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.

Mutual Fund Performance Evaluation

A narrow review on mutual fund performance evaluation methods.

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.

Improved inference in the evaluation of mutual fund performance using bootstrap methods

Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for by using panel bootstrap methods. We also augment the standard benchmark factors with fund-specific characteristics, such as fund size. Using a dataset of UK equity mutual fund returns, we find that fund size has a negative effect on the average fund manager’s benchmark-adjusted performance. Further, when we allow for time effects and the non-normality of fund returns, we find that there is no evidence that even the best performing fund managers can significantly out-perform the augmented benchmarks after fund management charges are taken into account.

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.

The Persistence of Finnish Equity Fund Performance

Tutkimuksen tavoitteena on selvittää, esiintyykö suomeen sijoittavilla osakerahastoilla menestyksen pysyvyyttä. Tutkimusaineisto koostuu kaikista suomalaisista osakerahastoista, jotka toimivat ajanjaksolla 15.1.1998-13.1.2005. Aineisto on vapaa selviytymisvinoumasta. Suorituskyvyn mittareina käytetään CAPM-alfaa sekä kolmi- ja nelifaktori-alfaa. Empiirisessä osassa osakerahastojen menestyksen pysyvyyttä testataan Spearmanin järjestyskorrelaatiotestillä. Evidenssi menestyksen pysyvyydestä jäi vähäiseksi, vaikkakin sitä esiintyi satunnaisesti kaikilla menestysmittareilla joillakin ranking- ja sijoitusperiodin yhdistelmillä. CAPM-alfalla tarkasteltuna tilastollisesti merkitsevää menestyksen pysyvyyttä esiintyi selvästi useammin kuin muilla menestysmittareilla. Tulokset tukevat viimeaikaisia kansainvälisiä tutkimuksia, joiden mukaan menestyksen pysyvyys riippuu usein mittaustavasta. Menestysmittareina käytettyjen regressiomallien merkitsevyystestit osoittavat multifaktorimallien selittävän osakerahastojen tuottoja CAPM:a paremmin. Lisätyt muuttujat parantavat merkittävästi CAPM:n selitysvoimaa.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

The persistence of real estate fund performance

This paper examines the short and long-term persistence of tax-exempt real estate funds in the UK through the use of winner-loser contingency table methodology. The persistence tests are applied to a database of varying numbers of funds from a low of 16 to a high of 27 using quarterly returns over the 12 years from 1990 Q1 to 2001 Q4. The overall conclusion is that the real estate funds in the UK show little evidence of persistence in the short-term (quarterly and semi-annual data) or for data over a considerable length of time (bi-annual to six yearly intervals). In contrast, the results are better for annual data with evidence of significant performance persistence. Thus at this stage, it seems that an annual evaluation period, provides the best discrimination of the winner and loser phenomenon in the real estate market. This result is different from equity and bond studies, where it seems that the repeat winner phenomenon is stronger over shorter periods of evaluation. These results require careful interpretation, however, as the results show that when only small samples are used significant adjustments must be made to correct for small sample bias and second the conclusions are sensitive to the length of the evaluation period and specific test used. Nonetheless, it seems that persistence in performance of real estate funds in the UK does exist, at least for the annual data, and it appears to be a guide to beating the pack in the long run. Furthermore, although the evidence of persistence in performance for the overall sample of funds is limited, we have found evidence that two funds were consistent winners over this period, whereas no one fund could be said to be a consistent loser.

Comparative performance evaluation of hepatitis C virus genotyping based on the 5' untranslated region versus partial sequencing of the NS5B region of brazilian patients with chronic hepatitis C

Background Genotyping of hepatitis C virus (HCV) has become an essential tool for prognosis and prediction of treatment duration. The aim of this study was to compare two HCV genotyping methods: reverse hybridization line probe assay (LiPA v.1) and partial sequencing of the NS5B region. Methods Plasma of 171 patients with chronic hepatitis C were screened using both a commercial method (LiPA HCV Versant, Siemens, Tarrytown, NY, USA) and different primers targeting the NS5B region for PCR amplification and sequencing analysis. Results Comparison of the HCV genotyping methods showed no difference in the classification at the genotype level. However, a total of 82/171 samples (47.9%) including misclassification, non-subtypable, discrepant and inconclusive results were not classified by LiPA at the subtype level but could be discriminated by NS5B sequencing. Of these samples, 34 samples of genotype 1a and 6 samples of genotype 1b were classified at the subtype level using sequencing of NS5B. Conclusions Sequence analysis of NS5B for genotyping HCV provides precise genotype and subtype identification and an accurate epidemiological representation of circulating viral strains.

Conditional performance evaluation and the relevance of money flows for Australian international equity funds

This paper assesses the importance of fund flows in the performance evaluation of Australian international equity funds. Two concepts of fund flows are considered in the context of a conditional asset pricing model. The first measure is net fund flow relative to fund size and the second is net fund flow relative to sector flows. We find that incorporating a fund flow measure relative to the sector flow results in a reduction of measured perverse market timing. The results indicate that, at the individual fund level, cash flows are relevant in assessing management outcomes.

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.

Avaliação do desempenho anaeróbio de atletas de rugby em cadeira de rodas = : Anaerobic performance evaluation of wheelchair rugby athletes

Universidade Estadual de Campinas . Faculdade de Educação Física

Performance evaluation and phylogenetic characterization of anaerobic fluidized bed reactors using ground tire and pet as support materials for biohydrogen production

This study evaluated two different support materials (ground tire and polyethylene terephthalate [PET]) for biohydrogen production in an anaerobic fluidized bed reactor (AFBR) treating synthetic wastewater containing glucose (4000 mg L(-1)). The AFBR, which contained either ground tire (R1) or PET (R2) as support materials, were inoculated with thermally pretreated anaerobic sludge and operated at a temperature of 30 degrees C. The AFBR were operated with a range of hydraulic retention times (HRT) between 1 and 8 h. The reactor R1 operating with a HRT of 2 h showed better performance than reactor R2, reaching a maximum hydrogen yield of 2.25 mol H(2) mol(-1) glucose with 1.3 mg of biomass (as the total volatile solids) attached to each gram of ground tire. Subsequent 16S rRNA gene sequencing and phylogenetic analysis of particle samples revealed that reactor R1 favored the presence of hydrogen-producing bacteria such as Clostridium, Bacillus, and Enterobacter. (C) 2010 Elsevier Ltd. All rights reserved.

Performance evaluation of packing materials in the removal of hydrogen sulphide in gas-phase biofilters: Polyurethane foam, sugarcane bagasse, and coconut fibre

The main objective of this work was to investigate three packing materials (polyurethane foam, sugar-cane bagasse, and coconut fibre) for biofiltration of a gaseous mixture containing hydrogen sulphide (H(2)S). Mixed cultures were obtained from two sources, aerated submerged biofilters and activated sludge, and were utilised as inoculums. Biofilters reached 100% removal efficiency after two clays of operation. The empty bed residence time was 495 for each of the biofilters. The reactors were operated simultaneously, and the inlet concentrations of H(2)S varied between 184 and 644 ppmv during the long-term continuous operation of the biofilters (100 clays). Average removal efficiencies remained above 99.3%, taking into consideration the entire period of operation. Average elimination capacities reached by the biofilters packed with polyurethane foam, coconut fibre, and sugarcane bagasse were in the range of 17.8-66.6; 18.9-68.8, and 18.7-72.9g m(-3) h(-1), respectively. Finally, we concluded that the packing materials tested in this work are appropriate for the long-term biofiltration of hydrogen sulphide. (C) 2010 Elsevier B.V. All rights reserved.

Permeability optimization and performance evaluation of hot aerosol filters made using foam incorporated alumina suspension

Porous ceramic samples were prepared from aqueous foam incorporated alumina suspension for application as hot aerosol filtering membrane. The procedure for establishment of membrane features required to maintain a desired flow condition was theoretically described and experimental work was designed to prepare ceramic membranes to meet the predicted criteria. Two best membranes, thus prepared, were selected for permeability tests up to 700 degrees C and their total and fractional collection efficiencies were experimentally evaluated. Reasonably good performance was achieved at room temperature, while at 700 degrees C, increased permeability was obtained with significant reduction in collection efficiency, which was explained by a combination of thermal expansion of the structure and changes in the gas properties. (C) 2008 Elsevier B.V. All rights reserved.