Paulo Leite

Polytechnic University of Cavado and Ave (IPCA) · Management

This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 202...

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 (non-adjusted) fund alphas are biased. This paper investigates the...

In this paper we evaluate the relation between Morningstar Star ratings and the performance, risk and flows of European bond funds over the period 2006–2019 based on a comprehensive and survivorship-free dataset comprising 939 mutual funds. Fund performance is evaluated by net and gross returns, as well as alphas based on single and multi-factor mo...

This paper provides new evidence on the appropriateness of the Fama-French five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed during the 2000–2017 period. Funds investing globally an...

This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly...

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnit...

This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit cons...

We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001-2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing...

This paper evaluates the performance of a survivorship bias-free dataset of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitu...

This paper investigates the performance, investment styles and managerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperform characteristics-matched conventional funds during non-crisis periods, but match the performance...

This article analyses the selectivity and market timing abilities of international Socially Responsible Investment (SRI) funds, from eight European markets, in comparison to conventional funds with similar characteristics. The results show that differences in market timing abilities of international SRI funds and their conventional peers are not st...

French socially responsible investment (SRI) funds investing in Europe underperform characteristics-matched conventional funds during non-crisis periods, while matching their performance during market downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens. SRI and conventional funds sho...

This paper analyses the performance and investment styles of internationally-oriented Socially Responsible Investments (SRI) funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in...

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and cons...

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These resu...

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and cons...