Business and Economic Horizons

  Previous Article | Back to Volume | Next Article
  Abstract | References | Citation | Download | Preview | Statistics
Volume 15
Issue 2
Online publication date 2019-04-16
Title Evaluating investment fund performance in Portugal
Author Fatima Amaral, Pedro Reis, Pedro Pinto
The investment fund market has not only attracted increasing interest from investors seeking alternative investments but has also become increasingly important among professionals and academics. Within this framework, this study seeks to contribute to the research developed through identifying the inducers of investment fund performance in Portugal. The sample consists of 78 funds, covering the timeframe from 2006 to 2016, incorporating stock funds, bond funds, mixed funds and treasury funds analysed in accordance with the panel data methodology. This work finds variables such as risk, rotation, size, age, interest rates, commissions and benchmarks as highly significant determinants of mutual fund performance and when followed by mutual fund managers, may enhance their returns. The originality and value of the work stands on completing certain gaps and deepen knowledge about the Portuguese market, carrying out additional research on the funds marketed in Portugal, focusing on a more diversified asset market, expanding both the number of funds under study and the sampling period while seeking to identify the most relevant factors for performance and how they condition it. The main limitation of this study stems from the difficulties of collecting information due to limitations imposed by current data protection legislation, which restricted both the scope and the depth of analysis. When choosing the Portuguese context, we face constraints in comparison with studies made in more developed contexts where this theme has been studied for a longer period of time.

APFIP (n.d.). Associação Portuguesa Fundos Investimento (2007 a 2016) [Portuguese Association of Investment Funds]; “Relatório Estatístico Mensal”, Retrieved May 15, 2018, from

Babalos, B., Mamatzakis, C. E., & Matousek, R. (2015). The performance of US equity mutual funds. Journal of Banking and Finance, 52, 217-229.

Bauer, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking  and Finance, 29(7), 1751-1767.

Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112 (6), 1269-1295.

Bessler, W., Kryzanowski, L., Kurmann, P., & Lückoff, P. (2016). Capacity effects and winner fund performance: the relevance and interactions of fund size and family characteristics. The European Journal of Finance, forthcoming, 22(1), 1-27.

Blake, D., & Timmermann, A. (1998). Mutual fund performance: Evidence from the UK. European Finance Review, 2, 57-67.

Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, LII (1), 57-82.

Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. The American Economic Review, 94(5), 1276-1302.

Ciccotello, C.S. (1996). Equity Fund Size and Growth: Implications for Performance and Selection. Financial Services Review, 5(1), 1-12.

Cici, G., Dahm, L. K., & Kempf, A. (2018). Trading efficiency of fund families: Impact on fund performance and investment behavior. Journal of Banking and Finance, 88, 1-14.

Clare, A., (2017). The performance of long-serving fund managers. International Review of Financial Analysis, 52, 152-159.

CMVM (1999; 2002; 2006-2016). Comissão do Mercado de Valores Mobiliários [Portuguese Securities Market Commission]. Retrieved May 15, 2018, from  de

Dahlquist, M., Engstrom, S., & Soderlind, P. (2000). Performance and characteristics of Swedish mutual funds. Journal of Financial and Quantitative Analysis, 35(3), 409-423.

Dietze, L. H.; Entrop, O. & Wilkens, M. (2009). The performance of investment grade corporate bond funds: evidence from the European market. The European Journal of Finance, 15(2), 191-20.9.

Drago, D., Lazzari, V., & Navone, M. (2010). Mutual fund incentive fees: Determinants and effects. Financial Management, Spring 2010, 365-392.

Droms, W. G., & Walker, D. A. (1996). Mutual fund investment performance. The Quarterly Review of Economics and Finance, 36(3), 347-363.

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.

Ferreira, M. A., Keswani, A., Miguel, A. F., & Ramos, S. B. (2012). “The flowperformance relationship around the world”. Journal of Banking and Finance, 36, 1759-1780.

Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. The Journal of finance, 51(2), 425-461.

Gil-Bazo, J., & Ruiz-Verdu, P. (2009). Yet another puzzle? The relation between price and performance in the mutual fund industry. Journal of Finance, 64, 2153-2183.

Glosten, L., & Harris, L. (1988). Estimating the components of the bid-ask spread. Journal of Financial Economics, 21, 123-142.

Golec, J. H (1996). The Effects of mutual fund managers’ characteristics on their portfolio performance, risk and fees. Financial Services Review, 5(2), 133-148.

Greene, W. H. (2002). The behavior of the fixed effects estimator in nonlinear models (NYU Working Paper No. EC-02-05). New York University.

Grinblatt, M. & Titman, S. (1994). A study of monthly mutual funds returns and performance evaluation techniques. Journal of Financial and Quantitative Analysis, 29(3), 419-444.

Hornstein, A. S., & Hounsell, J. (2016). Managerial investment in mutual funds: Determinants and performance implications. Journal of Economics and Business, 87, 8-34.

Ippolito, R. A. (1989). Efficiency with costly information: A study of mutual fund performance, 1965-1984. The Quarterly Journal of Economics, 104(1), 1-23.

Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23(2), 389-416.

Leite, P., & Cortez, M. C. (2017). The conditional performance of Euro bond funds: evidence from Portugal during the debt crisis. Revista Espanola De Financiacion y Contabilidad [Spanish Journal of Finance and Accounting], 46(2), 212-226.

Leite, P., Cortez, M., & Armada, M. (2009). Measuring fund performance using multi-factor models: evidence for the Portuguese market. International Journal of Business, 14(3), 175-198.

Low, S. (2012). On the relation between fund performance and characteristics of Malaysian Unit Trust Fund. Prague Economic Papers, 21(2), 205-219.

Makni, R., Benouda O., & Delhoumi E., (2016). International evidence on Islamic equity fund characteristics and performance persistence. Review of Financial Economics, 31, 75-82.

Malkiel, B. G. (1995). Returns from investing in equity mutual funds 1971 to 1991. The Journal of finance, 50(2), 549-572.

MFP (1965). Decree of Law No. 46302/65, Ministry of Finance of Portugal, Government Gazette No. 92/1965, Series I of 1965-04-27.

MFA (1967). Decree of Law no. 47571/67, Ministry of Foreign Affairs, Government Gazette no. 52/1967, Series I of 1967-03-02.

Moneta, F. (2015). Measuring bond mutual fund performance with portfolio characteristics. Journal of Empirical Finance, 33, 223-242.

Otten, R., & Bams, D. (2002). European Mutual Fund Performance. European Financial Management, 8(1), 75-101.

Phillips, B., Pukthuanthong, K., & Rau, P. R. (2017). Size does not matter: diseconomies of scale in the mutual fund industry revisited. Journal of Banking and Finance, 88, 357-365.

Pollet, J., & Wilson, M. (2008). How does size affect mutual fund behavior? Journal of Finance, 63, 2841-2969.

Prather, L., Bertin, W. J., & Henker, T. (2004). Mutual funds characteristics, managerial attributes, and fund performance. Review of Financial Economics, 13, 305-326.

Ramasamy, B., & Yeung, M. C. H. (2003). Evaluating mutual funds in an emerging market: factors that matter to financial advisors. The International Journal of Bank Marketing, 21(3), 122-136.

Redman, A. L., & Gullett, N. S. (2007). Impact of fund, management and market characteristics on bond mutual fund performance. Journal of Asset Management, 7(6), 429-442.

Stafylas, D., Anderson, K. & Uddin, M. (2016). Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factos. International Review of Financial Analysis 43, 48-61.

Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695.

Yan, X. (2008). Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, 43, 741-768
Keywords Investment funds, inductors, performance
Pages 187-204
Download Full PDF Download
  Previous Article | Back to Volume | Next Article
Search in articles
Journal Published articles
BEH 598
Journal Hits
BEH 1319359
Journal Downloads
BEH 45143
Total users online -