As crises de mercado e os alfas dos fondos axustados ao índice de referencia nun contexto de mercados pequenos

  1. Fernando Lopes 1
  2. Paulo Leite 1
  3. Maria Carmo Correia 1
  4. Pablo Durán-Santomil 2
  1. 1 Polytechnic Institute of Cávado and Ave Portugal
  2. 2 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

Zeitschrift:
Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

ISSN: 1132-2799

Datum der Publikation: 2023

Ausgabe: 32

Nummer: 3

Seiten: 69-85

Art: Artikel

DOI: 10.15304/RGE.32.3.9140 DIALNET GOOGLE SCHOLAR lock_openOpen Access editor

Andere Publikationen in: Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

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Zusammenfassung

Most mutual fund performance evaluation studies interpret fund alphas as the incremental performance of managers in relation to passive benchmark indices, which should exhibit statistically insignificant alphas. However, if these indices present significant non-zero alphas, standard (nonadjusted) fund alphas are biased. This paper investigates the impact of using benchmark-adjusted alphas to assess the performance of Portuguese-based mutual funds, investing in domestic and European equities. For the period 2000-2020, our results show that fund benchmarks exhibit significantly negative alphas, which lead to an underestimation of mutual fund performance when employing standard models. As a result, benchmark-adjusted alphas are significantly higher than unadjusted alphas for both fund categories, though the differences are larger for domestic than for European funds. We have also found that the impact of the benchmark-adjustment procedure depends on the state of markets. The domestic (European) benchmark exhibits considerably lower (higher) alphas during crisis than during non-crisis periods. During market crises, the differences between pre- and post-adjustment alphas are statistically significant only for domestic funds, whereas during noncrisis periods, both fund categories exhibit significant performance improvements. Our findings suggest that the benchmark-adjustment procedure has a higher impact when benchmark indices exhibit higher concentration.

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