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.

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.

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.

Collecting system percutaneous access using real-time tracking sensors: first pig model in vivo experience

Purpose: Precise needle puncture of the renal collecting system is an essential but challenging step for successful percutaneous nephrolithotomy. We evaluated the efficiency of a new real-time electromagnetic tracking system for in vivo kidney puncture. Materials and Methods: Six anesthetized female pigs underwent ureterorenoscopy to place a catheter with an electromagnetic tracking sensor into the desired puncture site and ascertain puncture success. A tracked needle with a similar electromagnetic tracking sensor was subsequently navigated into the sensor in the catheter. Four punctures were performed by each of 2 surgeons in each pig, including 1 each in the kidney, middle ureter, and right and left sides. Outcome measurements were the number of attempts and the time needed to evaluate the virtual trajectory and perform percutaneous puncture. Results: A total of 24 punctures were easily performed without complication. Surgeons required more time to evaluate the trajectory during ureteral than kidney puncture (median 15 seconds, range 14 to 18 vs 13, range 11 to 16, p ¼ 0.1). Median renal and ureteral puncture time was 19 (range 14 to 45) and 51 seconds (range 45 to 67), respectively (p ¼ 0.003). Two attempts were needed to achieve a successful ureteral puncture. The technique requires the presence of a renal stone for testing. Conclusions: The proposed electromagnetic tracking solution for renal collecting system puncture proved to be highly accurate, simple and quick. This method might represent a paradigm shift in percutaneous kidney access techniques

Collecting system percutaneous access using real-time tracking sensors: first pig model in vivo experience

Purpose: Precise needle puncture of the renal collecting system is an essential but challenging step for successful percutaneous nephrolithotomy. We evaluated the efficiency of a new real-time electromagnetic tracking system for in vivo kidney puncture. Materials and Methods: Six anesthetized female pigs underwent ureterorenoscopy to place a catheter with an electromagnetic tracking sensor into the desired puncture site and ascertain puncture success. A tracked needle with a similar electromagnetic tracking sensor was subsequently navigated into the sensor in the catheter. Four punctures were performed by each of 2 surgeons in each pig, including 1 each in the kidney, middle ureter, and right and left sides. Outcome measurements were the number of attempts and the time needed to evaluate the virtual trajectory and perform percutaneous puncture. Results: A total of 24 punctures were easily performed without complication. Surgeons required more time to evaluate the trajectory during ureteral than kidney puncture (median 15 seconds, range 14 to 18 vs 13, range 11 to 16, p ¼ 0.1). Median renal and ureteral puncture time was 19 (range 14 to 45) and 51 seconds (range 45 to 67), respectively (p ¼ 0.003). Two attempts were needed to achieve a successful ureteral puncture. The technique requires the presence of a renal stone for testing. Conclusions: The proposed electromagnetic tracking solution for renal collecting system puncture proved to be highly accurate, simple and quick. This method might represent a paradigm shift in percutaneous kidney access techniques.