Santiago de Compostela, España
Este traballo investiga o impacto da utilización de alfas axustados aos índices de referencia para avaliar o rendemento dos fondos de investimento de mercados pequenos, que invisten en renda variable nacional e europea. Para o período 2000-2020, os nosos resultados mostran que os índices de referencia dos fondos presentan alfas significativamente negativos, o que conduce a unha subestimación do rendemento dos fondos de investimento cando se empregan modelos estándar. Como resultado, os alfas axustados aos índices de referencia son significativamente superiores aos non axustados para ambas as categorías de fondos, aínda que as diferenzas son maiores para os fondos nacionais que para os europeos. Tamén observamos que o impacto do procedemento de axuste do índice de referencia depende dos estados do mercado. O índice de referencia nacional (europeo) exhibe uns alfas considerablemente menores (maiores) durante períodos de crises que durante os períodos sen crises. Durante as crises de mercado, as diferenzas entre os alfas anteriores e posteriores ao axuste só son estatisticamente significativas no caso dos fondos nacionais, mentres que durante os períodos sen crises ambas as categorías de fondos mostran melloras significativas de rendibilidade. Os nosos resultados suxiren que o procedemento de axuste do índice de referencia ten un maior impacto cando os índices de referencia presentan unha maior concentración.
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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