Avaliação do desempenho de gestores de investimentos sem recurso a carteiras padrão

Carlos Machado-Santos and Manuel José da Rocha Armada

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 1997, vol. 1, issue 3, 31-55

Abstract: As an alternative to what traditionally has been made in the area of portfolio performance evaluation, some authors have proposed new approaches in order to obtain measures of performance using information included in the composition of such portfolios. Very recently, new methodologies have been proposed which, besides the use of the portfolios holdings as inputs, do not use any market index as a proxy, avoiding in this way the possible biases caused by the use of inefficient benchmarks that has been largely analyzed and discussed in the literature. In such a context, and with a database consisting of six professionally managed portfolios (mutual funds) of the portuguese market, we carried out a study based upon the methodology of Grinblatt and Titman (1993). The results show that those portfolios had positive overall returns. For the subperiods studied, the empirical evidence seems to indicate that the managers achieve a better performance when the stock market experiments negative returns, than when this market shows large positive returns.

Date: 1997
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