for public information, this effect is slightly reduced. Furthermore, the results suggest that survivorship bias has a small impact on performance estimates.

The use of quantitative performance information by local elected politicians in top managers’ performance evaluation: case studies

This paper studies the use of results oriented performance information (outputs and outcomes) by local elected politicians (aldermen) in top managers’ performance evaluation. The main goal is to understand the top managers’ performance evaluation process conducted by Portuguese aldermen and to identify the dominant evaluation style. In line with Bogt (2001), an exploratory field research was developed in three large municipalities: Porto, Braga and Matosinhos. We intend to answer the following research questions: to what extent are local politicians (aldermen) 1 using results information (about outputs and outcomes) to evaluate top managers’ performance? Do aldermen give any importance to quantitative output information and report them on current planning and control documents? Will the output performance information be used on performance evaluation in a different way concerning policy field (task orientation)? Based on the Hopwood evaluation styles (adapted from the private to the public sector by Bogt, 2001), we have found that the performance evaluation process of top managers is more featured by the ‘operations-conscious styles’ (or ‘implicit style’). Portuguese aldermen recognize the importance to quantify outputs and outcomes, but these days they focus on the information about activities and the realized operations when they evaluate performance. We haven´t found significant differences between different tasks (some exceptions for culture and environment areas). However, the municipality of Matosinhos paid more attention on quantitative performance information. This finding is reinforced by the quality of quantitative data on outputs reported on its management report. Generally speaking, aldermen are aware that more attention should be paid to quantitative information about results and performance, taking into account recent reforms introduced in Portuguese municipalities (PLG) on this field, but the ‘implicit’ style is dominant.

Measuring fund performance using multi-factor models: evidence for the Portuguese market

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level.

Style and performance of international socially responsible funds in Europe

This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.In general, the results show that differences in the performance of international SRI funds and their conventional peers are not statistically significant. Regarding investment styles, SRI and conventional funds exhibit similar factor exposures in most cases. In addition,conventional benchmarks present a higher explaining power of SRI fund returns than SRI benchmarks. Our results also show significant differences in the investment styles of SRI funds according to whether they use “best-in-class” screening strategies or not. When compared to SRI funds that employ simple negative and/or positive screens, SRI “best-in-class” funds present significantly lower exposures to small caps and momentum strategies and significantly higher exposures to local stocks.

Performance of european socially responsible funds during market crises: evidence from France

This paper investigates the performance, investment styles andmanagerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperformcharacteristics-matched conventional funds during non-crisis periods, but match the performance of their peers duringmarket downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens, since funds that use only positive screens performsimilarly to conventional funds across differentmarket conditions. SRI and conventional funds showsignificant differences in risk exposures during non-crisis periods but exhibit much more similar investment styles during crises. Furthermore,we find little evidence of significant differences inmanagerial abilities during bad economic states. Yet, during non-crisis periods, SRI and conventional fund managers exhibit significantly different style-timing abilities and these differences are also related to screening strategies.

Foucault’s Perspective of Performance Appraisal in Public Administration

The main purpose of performance appraisal in organizations is, or should be, to improve the engagement, learning process and progress of the employees and to align individual with team and organizational performance. However, performance appraisal can also be interpreted as an instrument of normalization, discipline and surveillance. This study thus aims to explore and discuss the complex schema of intrinsic and extrinsic objectives of performance appraisal system of the Portuguese public organizations (SIADAP - Performance Evaluation Integrated System). We have developed an exploratory and qualitative case study to capture appraisers and appraises perceptions. The data were analyzed in light of foucauldian theories. According to the qualitative data, namely the discourses of the appraisers and their subordinates, the SIADAP is seen as an instrument of control and dominance that aims to introduce political rationalities, limiting the career progression of the employees. Though some key points of Foucault’s perspective were identified, foucauldian framework revealed some limitations to capture all the complexity inherent to performance appraisal. This study opens new perspectives about the SIADAP and can be of major importance as far as political reflection about performance appraisal in public organizations is concerned.

The impact of the Eurozone sovereign debt crisis on bond fund performance persistence: Evidence from a small market

We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing bond fund performance persistence. Our results show that bond funds underperform significantly both during crisis and non-crisis periods. Besides, we find strong evidence of performance persistence, for both short- and longer-term horizons, during non-crisis periods but not during the debt crisis. In this way, the persistence phenomenon in small markets seems to occur only during non-crisis periods and this is valuable information for bond fund investors to exploit.

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis subperiod. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies, which reflect an increase in managers’ risk aversion.

The conditional performance of euro bond funds: evidence from Portugal during the debt crisis

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.

Towards the design of efficient nonbeacon-enabled ZigBee networks

This paper presents experimental results of the communication performance evaluation of a prototype ZigBee-based patient monitoring system commissioned in an in-patient floor of a Portuguese hospital (HPG – Hospital Privado de Guimar~aes). Besides, it revisits relevant problems that affect the performance of nonbeacon-enabled ZigBee networks. Initially, the presence of hidden-nodes and the impact of sensor node mobility are discussed. It was observed, for instance, that the message delivery ratio in a star network consisting of six wireless electrocardiogram sensor devices may decrease from 100% when no hidden-nodes are present to 83.96% when half of the sensor devices are unable to detect the transmissions made by the other half. An additional aspect which affects the communication reliability is a deadlock condition that can occur if routers are unable to process incoming packets during the backoff part of the CSMA-CA mechanism. A simple approach to increase the message delivery ratio in this case is proposed and its effectiveness is verified. The discussion and results presented in this paper aim to contribute to the design of efficient networks,and are valid to other scenarios and environments rather than hospitals.