• Júlio Lobão Faculdade de Economia da Universidade do Porto
  • Sofia Cruz Gomes Faculdade de Economia da Universidade do Porto
Palavras-chave: fundos de investimento, características dos fundos, dados em painel, desempenho ajustado ao risco, Portugal


In this paper we aim to study the relation between fund performance and fund attributes in the Portuguese market. The sample includes 124 equity funds, bond funds and money market funds that traded in the 2004-2011 period. A comprehensive set of fund-specific characteristics, never used before in conjunction in the literature, was considered. The methodology which was adopted had two distinct phases. Firstly, we compared the returns of each category of funds with the appropriate reference markets. Secondly, the fund performance, measured by the Jensen’s alpha, was used in a multi-factor model with panel data in which the independent variables were the fund attributes. The results show that Portuguese funds were, in general, not able to beat the benchmarks which is consistent with the existence of efficient financial markets. Only the fixed income mutual funds performed well. Moreover, it is possible to conclude that, for each category of mutual funds, their characteristics are useful to the investor in the moment of choosing the best funds. For example, in the case of funds that invest in Portuguese stocks, the best performance occurs among older and larger funds, funds with higher costs, funds with good past performance and funds whose trading activity is low.


Não há dados estatísticos.

Biografia do Autor

Júlio Lobão, Faculdade de Economia da Universidade do Porto
Professor de Finanças na Faculdade de Economia da Universidade do Porto
Sofia Cruz Gomes, Faculdade de Economia da Universidade do Porto
Master in Finance pela Faculdade de Economia da Universidade do Porto


BAUER, R. International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, v. 29, n. 7, p. 1751-1767, 2005.

BERK, J. B.; GREEN, R. C. Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, v. 112, n. 6, p. 1269-1295, 2004.

BESSLER, W. et al. Capacity effects and winner fund performance: the relevance and interactions of fund size and family characteristics. European Journal of Finance, forthcoming.

BLAKE, D.; TIMMERMANN, A. Mutual Fund Performance: Evidence from the UK. European Finance Review, v. 2, p. 57-67, 1998.

BROWN, S. J.; GOETZMANN, W. N. Performance Persistence. Journal of Finance, v. 50, n. 2, p. 679-698, 1995.

CARHART, M. M. On Persistence in Mutual Fund Performance. Journal of Finance, v. 52, n.1, p. 57-82, 1997.

CHEN, J. et al. Does Fund Size Erode Mutual Fund Performance? The role of Liquidity and Organization. American Economic Review, v. 94, n. 5, p. 1276-1302, 2004.

CHORDIA, T. The structure of mutual funds charges. Journal of Financial Economics, v. 41, p. 3-39, 1996.

CHUI, A., TITMAN, S.; WEI, K. C. J. Individualism and Momentum around the World. Journal of Finance, v. 65, n. 1, p. 361-392, 2010.

CICCOTELLO, C. S. Equity Fund Size and Growth: Implications for Performance and Selection. Financial Services Review, v. 5, n. 1, p. 1-12, 1996.

COMISSÃO DE MERCADO DE VALORES MOBILIÁRIOS. A Indústria de Fundos de Investimento em Portugal. Lisboa, 2002.


CORTEZ, M. C.; PAXTON, D. A.; ARMADA, M. J. Persistence in Portuguese Mutual Fund Performance. European Journal of Finance, v. 5, n. 4, p. 342-365, 1999.

DAHLQUIST, M; ENGSTROM, S.; SODERLIND, P. Performance and Characteristics of Swedish Mutual Funds. Journal of Financial and Quantitative Analysis, v. 35, n. 3, p. 409-423, 2000.

DROMS, W. G.; WALKER, D. A. Mutual Fund Investment Performance. Quarterly Review of Economics and Finance, v. 36, n. 3, p. 347-363, 1996.

ELTON, E. J. et al. M. Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios. Review of Financial Studies, v. 6, n. 1, p. l-22, 1993.

ELTON, E. J.; GRUBER, M. J.; BLAKE, C. R. Survivorship bias and mutual fund performance. Review of Financial Studies, v. 9, p. 1097-1120, 1996.

FERREIRA, M. A. et al. The flow-performance relationship around the world. Journal of Banking & Finance, v. 36, p. 1759-1780, 2012.

FONSECA, S. C.; MALAQUIAS, R. F. O Efeito Smart Money no Segmento de Fundos Multimercados. Revista de Gestão, Finanças e Contabilidade, v. 2, n. 3, p. 3-16, set/dez., 2012.

FRENCH, K. Presidential Address: The Cost of Active Investing. Journal of Finance, v. 63, p. 1537-1573, 2008.

FULKERSON, J. A.; JORDAN, B. D.; RILEY, T. B. Return Chasing in Bond Funds. Journal of Fixed Income, v. 22, n. 4, p. 90-103.

GIL-BAZO, J.; RUIZ-VERDU, P. Yet another puzzle? The relation between price and performance in the mutual fund industry. Journal of Finance, v. 64, p. 2153-2183, 2009.

GOETZMANN, W.; IBBOTSON, R. Do winners repeat? Patterns in mutual fund return behavior. Journal of Portfolio Management, v. 20, p. 9-18, 1994.

GOLEC, J. H. The Effects of Mutual Fund Managers’ Characteristics on Their Portfolio Performance, Risk and Fees. Financial Services Review, v. 5, n. 2, p. 133-148, 1996.

GREGORY, A.; MATATKO, J.; LUTHER, R. Ethical unit trust financial performance: Small company effects and fund size effects. Journal of Business Finance and Accounting, v. 24, p. 705-725, 1997.

GRINBLATT, M.; TITMAN, S. Portfolio Performance Evaluation: Old Issues and New Insights. Review of Financial Studies, v. 2, n. 3, p. 393-421, 1989.

GRINBLATT, M.; TITMAN, S. The Persistence of Mutual Fund Performance. Journal of Finance, v. 47, n. 5, p. 1977-1984, 1992.

GRINBLATT, M.; TITMAN, S. A Study of Monthly Mutual Funds Returns and Performance Evaluation Techniques. Journal of Financial and Quantitative Analysis, v. 29, n. 3, p. 419-444, 1994.

GRUBER, M. Another Puzzle: The growth in actively managed mutual funds. Journal of Finance, v. 51, p. 783-807, 1996.

HENDRICKS, D.; PATEL, J.; ZECKHAUSER, R. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. Journal of Finance, v. 48, n. 1, p. 93-130, 1993.

INVESTMENT COMPANY INSTITUTE. Investment Company Fact Book: a review of trends and activity in the U.S. investment company industry. Washington, 2012.

INDRO, D.C. et al. Mutual Fund Performance: Does Fund Size Matter? Financial Analysts Journal, v. 55, n. 3, p. 74-87, 1999.

IPPOLITO, R. Efficiency with Costly Information: a Study of Mutual Fund Performance, 1965-1984. Quarterly Journal of Economics, v. 104, n. 1, p. 1-23, 1989.

JENSEN, M. C. The performance of Mutual Funds in the Period 1945-1964. Journal of Finance, v.23, p. 389-416, 1968.

JONES, M. A. Update to ‘An Examination of Fund Age and Size and Its Impact on Hedge Fund Performance’. Journal of Investing, v. 18, p. 108-114, 2009.

LOBÃO, J.; LOPES, C. M. Momentum Strategies in the Portuguese Stock Market. Aestimatio – The IEB International Journal of Finance, v. 8, p. 68-89, 2014.

LOW, S. On the Relation between Fund Performance and Characteristics of Malaysian Unit Trust Fund. Prague Economic Papers, v. 21, n. 2, p. 205-219, 2012.

LYNCH, A. W.; MUSTO, D. K. How Investors Interpret Past Funds Returns. Journal of Finance, v. 58, n.5, p. 2033-2038, 2003.

MALKIEL, B. G. Returns from Investing in Equity Mutual Funds 1971 to 1991. Journal of Finance, v. 50, n. 2, p. 549-572, 1995.

NEWEY, W. K.; WEST, K. D. A Simple, Positive, Semi-Definitive, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, v. 55, n. 3, p. 703-708, 1987.

OTTEN, R.; BAMS, D. European Mutual Fund Performance. European Financial Management, v. 8, n. 1, p. 75-101, 2002.

PETERSON, J. et al. Explaining the performance of domestic equity mutual funds. Journal of Investing, v. 10, p. 81-92, 2001.

POLLET, J.; WILSON, M. How does size affect mutual fund behavior? Journal of Finance, v. 63, p. 2841-2969, 2008.

PRATHER, L.; BERTIN, W. J.; HENKER, T. Mutual funds characteristics, managerial attributes, and fund performance. Review of Financial Economics, v. 13, p. 305-326, 2004.

SAWICK, J.; FINN, F. Smart Money and Small Funds. Journal of Business Finance & Accounting, v. 29, n. 5, p. 825-846, 2002.

VOLKMAN, D. A.; WOHAR, M. E. Determinants of persistence in relative performance of mutual funds. Journal of Financial Research, v. 18, n. 4, p. 415-430, 1995.

WERMERS, R. Momentum investment strategies of mutual funds, performance persistence, and survivorship bias. Documento de Trabalho, University of Colorado, 1997.

WERMERS, R. Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. Journal of Finance, v. 55, n. 4, p. 1655-1695, 2000.

YAN, X. Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, v. 43, p. 741-768, 2008.

ZHENG, L. Is Money Smart? A Study of Mutual Funds Investors' Fund Selection Ability. Journal of Finance, v. 54, n. 3, p. 901-933, 1999.

  • Visualizações do Artigo 1590
  • ARTIGO (English) downloads: 439
Artigos Internacionais