Resumo

ROMACHO, João Carlos  e  CORTEZ, Maria do Céu. Os gestores de carteiras têm capacidade de selecção de títulos e de previsão da evolução do mercado? Um estudo empírico para o mercado português. Tékhne [online]. 2005, n.4, pp.39-58. ISSN 1645-9911.

The purpose of this paper is to investigate the timing and selectivity abilities of Portuguese mutual fund managers. To accomplish this task, we apply and compare the methodologies developed by Treynor and Mazuy (1966) and Henriksson and Merton (1981) to a sample composed of National, European Union and International funds. The results obtained by these models are similar and suggest that portfolio managers do not possess timing and selectivity skills. In fact, there is even some evidence of negative timing, which is stronger in relation to national funds. In addition, highly negative correlation between the two components of performance is observed, being stronger in the case of international funds. This type of evidence has also been found in other studies and is consistent with the efficient market hypothesis.

Palavras-chave : Mutual funds; selectivity; timing; performance; capital market.

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