The determinants of mutual fund performance: A cross-country study

We use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Measuring the impact of short and lending practices using the DGTW benchmarks

Mutual fund managers increasingly lend their holdings and/or use short sales to generate higher returns for their funds. This project presents a first look into the impact these practices on performance using the performance measures: i) Characteristic Selectivity (CS), the ability of the fund's managers to choose stocks that outperform their benchmarks; ii) Characteristic Timing (CT), the ability of the manager to time the market; iii) and Average Style (AS), the returns from funds systematically holding stocks with certain characteristics. These returns are computed through the DGTW benchmarks. The effect of other variables that have also been shown to impact fund’s returns – total net assets under management, investment styles, turnover and expense ratios – will also be analyzed. I find that managers who use short-sales do not exhibit better stock picking abilities than those who do not, while mutual funds that lend do present higher CS returns. In addition, while lending is not significant for the total performance of a fund, the employment of short-sales and of both short-sales and lending has a negative impact on the fund’s performance.

The flow-performance relationship around the world

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher country-level convexity is positively associated with higher levels of risk taking by fund managers.

Indexing and active fund management: International evidence

Author's pre-print

Pricing of exchange traded funds

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

Services innovation and economic performance: An analysis at the firm

In this paper we estimate a model linking innovation effort and economic performance, along the lines of the Mairesse and Mohnen (2003) model. We examine this relationship in the context of services sectors instead of Research and Development intensive manufacturing sectors. Much effort has already been made to explore the innovation-performance relationship for manufacturing sectors but it is still much understudied for services, particularly for Portugal. In this paper we aim to take a step in fulfilling this gap. We use new firm level data for ten services sectors from the Second Community Innovation Survey of Portugal, to estimate the model.

Case study: Estratégia de aplicação de ferramentas de apoio à gestão da performance humana em ambientes Lean

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do Grau de Mestre em Engenharia Industrial

High-performance flexible hybrid field-effect transistors based on cellulose fiber paper

IEEE Electron Device Letters, VOL. 29, NO. 9,

Effect of fungal colonization on mechanical performance of cork

The industrialization of traditional processes relies on the scientific ability to understand the empirical evidence associated with traditional knowledge. Cork manufacturing includes one operation known as stabilization, where humid cork slabs are extensively colonized by fungi. The implications of fungal growth on the chemical quality of cork through the analysis of putative fungal metabolites have already been investigated. However, the effect of fungal growth on the mechanical properties of cork remains unexplored. This study investigated the effect of cork colonization on the integrity of the cork cell walls and their mechanical performance. Fungal colonization of cork by Chrysonilia sitophila, Mucor plumbeus Penicillium glabrum, P. olsonii, and Trichoderma longibrachiatum was investigated by microscopy. Growth occurred primarily on the surface of the cork pieces, but mycelium extended deeper into the cork layers, mostly via lenticular channels and by hyphal penetration of the cork cell wall. In this first report on cork decay in which specific correlation between fungal colonization and mechanical proprieties of the cork has been investigated, all colonizing fungi except C. sitophila, reduced cork strength, markedly altering its viscoelastic behaviour and reducing its Young’s modulus.

Design and performance evaluation of turbo FDE receivers

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Life-cycle performance of structures: combining expert judgment and results of inspection

Life-Cycle Civil Engineering – Biondini & Frangopol

Developing and implementing an environmental performance index for the Portuguese military

Business Strategy and the Environment nº 15, p. 71–86

The state of environmental performance evaluation in the public sector: the case of the Portuguese defence sector

Journal of Cleaner Production, nº 17, p. 36-52