A performance evaluation of portfolio managers: tests of micro and macro forecasting

Simon Stevenson

The European Journal of Finance, 2004, vol. 10, issue 5, 391-411

Abstract: This study examines the performance of Irish domiciled funds over the period 1988 to 2000. The study specifically examines whether Irish portfolio managers, particularly in light of the small and thinly traded domestic market, can effectively partake in micro or macro forecasting. Four alternative models are used to jointly assess micro and macro forecasting, while a fifth non-parametric model is used to solely examine market timing effects. The results reveal consistent evidence of poor micro forecasting/stock selection ability across the funds examined. The macro forecasting results are more varied, with some evidence of positive timing ability in two of the models. In addition, significant correlations are generally found between the funds micro and macro forecasting ability, while diagnostic tests reveal limited evidence of mis-specification in the models used.

Keywords: Ireland; portfolio managers; micro/macro forecasting; models; market timing (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1080/1351847032000143413

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