CEGE4All: Markets & Policy Seminar

The next CEGE4ALL: Markets & Policy Seminar, by Cesário Mateus, will be dedicated to the “Persistence of Outperformance in Actively Managed US Fixed Income Funds”.

Date and time: April 20th, between 11.30 am and 12.30 pm
Venue: Room EP002 (Porto Campus – Paradise Building)

Register here

This seminar will be held in a hybrid format. You can attend it either in person (Room EP002) or online.

Registration is mandatory. Please register here by April 19th indicating if you will be attending in person or online. The weblink will be emailed to online attendees after registration. 

Cesario Mateus is a Full Professor of Finance at Aalborg University and Honorary Full Professor of Finance at Liverpool John Moores University. His research interests include asset management (mutual funds’ performance and style investments), corporate finance (capital structure, cash holdings, taxation, private equity, etc.), corporate governance (regulation, supervisory boards, and banks’ risk-taking), and SMEs and Family Businesses. He has worked at various universities in various countries, including Grenoble Ecole de Management, Bayes Business School, Universitat Pompeu Fabra, Catholic University of Lisbon, University of Southampton, University of Melbourne, and Aston Business School. He is the founder of the Finance, Economics and Banking Research Network (FEB-RN), Editor of Investment Analysts Journal and Associate Editor of international Review of Financial Analysis.

Abstract:

«In this paper, we revisit the question of actively managed US fixed income mutual fund performance and persistence in performance. We create a multi-factor model that accounts for two aspects of performance that investors value most: performance relative to a fund’s self-reported benchmark and performance relative to its peer group. The model we propose in this paper adopts the Mateus et al. (2025) MMT framework tested in the equity mutual fund universe and modifies it for use with bond funds. Using the Morningstar fixed income style box, we select 220 funds with moderate interest-rate sensitivity and medium credit quality from 1995 to 2022 and construct contingency tables to assess their persistence in performance. Our findings show that the MMT model can be applied to fixed income mutual funds, identifying that winner funds deliver persistent outperformance for different holding periods and market regimes and thereby demonstrating the model’s practical feasibility.»