Assimetria de informação e avaliação da performance de gestores de investimentos

Abstract

Most of the research concerned with portfolio evaluation that has been made since the sixties, either by using measures of overall return or with those that can identify separately (at least theoretically) activities of timing and selectivity, were based only upon time series of returns. As an alternative, recently, some (very few) authors proposed new approaches in order to isolate those components, using information included in the composition of the portfolios. In such a context, and with a database consisting of six professionally managed portfolios (mutual funds) of the Portuguese market, we carried out a study based upon the methodology of Elton and Gruber [1991] in order to evaluate the performance of the managers of those portfolios, by estimating separate measures of overall return, timing and selectivity. The results show that those portfolios had positive overall returns. On the other hand, the estimates of timing and selectivity show that the managers of such portfolios seemed to be able to predict market's movements (timing ability), but were not capable of identifying underpriced securities (no selection ability). As an extension, and for the subperiods studied, the empirical evidence seems to indicate that the managers had a better performance in bear markets. However, this does not apply for bull markets, when the capacities of timing were, generally, significantly negative which, in part, helps to explain the low performance obtained.

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