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Performance of Grupo novobanco’s Equity Funds During Crisis Periods
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Orientador(es)
Resumo(s)
In active mutual funds the managerial activities consist of selectivity and market timing for
which investors pay a premium. This study is to determine if equity mutual funds managers of
Grupo novobanco can outperform the market, especially in a time of crisis. We will look for
evidence of stock picking and market timing capacity, short-term performance persistence
and compare the returns against the market’s benchmark from 2006 until 2022, over 5 main
periods: the subprime crisis, from June 2006 until June 2008, sovereign debt crisis, from 2009
until 2012, the resolution of Grupo Espírito Santo, from July 2014 until July 2015, a stable
period, from 2016 until 2019, and the covid-19 pandemic, from 2020 until 2022. The main
findings of this thesis show that Grupo novobanco’s equity mutual fund managers lack stock
selection and market timing capacities, on average, from 2006 until 2022. However, two of
the funds have shown, since 2016, evidence of stock picking abilities when producing
abnormal returns. Fund managers do appear to take advantage of crisis periods for stock
selection, but only for funds that invest in European markets. Fund managers that invest
internationally show more market timing skills. Performance persistence is detected in the
first years, from 2006 until 2010, showing poor performance with stronger persistence,
compared to the period from 2014 to 2016 that showed good performance persistence. This
study further analyses performance of Portuguese equity mutual funds and is also of interest
to Grupo novobanco, since it provides information to complement internal performance
analysis and may lead to further reviews in investment strategies.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Equity Mutual Funds Stock Selectivity Market Timing Performance Persistence European Funds SDG 4 - Quality education SDG 8 - Decent work and economic growth